Submitted/under revision ... fingers crossed!
O. Bonesini, G. Callegaro, M. Grasselli, G. Pagès: "From elephant to goldfish (and back): memory of stochastic Volterra processes", available at: https://arxiv.org/abs/2306.02708
M. Brachetta, G. Callegaro, C. Ceci, C. Sgarra: "Optimal self-protection via BSDEs for risk models with jump clusters", available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5015117
G. Callegaro, P. Di Tella, B. Ongarato, C. Sgarra: "Semi-static variance-optimal hedging with self-exciting jumps", available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5022902
G. Callegaro, C. Fontana, C. Hillairet, B. Ongarato: "A stochastic Gordon-Loeb model for optimal cybersecurity investment under clustered attacks", available at: https://arxiv.org/abs/2505.01221
Coming soon
...
Work-in-progress!
G. Callegaro, J. Dianetti, G. Ferrari, D. Tonon: singular control and mean field interaction at infinity!
G. Callegaro, U. Cetin, B. D'Auria: cybersecurity attacks modelling and stochastic control problems to deal with it!
G. Callegaro, P. Di Tella, C. Sgarra, B. Ongarato: optimal portfolio selection for semi-static hedging
R. Aid, O. Bonesini, G. Callegaro, L. Campi: Bayesian persuasion 2!!!
R. Aid, G. Callegaro, L. Campi, Z. Wu: on reduction of CO2 emissions ...
G. Callegaro, L. Campi, L. D'Andolfi, R. Dumitrescu, N. Oudjane: working on CCE for energy markets...just started!
G. Callegaro, N. Filippas, E. Sasso: working on accumulation of solar energy ;)