Preprints and ongoing research

 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 

Coming soon

• M. Brachetta, G. Callegaro, C. Ceci, C. Sgarra: "Optimal self-protection via BSDEs for risk models with jump clusters" ... still insurance!

• R. Aid, O. Bonesini, G. Callegaro, L. Campi: continuous time persuasion via filtering ...

• G. Callegaro, P. Di Tella, B. Ongarato, C. Sgarra: Semi-static variance-optimal hedging with self-exciting jumps, nice and numerically challenging!

• ...

Work-in-progress!

• G. Callegaro, C. Fontana, C. Hillairet, B. Ongarato: (non-)Markovian Hawkes processes to challenge cyber-security risks!

• G. Callegaro, J. Dianetti, G. Ferrari, D. Tonon: singular control and mean field interaction toward infinity!

• G. Callegaro, M. Grasselli, G. Pagès: functional quantization of Volterra processes exploiting our "animal" idea of the elephant and the goldfish.

• G. Callegaro, U. Cetin, B. D'Auria: cybersecurity modelling and stochastic control problems to deal with it!