The following are publications in peer reviewed journals in anti-chronological order:

  • R. Aïd, O. Bonesini, G. Callegaro, L. Campi: "A McKean-Vlasov game of commodity production, consumption and trading", 2022, Applied Mathematics and Optimization, 86(40), DOI: 10.1007/s00245-022-09907-7.

  • G. Callegaro, A. Mazzoran, C. Sgarra, "A Self-Exciting Modelling Framework for Forward Prices in Power Markets", 2022, Applied Stochastic Models in Business and Industry, 38(1), pp. 27-48, DOI:

  • G. Callegaro, M. Grasselli, G. Pagès, "Fast hybrid schemes for fractional Riccati equations (rough but not so tough)", 2021, Mathematics of Operations Research, 46(1), pp. 221-254, DOI: 10.1287/MOOR.2020.1054

  • G. Callegaro, L. Fiorin, A. Pallavicini, "Quantization goes polynomial", 2021, Quantitative Finance, 21(3), pp. 361-376, DOI: 10.1080/14697688.2020.1828608.

  • G. Callegaro, C. Ceci, G. Ferrari, "Optimal Reduction of Public Debt under Partial Information on the Economic Growth", 2020, Finance and Stochastics, 24(4): 1083-1132. DOI 10.1007/s00780-020-00438-z.

  • R. Aïd, G. Callegaro, L. Campi, "No–Arbitrage Commodity Option Pricing with Market Manipulation", 2020, Mathematics and Financial Economics, 14, pp. 577-603, DOI: 10.1007/s11579-020-00265-y. Link:

  • R. Aïd, M. Basei, G. Callegaro, L. Campi, T. Vargiolu, "Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications", 2020, Mathematics of Operations Research, 45(1), pp. 205-232. Link: