Publications

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

• G. Callegaro, A. Gnoatto, M. Grasselli: "A fully quantization based scheme for FBSDEs", 2023, Applied Mathematics and Computation, 441, available at: https://doi.org/10.1016/j.amc.2022.127666

• 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: http://doi.org/10.1002/asmb.2645.

• 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: https://link.springer.com/article/10.1007/s11579-020-00265-y

• 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: https://pubsonline.informs.org/doi/abs/10.1287/moor.2019.0989

• G. Callegaro, L. Fiorin, M. Grasselli, "Quantization meets Fourier: a new technology for pricing options", 2019, Annals of Operations Research, 282(1-2), pp. 59-86. Link: https://link.springer.com/article/10.1007/s10479-018-3048-z

• G. Callegaro, L. Fiorin, M. Grasselli, "American quantized calibration in stochastic volatility", Risk, February 2018, pp. 84-88. Link: www.risk.net/5408496

• G. Bormetti, G. Callegaro, G. Livieri, A. Pallavicini, "A backward Monte Carlo approach to exotic option pricing", 2018, European Journal of Applied Mathematics, 29(1), pp. 146-187. Link: https://www.cambridge.org/core/journals/european-journal-of-applied-mathematics/article/backward-monte-carlo-approach-to-exotic-option-pricing/67B0849EB1B93CFBD90A5F124B05A906

• G. Callegaro, L. Campi, V. Giusto, T. Vargiolu, “Utility indifference pricing and hedging for structured contracts in energy markets”, 2017, Mathematical Methods of Operations Research, 85(2), pp. 265-303. Link: http://link.springer.com/article/10.1007/s00186-016-0569-6

• G. Callegaro, L. Fiorin, M. Grasselli, “Pricing via recursive quantization in stochastic volatility models”, 2017, Quantitative Finance, 17(6), pp. 855-872. Link: http://dx.doi.org/10.1080/14697688.2016.1255348

• G. Callegaro, M. Gaigi, S. Scotti, C. Sgarra, “Optimal Investment in Markets with Over and Under-Reaction to Information”, 2017, Mathematics and Financial Economics, 11(3), pp. 299-322. Link: http://link.springer.com/article/10.1007/s11579-016-0182-8

• G. Callegaro, L. Fiorin, M. Grasselli, "Quantized calibration in local volatility", 2015, Risk (Cutting hedge: Derivatives pricing), April 2015, 56-67. Link: https://www.risk.net/risk-magazine/technical-paper/2402156/quantized-calibration-in-local-volatility

• G. Callegaro, "Optimal consumption problems in discontinuous markets", 2013, Optimization, 62(11), pp. 1575-1602. Link: http://www.tandfonline.com/doi/abs/10.1080/02331934.2013.857409#.VRu-HOEnLwE

• G. Callegaro, M. Jeanblanc, B. Zargari, "Carthaginian enlargement of filtrations", 2013, ESAIM: Probability and Statistics, 17, pp. 550-566 (DOI 10.1051/ps/2011162). Link: http://arxiv.org/PS_cache/arxiv/pdf/1111/1111.3073v1.pdf

• G. Callegaro, A. Sagna, "An application to credit risk of a hybrid Monte Carlo - Optimal quantization method", 2013, Journal of Computational Finance, 16(4), pp. 123-156. Link: http://www.risk.net/journal-of-computational-finance/technical-paper/2275475/an-application-to-credit-risk-of-a-hybrid-monte-carlo-optimal-quantization-method

• G. Callegaro, M. Jeanblanc, W. J. Runggaldier, "Portfolio optimization in a defaultable market under incomplete information", 2012, Decision in Economics and Finance, 35(2), pp. 91-111. Link: http://link.springer.com/article/10.1007%2Fs10203-011-0116-0

• G. Callegaro, T. Vargiolu, "Optimal portfolio for HARA utility functions in a pure-jump multidimensional incomplete market", 2009,International Journal of Risk Assessment and Management – Special Issue on Measuring and Managing Financial Risk, 11(1/2), pp. 180-200. Link: http://www.inderscience.com/search/index.php?action=record&rec_id=22204&prevQuery=&ps=10&m=or

• G. Callegaro, G. B. Di Masi, W. J. Runggaldier,"Portfolio optimization in discontinuous markets under incomplete information", 2006, Asia Pacific Financial Markets, 13(4), pp. 373-394. Link: http://www.springerlink.com/content/0x436521n372x2r0/