Research

Research Interests

• Stochastic Filtering and statistical inference for Hidden Markov Models (HMM)

• Stochastic Control under complete and partial information

• Backward stochastic differential equations 

• Portfolio optimization, Optimal investment, Valuation and hedging of financial and actuarial derivatives, mortality models, epidemiological models. 

Pubblications

1. K. Colaneri, J. Eisenberg and B. Salterini, Some optimisation problems in insurance with a terminal distribution constraint, Scandinavian Actuarial Journal, 2023, DOI: https://doi.org/10.1080/03461238.2022.2142156

2. E. Bandini, A. Calvia and K. Colaneri, Stochastic filtering of a pure jump process with predictable jumps and path dependent characteristics, Stochastic Processes and their Applications, 2022, DOI: https://doi.org/10.1016/j.spa.2022.06.007; ArXiv Version: https://arxiv.org/pdf/2004.12944.pdf, 

3. C. Ceci , K. Colaneri and A. Cretarola. Optimal reinsurance and investment under common shock dependence between financial and actuarial markets, Insurance: Mathematics and Economics, Vol 105, pp. 252-278, 2022, DOI: https://doi.org/10.1016/j.insmatheco.2022.04.011; ArXiv Version: https://arxiv.org/abs/2106.13888 

4. K. Colaneri and T. De Angelis. A class of recursive optimal stopping problems with applications to stock trading, Mathematics of Operations Research, 2021, https://doi.org/10.1287/moor.2021.1190; ArXiv Version: https://arxiv.org/abs/1905.02650

5. K. Colaneri and R. Frey, Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds, Insurance: Mathematics and Economics, Vol 101,  pp. 498–507, 2021, DOI: https://doi.org/10.1016/j.insmatheco.2021.09.003

6. Angelini, F., Colaneri, K., Herzel, S., Nicolosi, M., Implicit incentives for fund managers with partial information, Computational Management Science, Vol 18, n. 4, pp. 539–561, 2021.

7. Colaneri, K., Cretarola, A. and Salterini, B., Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences, Mathematics, Vol 9, n. 14, pp. 1610, 2021, Open Access: https://www.mdpi.com/2227-7390/9/14/1610

8. C. Ceci, K. Colaneri, R. Frey and V. Kock, Value adjustment and dynamic hedging of Reinsurance Counterparty Risk, Siam Journal on Financial Mathematics, Vol 11, n. 3, pp. 788-814, 2020, ArXiv Version: https://arxiv.org/abs/1909.04354

9. C. Ceci , K. Colaneri and A. Cretarola, Indifference pricing of pure endowments via BSDEs under partial information, Scandinavian Actuarial Journal, DOI:10.1080/03461238.2020.179003. ArXiv Version: https://arxiv.org/pdf/1804.00223.pdf 

10. S. Altay, K. Colaneri and Z. Eksi, Optimal Converge Trading with Unobservable Pricing Error.  Annals of Operations Research, Vol.  299, n. 1-2, pp. 133–161,  2021.  DOI:10.1007/s10479-020-03647-z. ArXiv Version: https://arxiv.org/abs/1909.07837

11. K. Colaneri, S. Herzel and M. Nicolosi, The value of knowing the market price of risk, Annals of Operations Research, 2020, DOI: 10.1007/s10479-020-03596-7. arXiv Version: https://arxiv.org/abs/1909.07837

12.  K. Colaneri, Z. Eksi, R. Frey and M. Szölgyenyi. Optimal liquidation under partial information with Price Impact, Stochastic Processes and their Applications, 2020, Vol 130, n.4, pp. 1913-1946, DOI: https://doi.org/10.1016/j.spa.2019.06.004. arXiv Version: https://arxiv.org/pdf/1606.05079.pdf 

13. S. Altay, K. Colaneri and Z. Eksi, Portfolio Optimization for Large Investor Controlling Market Sentiment Under Partial Information, Siam Journal on Financial Mathematics, 2019, Vol. 10, n. 2, pp.512-546. SSRN Version: https://papers.ssrn.com/sol3/papers.cfm?abstract\_id=2986612              

14. S. Altay, K. Colaneri and Z. Eksi, Pairs trading under drift uncertainty and risk penalization. International Journal of Theoretical and Applied Finance, 2018, Vol. 21, n.7, art. n. 1850046. SSRN Version: https://papers.ssrn.com/sol3/papers.cfm?abstract\_id=2954762

15. C. Ceci and K. Colaneri, Recent Advances in Nonlinear Filtering with a Financial Application to Derivatives Hedging under Incomplete Information. In Bayesian Inference, Javier Prieto Tejedor (Ed.), InTech, DOI: 10.5772/intechopen.70060.

16. C. Ceci , K. Colaneri and A. Cretarola, Unit-linked life insurance policies: optimal hedging in partially observable market models. Insurance: Mathematics and Economics, 2017, Vol. 76, pp. 149-163. arXiv Version: https://arxiv.org/pdf/1608.07226.pdf

17. C. Ceci , K. Colaneri and A. Cretarola, The Follmer Schweizer decomposition under incomplete, Stochastics, 2017, Vol 89, n. 8, pp. 1166-1200 arXiv Version: https://arxiv.org/pdf/1511.05465.pdf

18. C. Ceci, K. Colaneri and C. Cretarola, Local risk-minimization under restricted information on asset prices. Electonic Journal of Probability, 2015, Vol 20, n. 96, pp. 1-30. arXiv Version: http://arxiv.org/pdf/1312.4385v2.pdf

19. C. Ceci, K. Colaneri and C. Cretarola, Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. Insurance: Mathematics and Economics, 2015, Vol. 60, pp. 47-60. arXiv Version: http://arxiv.org/pdf/1406.6902.pdf

20. C. Ceci, K. Colaneri and A. Cretarola, A benchmark approach to risk-minimization under partial information. Insurance: Mathematics and Economics, 2014, Vol. 55, pp. 129-146. arXiv Version: http://arxiv.org/pdf/1307.6036.pdf

21. C. Ceci and K. Colaneri, The Zakai Equation of Nonlinear Filtering for Jump-Diffusion Observations: Existence and uniqueness. Applied Mathematics and Optimization, 2014, Vol. 69, n.1, pp. 47-82. arXiv Version: http://arxiv.org/pdf/1210.4279v2.pdf

22. C. Ceci and K. Colaneri, Nonlinear Filtering for Jump Diffusion Observations. Advances in Applied Probability, 2012, Vol. 44, n.3,  pp. 678-701.    

Preprints and Submitted Papers

1. K. Colaneri, C. Damian, and R. Frey,  A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data, 2023, Preprint ArXiv: https://arxiv.org/pdf/2212.13443.pdf