Publications

Published and accepted papers

1. Cretarola A., Salternini B., Indifference pricing of pure endowments in a regime-switching market model. Forthcoming in Applied Mathematical Finance.  https://arxiv.org/abs/2301.13575.

2. Ceci C., Cretarola A., Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks. Quantitative Finance, 1–21, 2025. https://doi.org/10.1080/14697688.2025.2488450

3. Colaneri K., Cretarola A., Salterini B., Optimal investment and reinsurance under exponential forward preferences. Mathematics and Financial Economics, Volume 19, Issue 1, pp. 1–37, 2025. 

4. Cretarola A., Figà Talamanca G., Patacca M., Option pricing in a sentiment-biased stochastic volatility model. Annals of Finance, Volume 21, Issue 1, pp. 69–95, 2025.

5. Cretarola A., Figà Talamanca G., Patacca M., Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps. Applied Stochastic Models in Business and Industry, Volume 40, Issue 2, 2024. 

6. Ceci C., Colaneri K., Cretarola A., Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. Insurance: Mathematics and Economics, Volume 105, pp. 252-278, 2022. 

7. Cretarola A., Figà Talamanca G., Detecting bubbles in Bitcoin price dynamics via market exuberance. Annals of Operations Research, Volume 299 (1-2), pp. 459-479, 2021. 

8. Cretarola A., Figà Talamanca G., Grunspan, C., Blockchain and cryptocurrencies: economic and financial research. Decisions in Economics and Finance, Volume 44, pp. 781-787, 2021. 

9. Colaneri K., Cretarola A., Salterini B., Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences. Mathematics, Volume 9, Issue 14, Article n. 1610, 2021.

10. Ceci C., Colaneri K., Cretarola A., Indifference pricing of pure endowments via BSDEs under partial information. Scandinavian Actuarial Journal, Volume 2020, pp. 904-933, 2020. 

11. Cretarola A., Figà-Talamanca G., Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics. Economics Letters, Volume 191, 2020. 

12. Cretarola A., Figà-Talamanca G., Patacca M., Market attention and Bitcoin price modeling: theory, estimation and option pricing. Decisions in Economics and Finance, Volume 43, pp. 187-228, 2020. 

13. Bistarelli S., Cretarola A., Figà-Talamanca G., Patacca M., Model-based arbitrage in multi-exchange models for Bitcoin price dynamics. Digital Finance, Volume 1, pp. 23-46, 2019.

14. Ceci C., Colaneri K., Cretarola A., Unit-linked life insurance policies: optimal hedging in partially observable market models. Insurance: Mathematics and Economics, Volume 76, pp. 149-163, 2017. 

15. Ceci C., Colaneri K., Cretarola A., The Föllmer-Schweizer decomposition under incomplete information.  Stochastics: An International Journal of Probability and Stochastic Processes, Volume 89, Issue 8, pp. 1166-1200, 2017. 

16. Ceci C., Colaneri K., Cretarola A., Local risk-minimization under restricted information on asset prices. Electronic Journal of Probability, Volume 20, Issue 96, pp. 1-30, 2015. 

17. Ceci C., Colaneri K., Cretarola A., Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. Insurance: Mathematics and Economics, Volume 60, pp. 47-60, 2015. 

18. Ceci C., Cretarola A., Russo F., BSDEs under partial information and financial applications. Stochastic Processes and their Applications, Volume 124, Issue 8, pp. 2628-2653, 2014. 

19. Biagini F., Cretarola A., Platen E., Local risk-minimization under the benchmark approach. Mathematics and Financial Economics, Volume 8, Issue 2, pp. 109-134, 2014.

20. Ceci C., Colaneri K., Cretarola A., A benchmark approach to risk-minimization under partial information. Insurance: Mathematics and Economics, Volume 55, pp.  129-146, 2014. 

21. Ceci C., Cretarola A., Russo F., GKW representation theorem under restricted information. An application to risk-minimization. Stochastics  and  Dynamics,  Volume 14, Issue 2, pp. 1350019 (23 pages), 2014. 

22. Biagini F., Cretarola A., Local risk-minimization for defaultable claims with recovery process. Applied Mathematics and Optimization, Volume 65, Issue 3, pp. 293-314, 2012.

23. Cretarola A., Gozzi F., Pham H., Tankov P., Optimal consumption policies in illiquid markets. Finance and Stochastics, Volume 15, Issue 1, pp. 85-115, 2011. 

24. Biagini F., Cretarola A., Local risk-minimization for defaultable markets. Mathematical Finance, Volume 19, Issue 4, pp. 669-689, 2009. 

25. Biagini F., Cretarola A., Quadratic hedging methods for defaultable claims. Applied Mathematics and Optimization, Volume 56, Issue 3, pp. 425-443, 2007.

Chapters in international books (with peer-review)

1. Cretarola A., Figà-Talamanca, G., Patacca, M. A continuous time model for Bitcoin price dynamics. In: Mathematical and Statistical Methods for Actuarial Sciences and Finance - MAF 2018, Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (Eds.), Springer International Publishing AG, part of Springer Nature 2018, pp. 273-277, 2018. https://doi.org/10.1007/978-3-319-89824-7_49. 

2. Cretarola, A., Figà-Talamanca, G., Modeling Bitcoin price and bubbles. In: Blockchain and Cryptocurrencies, Salman, A. (Ed.), London:InTechOpen, ISBN: 978-1-83881-208-9, Chapter 1, pp. 3-20, 2018. https://doi.org/10.5772/intechopen.79386.

3. Bistarelli, S., Cretarola, A., Figà-Talamanca, G., Mercanti, I., Patacca, M., Is arbitrage possible in the Bitcoin market? In: Economics of Grids, Clouds, Systems, and Services - 15th International Conference, GECON 2018, Pisa, 19-21 Settembre, 2018, Proceedings. LECTURE NOTES IN COMPUTER SCIENCE, vol. 11113, pp. 243-251, Springer Verlag, ISBN: 9783030133412, ISSN: 0302-9743, doi: https://doi.org/10.1007/978-3-030-13342-9_21. 

Papers under review

1. Angelini L., Benedetti I., Cretarola A., Existence of nonnegative mild solutions of stochastic evolution inclusions via weak topology. https://arxiv.org/abs/2508.17287.

2. Ceci C., Cretarola A., Self-protection and self-insurance for general risk models via a BSDE approach. https://arxiv.org/abs/2507.19959.

3. Colaneri K., Cretarola A., Lombardo E., Mancinelli D., Design and hedging of unit linked life insurance with environmental factors. https://arxiv.org/abs/2509.05676.

4. Cretarola A., Figà-Talamanca, G., Patacca, M., Asset pricing with regime-sensitive volatility and jumps.