I am interested in Hawkes processes and stochastic processes in general, numerical probability methods, applications to Finance, Insurance and Economics, control theory
Published papers
G. Callegaro, P. Di Tella, B. O. and C. Sgarra. Semistatic Variance-Optimal Hedging with Self-Exciting Jumps. Published in Mathematics of Operations Research, 2025. https://pubsonline.informs.org/doi/full/10.1287/moor.2024.0804
Preprints
G. Callegaro, C. Fontana, C. Hillairet and B. O. A stochastic Gordon-Loeb model for optimal cybersecurity investment under clustered attacks. Preprint 2025: https://arxiv.org/abs/2505.01221