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. Mathematics of Operations Research, 2025. https://pubsonline.informs.org/doi/full/10.1287/moor.2024.0804
G. Callegaro, C. Fontana, C. Hillairet and B. O. A stochastic Gordon-Loeb model for optimal cybersecurity investment under clustered attacks. Annals of Actuarial Science, 2026. https://www.cambridge.org/core/journals/annals-of-actuarial-science/article/stochastic-gordonloeb-model-for-optimal-cybersecurity-investment-under-clustered-attacks/98721ACA82CB10134886B9E9C1D14B09
Ph.D. Thesis
Hawkes and Affine Processes in Risk Modeling: Theory and Applications in Finance and Cybersecurity, 2026
Supervisors: Prof. Giorgia Callegaro and Prof. Claudio Fontana