المؤلفون: Katia Colaneri, Alessandra Cretarola, Benedetta Salterini

المصدر: Mathematics, Vol 9, Iss 14, p 1610 (2021)

مصطلحات موضوعية: forward dynamic utility, optimal investment, optimal proportional reinsurance, stochastic factor-model, stochastic optimization, Mathematics, QA1-939

وصف الملف: electronic resource

Relation: https://www.mdpi.com/2227-7390/9/14/1610; https://doaj.org/toc/2227-7390

URL الوصول: https://doaj.org/article/2c30390ac60a4043b980d3792843532e

المؤلفون: Alessandra Cretarola, Gianna Figa-Talamanca, Marco Patacca

المساهمون: Cretarola, Alessandra, Figa-Talamanca, Gianna, Patacca, Marco

مصطلحات موضوعية: Stochastic Volatility, Jumps, Regime-Switching, Sentiment Analysis, Commodities

وصف الملف: ELETTRONICO

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000968198500001; volume:40; firstpage:281; lastpage:305; numberofpages:25; journal:APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY; https://hdl.handle.net/11391/1546894

الاتاحة: https://hdl.handle.net/11391/1546894
https://doi.org/10.1002/asmb.2763

المؤلفون: Claudia Ceci, Katia Colaneri, Alessandra cretarola

المساهمون: Ceci, Claudia, Colaneri, Katia, Cretarola, Alessandra

مصطلحات موضوعية: backward stochastic differential equation, indifference pricing, partial information, Pure endowment

وصف الملف: ELETTRONICO

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000547722900001; volume:904; issue:933; firstpage:1; lastpage:36; numberofpages:36; journal:SCANDINAVIAN ACTUARIAL JOURNAL; http://hdl.handle.net/11564/726381; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85087871215

الاتاحة: http://hdl.handle.net/11564/726381
https://doi.org/10.1080/03461238.2020.1790030
https://www.tandfonline.com/doi/abs/10.1080/03461238.2020.1790030

المؤلفون: Claudia Ceci, Katia Colaneri, Alessandra Cretarola

المصدر: Insurance: Mathematics and Economics. 105:252-278

مصطلحات موضوعية: Statistics and Probability, Economics and Econometrics, Mathematics::Optimization and Control, C61.AMS Classification: 60G55, Hamilton-Jacobi-Bellman equation.JEL Classification: G11, 91G10, FOS: Economics and business, Portfolio Management (q-fin.PM), Environmental factors, Quantitative Finance - Portfolio Management, 60J60, 91G05, Optimal investment, Settore SECS-S/06, Keywords: Optimal proportional reinsurance, 93E20, Optimal proportional reinsurance, Mathematical Finance (q-fin.MF), Common shock dependence, Quantitative Finance - Mathematical Finance, Settore MAT/06, G22, Hamilton-Jacobi-Bellman equation, Statistics, Probability and Uncertainty, optimal investment, common shock dependence, environmental factors

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::51fa5f302e077fe8643c4a6f5de6f0da
https://doi.org/10.1016/j.insmatheco.2022.04.011

المؤلفون: CECI, Claudia, COLANERI, KATIA, Alessandra, Cretarola

المساهمون: Ceci, Claudia, Colaneri, Katia, Alessandra, Cretarola

مصطلحات موضوعية: Filtering, Local risk-minimization, Markovian processe, Partial information

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000361023600001; volume:20; firstpage:1; lastpage:31; numberofpages:31; journal:ELECTRONIC JOURNAL OF PROBABILITY; https://hdl.handle.net/11573/1660630; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-84941347409

الاتاحة: https://hdl.handle.net/11573/1660630
https://doi.org/10.1214/EJP.v20-3204

المؤلفون: Gianna Figà-Talamanca, Alessandra Cretarola, Marco Patacca

المصدر: Decisions in Economics and Finance. 43:187-228

مصطلحات موضوعية: Bitcoin, Market attention, Stochastic models, Option pricing, Maximum likelihood estimation, Option pricing, Stochastic modelling, Settore SECS-S/06, Maximum likelihood estimation, Market attention, Stochastic models, Valuation of options, Currency, Digital currency, Technical report, Econometrics, Economics, Market price, Volatility (finance), General Economics, Econometrics and Finance, Bitcoin, Finance, Public finance

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7f43127875ef4a8dfb8109d44f8dff1d
https://doi.org/10.1007/s10203-019-00262-x

المؤلفون: Alessandra Cretarola, Gianna Figà-Talamanca

المصدر: Annals of Operations Research. 299:459-479

مصطلحات موضوعية: Bubble, Bitcoin, Bubble, Local martingale, Market exuberance, 021103 operations research, Index (economics), Stochastic modelling, 0211 other engineering and technologies, General Decision Sciences, 02 engineering and technology, Management Science and Operations Research, Discount points, Market exuberance, Order (exchange), Converse, Econometrics, Local martingale, Economics, Empirical evidence, Bitcoin

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eae78cc7375e2c3b489b83aaaf63d792
https://doi.org/10.1007/s10479-019-03321-z

المؤلفون: Marco Patacca, Gianna Figà-Talamanca, Alessandra Cretarola, Stefano Bistarelli

المصدر: Digital Finance. 1:23-46

مصطلحات موضوعية: Arbitrage, Financial economics, Bitcoin, Arbitrage, Sharpe ratio, Sharpe ratio, Settore SECS-S/06, Black–Scholes model, Risk factor (finance), Dynamics (music), Digital currency, Economics, Bitcoin, Simple (philosophy)

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7c8b38890294c0163aab2e403a3bb1b8
https://doi.org/10.1007/s42521-019-00001-2

المؤلفون: Benedetta Salterini, Alessandra Cretarola, Katia Colaneri

المصدر: Mathematics, Vol 9, Iss 1610, p 1610 (2021)
Mathematics
Volume 9
Issue 14

مصطلحات موضوعية: Reinsurance, optimal investment, Investment strategy, General Mathematics, forward dynamic utility, 01 natural sciences, FOS: Economics and business, 010104 statistics & probability, Portfolio Management (q-fin.PM), Bellman equation, 0502 economics and business, Computer Science (miscellaneous), Econometrics, Economics, QA1-939, forward dynamic utility, optimal investment, optimal proportional reinsurance, stochastic factor-model, stochastic optimization, 0101 mathematics, Engineering (miscellaneous), Quantitative Finance - Portfolio Management, Stock (geology), 050208 finance, Markov chain, 05 social sciences, Settore SECS-S/06, stochastic optimization, Investment (macroeconomics), stochastic factor-model, 60G55, 60J60, 91B30, 93E20, Exponential utility, Settore MAT/06, optimal proportional reinsurance, Stochastic optimization, Mathematics

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::80024b1863b72d73e48d81cb9d5def18
https://www.mdpi.com/2227-7390/9/14/1610

المؤلفون: Claudia Ceci, Alessandra Cretarola, Francesco Russo

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://uma.ensta-paristech.fr/files/publis/2014/2014-art-uma1357-BSDES_partial_info_15052013latest.pdf.

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.690.5774; http://uma.ensta-paristech.fr/files/publis/2014/2014-art-uma1357-BSDES_partial_info_15052013latest.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.690.5774
http://uma.ensta-paristech.fr/files/publis/2014/2014-art-uma1357-BSDES_partial_info_15052013latest.pdf

المؤلفون: Gianna Figà-Talamanca, Alessandra Cretarola, Cyril Grunspan

مصطلحات موضوعية: Cryptocurrency, Blockchain, business.industry, Economics, Accounting, business, General Economics, Econometrics and Finance, Finance, Public finance

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7985fdd59dfe1fa122d6cbe961e58679
http://hdl.handle.net/11391/1498354

المؤلفون: Claudia Ceci, Alessandra Cretarola, Francesco Russo

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://hal.inria.fr/docs/00/82/29/88/PDF/BSDES_partial_info_15052013latest.pdf.

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.409.6915; http://hal.inria.fr/docs/00/82/29/88/PDF/BSDES_partial_info_15052013latest.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.409.6915
http://hal.inria.fr/docs/00/82/29/88/PDF/BSDES_partial_info_15052013latest.pdf

المؤلفون: Claudia Ceci, Ra Cretarola, Francesco Russo, Claudia Ceci Alessandra Cretarola

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: https://hal.inria.fr/hal-00696616/document/.

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.688.7154

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.688.7154

المؤلفون: Alessandra Cretarola, Claudia Ceci, Katia Colaneri

مصطلحات موضوعية: Statistics and Probability, Economics and Econometrics, Endowment, 01 natural sciences, indifference pricing, FOS: Economics and business, 010104 statistics & probability, 91B30, 91B25, 93E20, 60G35, Derivative (finance), Complete information, 0502 economics and business, Econometrics, Economics, pure endowment, Asset (economics), Backward stochastic differential equations, partial information, 0101 mathematics, Basis risk, 050208 finance, 05 social sciences, Stochastic game, Settore SECS-S/06, Mathematical Finance (q-fin.MF), Indifference price, Quantitative Finance - Mathematical Finance, Settore MAT/06, Portfolio, Arbitrage, Statistics, Probability and Uncertainty, Mathematical economics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e18b9add3100ebd7bc9e3dda3a59f90e
http://hdl.handle.net/11391/1474619

المؤلفون: Gianna Figà-Talamanca, Alessandra Cretarola

مصطلحات موضوعية: Bubble, Economics and Econometrics, Cryptocurrency, Index (economics), Markov chain, Computer science, 05 social sciences, Bitcoin, Ethereum, Regime-switching model, Bubble, Filter (signal processing), Interpretation (model theory), Identification (information), Ethereum, Dynamics (music), 0502 economics and business, Econometrics, Regime-switching model, 050207 economics, Finance, Bitcoin, 050205 econometrics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b3bee9c712480f2814330af6fd9bb9b8
http://hdl.handle.net/11391/1454714

المؤلفون: Alessandra Cretarola, Gianna Figà-Talamanca, Marco Patacca

المساهمون: Cretarola, A, Figà-Talamanca, G, Patacca, M

مصطلحات موضوعية: Bitcoin, Sentiment, Option pricing, Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE

Relation: info:eu-repo/semantics/altIdentifier/isbn/978-3-319-89823-0; ispartofbook:Mathematical and Statistical Methods for Actuarial Sciences and Finance, MAF 2018; firstpage:273; lastpage:277; numberofpages:5; https://hdl.handle.net/2108/309520; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85069443555

الاتاحة: https://hdl.handle.net/2108/309520
https://doi.org/10.1007/978-3-319-89824-7_49

المؤلفون: Alessandra Cretarola, Gianna Figà-Talamanca

المساهمون: Asma Salman, Cretarola, Alessandra, FIGA' TALAMANCA, Gianna

مصطلحات موضوعية: Bitcoin, market attention, arbitrage, option pricing, bubbles

وصف الملف: STAMPA

Relation: info:eu-repo/semantics/altIdentifier/isbn/978-1-83881-208-9; ispartofbook:Blockchain and Cryptocurrencies; numberofpages:18; http://hdl.handle.net/11391/1445880; https://www.intechopen.com/online-first/modeling-bitcoin-price-and-bubbles/

الاتاحة: http://hdl.handle.net/11391/1445880
https://doi.org/10.5772/intechopen.79386
https://www.intechopen.com/online-first/modeling-bitcoin-price-and-bubbles/

المؤلفون: Gianna Figà-Talamanca, Ivan Mercanti, Alessandra Cretarola, Marco Patacca, Stefano Bistarelli

المصدر: Economics of Grids, Clouds, Systems, and Services ISBN: 9783030133412
GECON

مصطلحات موضوعية: Arbitrage, Financial economics, Application, 05 social sciences, Computer Science (all), Bitcoin, Theoretical Computer Science, Settore SECS-S/06, 02 engineering and technology, Work in process, Bitcoin, Application, Arbitrage, Feature (computer vision), 020204 information systems, Digital currency, 0502 economics and business, 0202 electrical engineering, electronic engineering, information engineering, Economics, 050207 economics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2635cc873d9d2c741b2a588cc628f779
https://hdl.handle.net/2108/309519

المؤلفون: Gianna Figà-Talamanca, Marco Patacca, Alessandra Cretarola

المصدر: Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783319898230

مصطلحات موضوعية: 0301 basic medicine, Option pricing, Settore SECS-S/06, Bitcoin, Sentiment, Option pricing, Time model, 03 medical and health sciences, 030104 developmental biology, 0302 clinical medicine, Sentiment, Dynamics (music), Valuation of options, Economics, Econometrics, 030217 neurology & neurosurgery, Bitcoin

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::40e0e73763c786f9d67a230a4a569099
http://hdl.handle.net/11562/1013159

المؤلفون: Alessandra Cretarola, Claudia Ceci, Katia Colaneri

مصطلحات موضوعية: Statistics and Probability, Föllmer Schweizer decomposition, Partial information, Nonlinear filtering, 01 natural sciences, Projection (linear algebra), 010104 statistics & probability, Complete information, Decomposition (computer science), Applied mathematics, 0101 mathematics, Mathematics, Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie, 010102 general mathematics, Follmer-Schweizer decomposition, Föllmer Schweizer decomposition, Nonlinear filtering, Observable, Settore MAT/06 - Probabilita' e Statistica Matematica, 60G46, 60G57, 60J25, 93E11, Semimartingale, partial information, nonlinear filtering, Square-integrable function, Quantitative Finance - Mathematical Finance, Modeling and Simulation, Partial information, Random variable, Jump process, Mathematics - Probability

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e2c02b406f550598890cb51c66f8e47f
http://hdl.handle.net/11391/1396767