CECI, Claudia
CECI, Claudia
A Benchmark Approach to Risk-Minimization under Partial Information
2014-01-01 Ceci, Claudia; Colaneri, Katia; Cretarola, A.
A BSDE-based approach for the optimal reinsurance problem under partial information
2020-01-01 Brachetta, Matteo; Ceci, Claudia
A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
2006-01-01 Ceci, Claudia; A., Gerardi
A Stochastic Control Approach to Public Debt Management
2022-01-01 Brachetta, Matteo; Ceci, Claudia
An Approximation Method for Controlled Discrete Jump Processes Under Partial Observations
2001-01-01 Ceci, Claudia; A., Gerardi; P., Tardelli
An estimate of the approximation error in the filtering of a discrete jump process
2001-01-01 Ceci, Claudia; A., Gerardi; P., Tardelli
An HJB approach to exponential utility maximization for jump processes
2009-01-01 Ceci, Claudia
AN OPTIMAL STOPPING PROBLEM ARISING FROM A DECISION MODEL WITH MANY AGENTS
1998-01-01 B., Bassan; Ceci, Claudia
BSDEs under partial information and financial applications
2014-01-01 Ceci, Claudia; A., Cretarola; F., Russo
CONDITIONAL LAW OF A BRANCHING PROCESS OBSERVING A SUBPOPULATION
2002-01-01 Ceci, Claudia; A., Gerardi
CONTROLLED PARTIALLY OBSERVED JUMP PROCESSES: DYNAMICS DEPENDENT ON THE OBSERVED HISTORY
2001-01-01 Ceci, Claudia; A., Gerardi
Controlled trees
1994-01-01 Ceci, Claudia; L., Mazliak
EXISTENCE OF OPTIMAL CONTROLS FOR PARTIALLY OBSERVED JUMP PROCESSES
2002-01-01 Ceci, Claudia; A., Gerardi; P., Tardelli
FILTERING OF A MARKOV JUMP PROCESS WITH COUNTING OBSERVATIONS
2000-01-01 Ceci, Claudia; A., Gerardi
GKW representation theorem under restricted information. An application to risk-minimization
2014-01-01 Ceci, Claudia; Cretarola, A.; Russo, F.
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
2015-01-01 Ceci, Claudia; Colaneri, Katia; A., Cretarola
Indifference pricing of pure endowments via BSDEs under partial information
2020-01-01 Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra
Local risk-minimization under restricted information on asset prices
2015-01-01 Ceci, Claudia; Colaneri, Katia; Alessandra, Cretarola
Locally Risk-Minimizing Hedging of Counterparty Risk for Portfolio of Credit Derivatives
2020-01-01 Bo, Lijun; Ceci, Claudia
MIXED OPTIMAL STOPPING AND STOCHASTIC CONTROL PROBLEMS WITH SEMICONTINUOUS FINAL REWARD FOR DIFFUSION PROCESSES
2004-01-01 Ceci, Claudia; Bassan, B.