CRETAROLA, ALESSANDRA
CRETAROLA, ALESSANDRA
DIPARTIMENTO DI ECONOMIA
A continuous time model for bitcoin price dynamics
2018-01-01 Cretarola, A.; Figa-Talamanca, G.; Patacca, M.
Blockchain and cryptocurrencies: economic and financial research
2021-01-01 Cretarola, A.; Figa-Talamanca, G.; Grunspan, C.
Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics
2020-01-01 Cretarola, A.; Figa-Talamanca, G.
Detecting bubbles in Bitcoin price dynamics via market exuberance
2021-01-01 Cretarola, A.; Figa-Talamanca, G.
GKW representation theorem under restricted information: An application to risk-minimization
2014-01-01 Ceci, C.; Cretarola, A.; Russo, F.
Is arbitrage possible in the bitcoin market? (Work-In-Progress Paper)
2019-01-01 Bistarelli, S.; Cretarola, A.; Figa-Talamanca, G.; Mercanti, I.; Patacca, M.
Local risk minimization for defaultable markets
2009-01-01 Biagini, F.; Cretarola, A.
Local risk-minimization for defaultable claims with recovery process
2012-01-01 Biagini, F.; Cretarola, A.
Local risk-minimization under the benchmark approach
2014-01-01 Biagini, F.; Cretarola, A.; Platen, E.
Market attention and Bitcoin price modeling: theory, estimation and option pricing
2020-01-01 Cretarola, A.; Figa-Talamanca, G.; Patacca, M.
Model-based arbitrage in multi-exchange models for Bitcoin price dynamics
2019-01-01 Bistarelli, Stefano; Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco
Modeling Bitcoin Price and Bubbles
2019-01-01 Cretarola, Alessandra; Figà-Talamanca, Gianna
Optimal consumption policies in illiquid markets
2011-01-01 Cretarola, A.; Gozzi, F.; Pham, H.; Tankov, P.
Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences
2021-01-01 Colaneri, K.; Cretarola, A.; Salterini, B.
Option pricing in a sentiment-biased stochastic volatility model
2024-01-01 Cretarola, Alessandra; Figà-Talamanca, Gianna; Patacca, Marco
Quadratic hedging methods for defaultable claims
2007-01-01 Biagini, F.; Cretarola, A.
Sentiment‐driven mean reversion in the 4/2 stochastic volatility model with jumps
2024-01-01 Cretarola, Alessandra; Figà‐talamanca, Gianna; Patacca, Marco