Giorgia Callegaro

According to our database, Giorgia Callegaro authored at least 5 papers between 2017 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2023

A fully quantization-based scheme for FBSDEs.

Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli

Appl. Math. Comput., 2023

2021

Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough).

Giorgia Callegaro, Martino Grasselli, Gilles Pagès

Math. Oper. Res., 2021

2020

Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications.

René Aïd, Matteo Basei, Giorgia Callegaro, Luciano Campi, Tiziano Vargiolu

Math. Oper. Res., 2020

2019

Quantization meets Fourier: a new technology for pricing options.

Giorgia Callegaro, Lucio Fiorin, Martino Grasselli

Ann. Oper. Res., 2019

2017

Utility indifference pricing and hedging for structured contracts in energy markets.

Giorgia Callegaro, Luciano Campi, Valeria Giusto, Tiziano Vargiolu

Math. Methods Oper. Res., 2017