Utility indifference pricing and hedging for structured contracts in energy markets. - Giorgia Callegaro; Luciano Campi; Valeria Giusto; Tiziano Vargiolu (Math. Methods Oper. Res., 2017)

Quantization meets Fourier: a new technology for pricing options. - Giorgia Callegaro; Lucio Fiorin; Martino Grasselli (Ann. Oper. Res., 2019)

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)

Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough). - Giorgia Callegaro; Martino Grasselli; Gilles Pagès (Math. Oper. Res., 2021)

A fully quantization-based scheme for FBSDEs. - Giorgia Callegaro; Alessandro Gnoatto; Martino Grasselli (Appl. Math. Comput., 2023)

Recent advances in mathematical methods for finance. - Giorgia Callegaro; Claudio Fontana; Martino Grasselli; Wolfgang J. Runggaldier; Tiziano Vargiolu (Ann. Oper. Res., 2024)