| Nonlinear filtering for jump diffusion observations C Ceci, K Colaneri Advances in Applied Probability 44 (3), 678-701, 2012 | 56 | 2012 |
| The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness C Ceci, K Colaneri Applied Mathematics & Optimization 69 (1), 47-82, 2014 | 51 | 2014 |
| Unit-linked life insurance policies: Optimal hedging in partially observable market models C Ceci, K Colaneri, A Cretarola Insurance: Mathematics and Economics 76, 149-163, 2017 | 20 | 2017 |
| A benchmark approach to risk-minimization under partial information C Ceci, K Colaneri, A Cretarola Insurance: Mathematics and Economics 55, 129-146, 2014 | 20 | 2014 |
| Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization C Ceci, K Colaneri, A Cretarola Insurance: Mathematics and Economics 60, 47-60, 2015 | 19 | 2015 |
| Optimal liquidation under partial information with price impact K Colaneri, Z Eksi, R Frey, M Szölgyenyi Stochastic Processes and their Applications 130 (4), 1913-1946, 2020 | 18 | 2020 |
| Optimal reinsurance and investment under common shock dependence between financial and actuarial markets C Ceci, K Colaneri, A Cretarola Insurance: Mathematics and Economics 105, 252-278, 2022 | 17 | 2022 |
| Local risk-minimization under restricted information on asset prices C Ceci, A Cretarola, K Colaneri | 16 | 2015 |
| The value of knowing the market price of risk K Colaneri, S Herzel, M Nicolosi Annals of Operations Research 299 (1), 101-131, 2021 | 13 | 2021 |
| Pairs trading under drift uncertainty and risk penalization S Altay, K Colaneri, Z Eksi International Journal of Theoretical and Applied Finance 21 (07), 1850046, 2018 | 11 | 2018 |
| Indifference pricing of pure endowments via BSDEs under partial information C Ceci, K Colaneri, A Cretarola Scandinavian Actuarial Journal 2020 (10), 904-933, 2020 | 10 | 2020 |
| Portfolio optimization for a large investor controlling market sentiment under partial information S Altay, K Colaneri, Z Eksi SIAM Journal on Financial Mathematics 10 (2), 512-546, 2019 | 9 | 2019 |
| The Föllmer–Schweizer decomposition under incomplete information C Ceci, K Colaneri, A Cretarola Stochastics 89 (8), 1166-1200, 2017 | 7 | 2017 |
| Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds K Colaneri, R Frey Insurance: Mathematics and Economics 101, 498-507, 2021 | 5 | 2021 |
| Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences K Colaneri, A Cretarola, B Salterini Mathematics 9 (14), 1610, 2021 | 5 | 2021 |
| Value adjustments and dynamic hedging of reinsurance counterparty risk C Ceci, K Colaneri, R Frey, V Köck SIAM Journal on Financial Mathematics 11 (3), 788-814, 2020 | 5 | 2020 |
| Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics E Bandini, A Calvia, K Colaneri Stochastic Processes and their Applications 151, 396-435, 2022 | 4 | 2022 |
| Optimal convergence trading with unobservable pricing errors S Altay, K Colaneri, Z Eksi Annals of Operations Research 299 (1), 133-161, 2021 | 4 | 2021 |
| Shall i sell or shall i wait? optimal liquidation under partial information with price impact K Colaneri, Z Eksi, R Frey, M Szölgyenyi arXiv preprint arXiv:1606.05079, 2016 | 4 | 2016 |
| Some optimisation problems in insurance with a terminal distribution constraint K Colaneri, J Eisenberg, B Salterini Scandinavian Actuarial Journal 2023 (7), 655-678, 2023 | 3 | 2023 |
claudia ceciDep. MEMOTEF, University of Rome SapienzaVerified email at uniroma1.it
