38 citations · 94 across the 19 of their papers we have counts for
3 papers · 1 filter
Local risk-minimization under restricted information to asset prices
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we investigate the local risk-minimization approach for a semimartingale financial market where there are restrictions on the available information to agents who can…
A Benchmark Approach to Risk-Minimization under Partial Information
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we study a risk-minimizing hedging problem for a semimartingale incomplete financial market where d+1 assets are traded continuously and whose price is expressed in u…
BSDEs under partial information and financial applications
Claudia Ceci, Alessandra Cretarola, Francesco Russo
In this paper we provide existence and uniqueness results for the solution of BSDEs driven by a general square integrable martingale under partial information. We discuss some spec…