17 citations · 86 across the 22 of their papers we have counts for
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q-fin.MF2016★ 17 cited
Unit-linked life insurance policies: optimal hedging in partially observable market models
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on…
q-fin.MF2016★ 15 cited
Optimal Liquidation under Partial Information with Price Impact
Katia Colaneri, Zehra Eksi, Rüdiger Frey +1
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finit…