17 citations · 86 across the 22 of their papers we have counts for
5 papers · 1 filter
Optimal Convergence Trading with Unobservable Pricing Errors
Sühan Altay, Katia Colaneri, Zehra Eksi
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relati…
The value of knowing the market price of risk
Katia Colaneri, Stefano Herzel, Marco Nicolosi
This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk. We s…
Value adjustments and dynamic hedging of reinsurance counterparty risk
Claudia Ceci, Katia Colaneri, Rdiger Frey +1
Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations towards the cedi…
A class of recursive optimal stopping problems with applications to stock trading
Katia Colaneri, Tiziano De Angelis
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the proble…
Classical solutions of the Backward PIDE for Markov Modulated Marked Point Processes and Applications to CAT Bonds
Katia Colaneri, Rüdiger Frey
The objective of this paper is to give conditions ensuring that the backward partial integro differential equation associated with a multidimensional jump-diffusion with a pure jum…