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Publications in peer-reviewed international journals

  1. Ceci C., Colaneri K., Cretarola A., Optimal reinsurance and investment under common shock dependence between financial and actuarial markets. Insurance: Mathematics and Economics, Volume 105, pp. 252-278, 2022.
  2. Cretarola A., Figà Talamanca G., Detecting bubbles in Bitcoin price dynamics via market exuberance. Annals of Operations Research, Volume 299 (1-2), pp. 459-479, 2021.
  3. Cretarola A., Figà Talamanca G.,Grunspan, C., Blockchain and cryptocurrencies: economic and financial research. Decisions in Economics and Finance, Volume 44, pp. 781-787, 2021.
  4. Colaneri K., Cretarola A., Salterini B., Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences. Mathematics, Volume 9, Issue 14, Article n. 1610, 2021.
  5. Cretarola A., Figà Talamanca G., Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics. Economics Letters, Volume 191, 2020.
  6. Ceci C., Colaneri K., Cretarola A., Indifference pricing of pure endowments via BSDEs under partial information. Scandinavian Actuarial Journal, Volume 2020, pp. 904-933, 2020.
  7. Cretarola A., Figà Talamanca G., Patacca M., Market attention and Bitcoin price modeling: theory, estimation and option pricing. Decisions in Economics and Finance, Volume 43, pp. 187-228, 2020.
  8. Bistarelli S., Cretarola A., Figà-Talamanca G., Patacca M., Model-based arbitrage in multi-exchange models for Bitcoin price dynamics. Digital Finance, Volume 1, pp. 23-46, 2019. https://doi.org/10.1007/s42521-019-00001-2.
  9. Ceci C., Colaneri K., Cretarola A., Unit-linked life insurance policies: optimal hedging in partially observable market models. Insurance: Mathematics and Economics, Volume 76, pp. 149-163, 2017. ArXiv version: https://arxiv.org/pdf/1608.07226.pdf
  10. Ceci C., Colaneri K., Cretarola A., The Föllmer-Schweizer decomposition under incomplete information.  Stochastics: An International Journal of Probability and Stochastic Processes, Volume 89, Issue 8, pp. 1166-1200, 2017. ArXiv version: http://arxiv.org/pdf/1511.05465v1.pdf  
  11. Ceci C., Colaneri K., Cretarola A., Local risk-minimization under restricted information on asset prices. Electronic Journal of Probability, Volume 20, Issue 96, pp. 1-30, 2015. ArXiv version: http://arxiv.org/pdf/1312.4385v2.pdf
  12. Ceci C., Colaneri K., Cretarola A., Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. Insurance: Mathematics and Economics, Volume 60, pp. 47-60, 2015. ArXiv version: https://arxiv.org/pdf/1406.6902.pdf
  13. Ceci C., Cretarola A., Russo F., BSDEs under partial information and financial applications. Stochastic Processes and their Applications, Volume 124, Issue 8, pp. 2628-2653, 2014. ArXiv version: http://arxiv.org/pdf/1305.3690v1.pdf
  14. Biagini F., Cretarola A., Platen E., Local risk-minimization under the benchmark approach. Mathematics and Financial Economics, Volume 8, Issue 2, pp. 109-134, 2014. ArXiv version: http://arxiv.org/pdf/1210.2337v1.pdf 
  15. Ceci C., Colaneri K., Cretarola A., A benchmark approach to risk-minimization under partial information. Insurance: Mathematics and  Economics, Volume 55, pp.  129-146, 2014. ArXiv version: http://arxiv.org/pdf/1307.6036v1.pdf
  16. Ceci C., Cretarola A., Russo F., GKW representation theorem under restricted information. An application to risk-minimization. Stochastics  and Dynamics, Volume 14, Issue 2, pp. 1350019 (23 pages), 2014. ArXiv version: http://arxiv.org/pdf/1205.3726v2.pdf
  17. Biagini F., Cretarola A., Local risk-minimization for defaultable claims with recovery process. Applied Mathematics and Optimization, Volume 65, Issue 3, pp. 293-314, 2012. Available at: http://www.springerlink.com/content/g7l32023256tt854/
  18. Cretarola A., Gozzi F., Pham H., Tankov P., Optimal consumption policies in illiquid markets. Finance and Stochastics, Volume 15, Issue 1, pp. 85-115, 2011. Available at: http://www.math.ethz.ch/~finasto/
  19. Biagini F., Cretarola A., Local risk-minimization for defaultable markets. Mathematical Finance, Volume 19, Issue 4, pp. 669 - 689, 2009. Available at: http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9965.2009.00384.x/full
  20. Biagini F., Cretarola A., Quadratic hedging methods for defaultable claims. Applied Mathematics and Optimization, Volume 56, Issue 3,  pp. 425-443, 2007. Available at: http://www.springerlink.com/content/47702147n72t0xmg/

Chapters in peer-reviewed international books

  1. Bistarelli S., Cretarola A., Figà-Talamanca G., Mercanti I., Patacca M., Is arbitrage possible in the Bitcoin market? (Work-in-progress-paper). In: Coppola M., Carlini E., D'Agostino D., Altmann J., Bañares J. (Eds.) Economics of Grids, Clouds, Systems, and Services: 15th International Conference, GECON 2018, Pisa, Italy. Proceedings. Lecture Notes in Computer Science, vol. 11113. Springer Verlag, pp. 243 -251, 2019. https://doi.org/10.1007/978-3-030-13342-9_21.
  2. Cretarola A., Figà Talamanca G., Modeling Bitcoin price and bubbles. In: Salman, A. (Ed.), Blockchain and Cryptocurrencies. London:InTechOpen, ISBN: 978-1-83881-208-9, Chapter 1, pp. 3-20,. , 2018. https://doi.org/10.5772/intechopen.79386. Available from: https://www.intechopen.com/online-first/modeling-bitcoin-price-and-bubbles. 
  3. Cretarola A., Figà Talamanca G., Patacca M., A continuous time model for Bitcoin price dynamics. In: Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (Eds.) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham, pp. 273 - 277, 2018. https://doi.org/10.1007/978-3-319-89824-7_49.

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