Details about Alessandra Cretarola

Access statistics for papers by Alessandra Cretarola.

Last updated 2017-10-20. Update your information in the RePEc Author Service.

Short-id: pcr190

Working Papers

2017

1. A confidence-based model for asset and derivative prices in the BitCoin market
   Papers, arXiv.org View citations (7)
2. A sentiment-based model for the BitCoin: theory, estimation and option pricing
   Papers, arXiv.org View citations (5)

2016

3. The F\"ollmer-Schweizer decomposition under incomplete information
   Papers, arXiv.org View citations (2)
4. Unit-linked life insurance policies: optimal hedging in partially observable market models
   Papers, arXiv.org View citations (3)

2014

5. Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
   Papers, arXiv.org
   See also Journal Article Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization, Insurance: Mathematics and Economics, Elsevier (2015) View citations (8) (2015)
6. Local risk-minimization under restricted information to asset prices
   Papers, arXiv.org View citations (7)

2013

7. A Benchmark Approach to Risk-Minimization under Partial Information
   Papers, arXiv.org View citations (1)
   See also Journal Article A benchmark approach to risk-minimization under partial information, Insurance: Mathematics and Economics, Elsevier (2014) View citations (6) (2014)

2012

8. Local Risk-Minimization under the Benchmark Approach
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (17)
   Also in Papers, arXiv.org (2012) View citations (6)

2008

9. Optimal consumption policies in illiquid markets
   Working Papers, HAL View citations (4)
   See also Journal Article Optimal consumption policies in illiquid markets, Finance and Stochastics, Springer (2011) View citations (10) (2011)

Journal Articles

2015

1. Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
   Insurance: Mathematics and Economics, 2015, 60, (C), 47-60 View citations (8)
   See also Working Paper Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization, Papers (2014) (2014)

2014

2. A benchmark approach to risk-minimization under partial information
   Insurance: Mathematics and Economics, 2014, 55, (C), 129-146 View citations (6)
   See also Working Paper A Benchmark Approach to Risk-Minimization under Partial Information, Papers (2013) View citations (1) (2013)
3. BSDEs under partial information and financial applications
   Stochastic Processes and their Applications, 2014, 124, (8), 2628-2653 View citations (9)

2011

4. Optimal consumption policies in illiquid markets
   Finance and Stochastics, 2011, 15, (1), 85-115 View citations (10)
   See also Working Paper Optimal consumption policies in illiquid markets, Working Papers (2008) View citations (4) (2008)