Giorgia Callegaro

University of Padua

Via 8 Febbraio, 2

Padova, Vicenza 35122

Italy

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 44,997

SSRN RANKINGS

Top 44,997

in Total Papers Downloads

1,216

SSRN CITATIONS
Rank 29,216

SSRN RANKINGS

Top 29,216

in Total Papers Citations

16

CROSSREF CITATIONS

14

Scholarly Papers (8)

1.

Pricing and Calibration in Local Volatility Models via Fast Quantization

Number of pages: 13 Posted: 15 Sep 2014 Last Revised: 12 May 2017
Giorgia Callegaro, Lucio Fiorin and Martino Grasselli
University of Padua, University of Padua and University of Padova - Department of Mathematics
Downloads 322 (114,544)
Citation 6

Abstract:

Loading...

Quantization, local volatility, calibration, Normal quadratic volatility model

2.

Quantization Meets Fourier: A New Technology for Pricing Options

Number of pages: 24 Posted: 12 Apr 2017
Giorgia Callegaro, Lucio Fiorin and Martino Grasselli
University of Padua, University of Padua and University of Padova - Department of Mathematics
Downloads 296 (125,309)
Citation 3

Abstract:

Loading...

Quantization, characteristic function, option pricing, stochastic volatility, jump processes, American options

3.

Pricing via Quantization in Stochastic Volatility Models

Number of pages: 27 Posted: 07 Oct 2015
Giorgia Callegaro, Lucio Fiorin and Martino Grasselli
University of Padua, University of Padua and University of Padova - Department of Mathematics
Downloads 232 (160,158)
Citation 6

Abstract:

Loading...

4.

A Backward Monte Carlo Approach to Exotic Option Pricing

Number of pages: 47 Posted: 05 Nov 2015 Last Revised: 04 Oct 2016
University of Bologna - Department of Mathematics, University of Padua, Scuola Normale Superiore and Banca IMI
Downloads 161 (222,658)
Citation 7

Abstract:

Loading...

Monte Carlo, Variance Reduction, Quantization, Markov Generator, Local Volatility, Option Pricing

5.

Optimal Investment in Markets with Over and Under-Reaction to Information

Number of pages: 27 Posted: 06 Jul 2015
Giorgia Callegaro, M'hamed Gaigi, Simone Scotti and Carlo Sgarra
University of Padua, Université d'Évry, Université Paris VII Denis Diderot and Politecnico di Milano- Dipartimento di Matematica
Downloads 100 (318,314)
Citation 2

Abstract:

Loading...

Jump-Diffusion Models, Partial Information, Portfolio Optimization, Nonlinear Filtering, Enlargement of Filtrations, Over and Under-Reaction

6.

Quantization Goes Polynomial

Number of pages: 25 Posted: 01 Nov 2017 Last Revised: 26 Nov 2017
Giorgia Callegaro, Lucio Fiorin and Andrea Pallavicini
University of Padua, University of Padua and Banca IMI
Downloads 80 (365,495)
Citation 4

Abstract:

Loading...

Quantization, Polynomial Models, Stochastic Volatility, Option Pricing, Path-Dependent Options

7.

Functional quantization of rough volatility and applications to the VIX

Number of pages: 35 Posted: 09 Apr 2021
Ofelia Bonesini, Giorgia Callegaro and Antoine (Jack) Jacquier
University of Padua, University of Padua and Imperial College London
Downloads 20 (620,812)

Abstract:

Loading...

Riemann-Liouville process, Volterra process, functional quantization, series expansion, rough volatility, VIX options

8.

A Fully Quantization-based Scheme for FBSDEs

Number of pages: 22 Posted: 10 May 2021
Giorgia Callegaro, Alessandro Gnoatto and Martino Grasselli
University of Padua, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 5 (732,096)

Abstract:

Loading...

FBSDEs, Quantization, Numerical Scheme