Deep Quadratic Hedging.

Athena Picarelli

Alessandro Gnoatto Silvia Lavagnini Athena Picarelli Deep Quadratic Hedging. 2972-3009 2025 50 Math. Oper. Res. 4 https://doi.org/10.1287/moor.2023.0213 db/journals/mor/mor50.html#GnoattoLP25 streams/journals/mor

Kristoffer Andersson 0004 Alessandro Gnoatto Marco Patacca Athena Picarelli A Deep Solver for BSDEs with Jumps. 875-911 2025 16 SIAM J. Financial Math. 3 https://doi.org/10.1137/23m1615048 db/journals/siamfm/siamfm16.html#AnderssonGPP25 streams/journals/siamfm

Alessandro Gnoatto Katharina Oberpriller Athena Picarelli Convergence of a Deep BSDE solver with jumps. 2025 January abs/2501.09727 CoRR https://doi.org/10.48550/arXiv.2501.09727 db/journals/corr/corr2501.html#abs-2501-09727 streams/journals/corr

Elisabetta Carlini Athena Picarelli Francisco J. Silva 0001 A Semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with Dirichlet boundary conditions. 2025 March abs/2503.20283 CoRR https://doi.org/10.48550/arXiv.2503.20283 db/journals/corr/corr2503.html#abs-2503-20283 streams/journals/corr

Alessandro Fina Alessandro Gnoatto Athena Picarelli Quantization of stochastic volatility models: Numerical tests and an open source implementation. 29-51 2024 225 Math. Comput. Simul. https://doi.org/10.1016/j.matcom.2024.04.030 db/journals/mcs/mcs225.html#FinaGP24

Alessandro Gnoatto Athena Picarelli Christoph Reisinger Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework. 314-352 2023 March 14 SIAM J. Financial Math. 1 https://doi.org/10.1137/21m1457606 db/journals/siamfm/siamfm14.html#GnoattoPR23

Alessandro Gnoatto Marco Patacca Athena Picarelli A deep solver for BSDEs with jumps. 2022 abs/2211.04349 CoRR https://doi.org/10.48550/arXiv.2211.04349 db/journals/corr/corr2211.html#abs-2211-04349

Alessandro Gnoatto Silvia Lavagnini Athena Picarelli Deep Quadratic Hedging. 2022 abs/2212.12725 CoRR https://doi.org/10.48550/arXiv.2212.12725 db/journals/corr/corr2212.html#abs-2212-12725

Olivier Bokanowski Athena Picarelli Christoph Reisinger Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations. 187-222 2021 148 Numerische Mathematik 1 https://doi.org/10.1007/s00211-021-01202-x db/journals/nm/nm148.html#BokanowskiPR21

Athena Picarelli Christoph Reisinger Duality-based <i>a posteriori</i> error estimates for some approximation schemes for optimal investment problems. 2099-2118 2020 79 Comput. Math. Appl. 7 https://doi.org/10.1016/j.camwa.2019.12.010 https://www.wikidata.org/entity/Q126411344 db/journals/cma/cma79.html#PicarelliR20

Géraldine Bouveret Athena Picarelli A Level-Set Approach for Stochastic Optimal Control Problems Under Controlled-Loss Constraints. 779-805 2020 186 J. Optim. Theory Appl. 3 https://doi.org/10.1007/s10957-020-01724-8 db/journals/jota/jota186.html#BouveretP20

Athena Picarelli Christoph Reisinger Probabilistic error analysis for some approximation schemes to optimal control problems. 104619 2020 137 Syst. Control. Lett. https://doi.org/10.1016/j.sysconle.2019.104619 db/journals/scl/scl137.html#PicarelliR20

Axel Kröner Athena Picarelli Hasnaa Zidani Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost. 3296-3319 2018 56 SIAM J. Control. Optim. 5 https://doi.org/10.1137/17M115253X https://www.wikidata.org/entity/Q129206505 db/journals/siamco/siamco56.html#KronerPZ18

Olivier Bokanowski Athena Picarelli Hasnaa Zidani State-Constrained Stochastic Optimal Control Problems via Reachability Approach. 2568-2593 2016 54 SIAM J. Control. Optim. 5 https://doi.org/10.1137/15M1023737 db/journals/siamco/siamco54.html#BokanowskiPZ16

Simone Cacace Emiliano Cristiani Maurizio Falcone Athena Picarelli A Patchy Dynamic Programming Scheme for a Class of Hamilton-Jacobi-Bellman Equations. 2012 34 SIAM J. Sci. Comput. 5 https://doi.org/10.1137/110841576 db/journals/siamsc/siamsc34.html#CacaceCFP12

Simone Cacace Emiliano Cristiani Maurizio Falcone Athena Picarelli A patchy Dynamic Programming scheme for a class of Hamilton-Jacobi-Bellman equations http://arxiv.org/abs/1109.3577 2011 CoRR abs/1109.3577 db/journals/corr/corr1109.html#abs-1109-3577

Francisco José Silva AlvarezFrancisco J. Silva 0001 Kristoffer Andersson 0004 Olivier Bokanowski Géraldine Bouveret Simone Cacace Elisabetta Carlini Emiliano Cristiani Maurizio Falcone Alessandro Fina Alessandro Gnoatto Axel Kröner Silvia Lavagnini Katharina Oberpriller Marco Patacca Christoph Reisinger Hasnaa Zidani