CALLEGARO GIORGIA
Recapiti
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Posta elettronica |  |
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|---|---|---|---|
| Struttura | Dipartimento di Matematica | ||
| Telefono | 0498271481 | ||
| Qualifica | Ricercatore universitario confermato | ||
| Settore scientifico | MAT/06 - PROBABILITA E STATISTICA MATEMATICA | ||
| Rubrica di Ateneo | Visualizza | ||
Orario di ricevimento
| Mercoledì | dalle 13:30 alle 15:30 | Studio 519, Dipartimento di Matematica (Torre Archimede), Università di Padova. | Si prega di inviare comunque una mail di richiesta/prenotazione dell'appuntamento. Grazie. |
(aggiornato il 26/02/2015 10:55)
Curriculum Vitae
Callegaro, Giorgia
Date/place of birth: May 19, 1981, Padova, Italy.
Address (work): Dipartimento di Matematica
Via Trieste, 63 - 35121 Padova, Italy
Phone: +39 049 827 1481
E-mail: gcallega@math.unipd.it
Education
October 2010: PhD in Mathematics applied to Finance from the Scuola Normale Superiore di Pisa and the Université d'Evry Val d'Essonne. Thesis “Credit risk models under partial information”.
September 2007: Master 2 “Probabilités & Applications, thématique Probabilités et Finance” at the University Pierre et Marie Curie (Paris VI).
March 2005: Graduated cum Laude in Mathematics at the University of Padua. Thesis on Mathematical Finance.
Positions
Since November 2012: Assistant Professor ("Ricercatore") of Probability and Statistics at the Department of Mathematics, University of Padova.
November 2010-October 2012: quantitative analyst, “Market Risk Methodologies”, UniCredit S.p.A., Milan (Italy).
Main research interests:
Stochastic calculus and application to finance; discontinuous market models; stochastic control problems under complete and partial information; numerical methods applied to finance.
Publications
(1) G. Callegaro, G. B. Di Masi, W. J. Runggaldier, “Portfolio optimization in discontinuous markets under incomplete information”, Asia Pacific Financial Markets, Vol. 13, n. 4, December 2006, pp. 373-394.
(2) G. Callegaro, T. Vargiolu , ”Optimal portfolio for HARA utility functions in a pure-jump multidimensional incomplete market”, International Journal of Risk Assessment and Management – Special Issue on Measuring and Managing Financial Risk, Vol. 11, n. 1/2, 2009, pp. 180-200.
(3) G. Callegaro, M. Jeanblanc, W. J. Runggaldier, “Portfolio optimization in a defaultable market under incomplete information”, Decision in Economics and Finance, Vol. 35, issue 2, November 2012, pp. 91-111.
(4) G. Callegaro, A. Sagna, “An application to credit risk of a hybrid Monte Carlo-Optimal quantization method”, Journal of Computational Finance, vol. 16, n. 4, 2013, pp. 123-156.
(5) G. Callegaro, M. Jeanblanc, B. Zargari, “Carthaginian enlargement of filtrations”, accepted the 18th July 2011 by ESAIM: Probability and Statistics. DOI: 10.1051/ps/2011162.
(6) G. Callegaro, “Optimal consumption problems in defaultable markets”, accepted in April 2013 by Optimization, Special Issue on Optimization Methods in Mathematical Finance.
Date/place of birth: May 19, 1981, Padova, Italy.
Address (work): Dipartimento di Matematica
Via Trieste, 63 - 35121 Padova, Italy
Phone: +39 049 827 1481
E-mail: gcallega@math.unipd.it
Education
October 2010: PhD in Mathematics applied to Finance from the Scuola Normale Superiore di Pisa and the Université d'Evry Val d'Essonne. Thesis “Credit risk models under partial information”.
September 2007: Master 2 “Probabilités & Applications, thématique Probabilités et Finance” at the University Pierre et Marie Curie (Paris VI).
March 2005: Graduated cum Laude in Mathematics at the University of Padua. Thesis on Mathematical Finance.
Positions
Since November 2012: Assistant Professor ("Ricercatore") of Probability and Statistics at the Department of Mathematics, University of Padova.
November 2010-October 2012: quantitative analyst, “Market Risk Methodologies”, UniCredit S.p.A., Milan (Italy).
Main research interests:
Stochastic calculus and application to finance; discontinuous market models; stochastic control problems under complete and partial information; numerical methods applied to finance.
Publications
(1) G. Callegaro, G. B. Di Masi, W. J. Runggaldier, “Portfolio optimization in discontinuous markets under incomplete information”, Asia Pacific Financial Markets, Vol. 13, n. 4, December 2006, pp. 373-394.
(2) G. Callegaro, T. Vargiolu , ”Optimal portfolio for HARA utility functions in a pure-jump multidimensional incomplete market”, International Journal of Risk Assessment and Management – Special Issue on Measuring and Managing Financial Risk, Vol. 11, n. 1/2, 2009, pp. 180-200.
(3) G. Callegaro, M. Jeanblanc, W. J. Runggaldier, “Portfolio optimization in a defaultable market under incomplete information”, Decision in Economics and Finance, Vol. 35, issue 2, November 2012, pp. 91-111.
(4) G. Callegaro, A. Sagna, “An application to credit risk of a hybrid Monte Carlo-Optimal quantization method”, Journal of Computational Finance, vol. 16, n. 4, 2013, pp. 123-156.
(5) G. Callegaro, M. Jeanblanc, B. Zargari, “Carthaginian enlargement of filtrations”, accepted the 18th July 2011 by ESAIM: Probability and Statistics. DOI: 10.1051/ps/2011162.
(6) G. Callegaro, “Optimal consumption problems in defaultable markets”, accepted in April 2013 by Optimization, Special Issue on Optimization Methods in Mathematical Finance.
Insegnamenti dell'AA 2016/17
| Corso | Curr. | Codice | Insegnamento | CFU | Anno | Periodo | Responsabile |
|---|---|---|---|---|---|---|---|
| IN2191 | 000ZZ | INP5070357 | ANALYTICAL AND STOCHASTIC MATHEMATICAL METHODS FOR ENGINEERING | 12 | I | Primo semestre | GIORGIA CALLEGARO |
| SC1165 | 000ZZ | SCN1028509 | STATISTICA | 6 | I | Secondo semestre | MARTINO GRASSELLI |