Affiliation: University of Tor Vergata

Address: via Columbia n. 2, 00133 Roma

Telephone: +39 06 72595929

Web page:

Research Interests: Filtering Problems and Stochastic Control problems under full and partial information.
Applications to finance: quadratic methods for derivatives hedging in incomplete financial and insurance market models under compete and partial information.



Katia Colaneri is Assistant Professor at the Department of Economics and Finance of the University of Rome Tor Vergata from June 2019. Before, she was Lecturer in Financial and Actuarial Mathematics at the University of Leeds (UK). In 2020 she got Habilitation as Associate professor in Mathematical Methods for Economics, Actuarial and Financial sciences. Katia has been awarded the Grant scheme 1 from the London Mathematical Society and the ACRI Award Young investigation Training Program. Her research interests include nonlinear filtering and optimal control problem under full and partial information and their application to pricing and hedging of financial derivatives and insurance policies and to risk management.


  • C. Ceci, K. Colaneri, R. Frey and V. Kock, Value adjustment and dynamic hedging of Reinsurance Counterparty Risk, Siam Journal on Financial Mathematics, Vol 11, n. 3, pp. 788-814, 2020, ArXiv Version:
  • C. Ceci , K. Colaneri and A. Cretarola, Indifference pricing of pure endowments via BSDEs under partial information, Scandinavian Actuarial Journal, DOI:10.1080/03461238.2020.179003. ArXiv Version:
  • S. Altay, K. Colaneri and Z. Eksi, Optimal Converge Trading with Unobservable Pricing Error. Annals of Operations Research, 2020, DOI:10.1007/s10479-020-03647-z. ArXiv Version:
  • K. Colaneri, S. Herzel and M. Nicolosi, The value of knowing the market price of risk, Annals of Operations Research, 2020, DOI:10.1007/s10479-020-03596-7. arXiv Version:
  • K. Colaneri, Z. Eksi, R. Frey and M. Szölgyenyi. Optimal liquidation under partial information with Price Impact, Stochastic Processes and their Applications, 2020, Vol 130, n.4, pp. 1913-1946, DOI: 10.1016/ arXiv Version:

More CEIS Publications »

Events & Presentations

  • 01/2020, XXI Workshop on Quantitative Finance - Napoli
  • 09/2019, 2nd Vienna Conference in Mathematical Finance - Vienna
  • 04/2019, 2nd Leeds Conference on Stochastic control and games under ambiguity - Leeds
  • 07/2018, 10th World Congress of the Bachelier Finance Society - Dublin
  • 07/2018, 14th Viennese Conference on Optimal Control and Dynamic Games - Vienna

Research Programs & Projects

We want to propose new mathematical models that reproduce some stylized characteristics of defaultable markets and naturally include wrong-way risk. From a more technical point of view we aim to develop theoretical results that enable us to compute various prices adjustments of credit derivatives. One of our goals is to investigate in details the effect of a possible default of a reinsurance company on the price of reinsurance contracts and determine the hedging strategies that permit to reduce the insurance credit-risk profile.