Следене
Marco Frittelli
Marco Frittelli
Professor at Milano University
Потвърден имейл адрес: unimi.it - Начална страница
Заглавие
Позовавания
Позовавания
Година
Putting order in risk measures
M Frittelli, E Rosazza Gianin
Journal of Banking & Finance 26 (7), 1473-1486, 2002
8572002
The minimal entropy martingale measure and the valuation problem in incomplete markets
M Frittelli
Mathematical Finance 10 (1), 39-52, 2000
6662000
On the existence of minimax martingale measures
F Bellini, M Frittelli
Mathematical Finance 12 (1), 1-21, 2002
2592002
Dynamic convex risk measures
M Frittelli, ER Gianin
Risk measures for the 21st century, 227-248, 2004
2162004
Risk measures and capital requirements for processes
M Frittelli, G Scandolo
Mathematical finance 16 (4), 589-612, 2006
2042006
Law invariant convex risk measures
M Frittelli, E Gianin
Advances in Mathematical Economics, 33-46, 2005
1632005
Introduction to a theory of value coherent with the no-arbitrage principle
M Frittelli
Finance and Stochastics 4 (3), 275-297, 2000
1382000
On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures
S Biagini, M Frittelli
Optimality and Risk-Modern Trends in Mathematical Finance, 1-28, 2010
1222010
A unified framework for utility maximization problems: an Orlicz space approach
S Biagini, M Frittelli
The Annals of Applied Probability 18 (3), 929-966, 2008
1172008
A Unified Approach to Systemic Risk Measures via Acceptance Sets
F Biagini, JP Fouque, M Frittelli, T Meyer-Brandis
Mathematical Finance 29, 329-367, 2019
1162019
Utility maximization in incomplete markets for unbounded processes
S Biagini, M Frittelli
Finance and Stochastics 9 (4), 493-517, 2005
902005
Indifference price with general semimartingales
S Biagini, M Frittelli, M Grasselli
Mathematical Finance 21 (3), 423-446, 2011
662011
Dual representation of quasiconvex conditional maps
M Frittelli, M Maggis
SIAM Journal Financial Mathematics 2, 357-382, 2010
642010
Model-free Superhedging Duality
M Burzoni, M Frittelli, M Maggis
Annals Applied Probability 27 (3), 1452-1477, 2017
602017
Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty
M Burzoni, M Frittelli, M Maggis
Finance and Stochastics 20 (1), 1-50, 2015
602015
Pointwise Arbitrage Pricing Theory in Discrete Time
M Burzoni, M Frittelli, Z Hou, M Maggis, J Obłój
Mathematics of Operation Research 44 (3), 1034-1057, 2019
562019
Conditional certainty equivalent
M Frittelli, M Maggis
International Journal of Theoretical and Applied Finance 14 (01), 41-59, 2011
422011
Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type
M Frittelli, M Maggis
Statistics & Risk Modeling 31 (1), 103-128, 2014
402014
Risk Measures on P (R) and Value At Risk with Probability/Loss function
M Frittelli, M Maggis, I Peri
Mathematical Finance 24 (2), 442-463, 2013
402013
On the super replication price of unbounded claims
S Biagini, M Frittelli
The Annals of Applied Probability 14 (4), 1970-1991, 2004
392004
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