Следене
Beatrice Acciaio
Beatrice Acciaio
Professor, ETH Zurich
Потвърден имейл адрес: math.ethz.ch
Заглавие
Позовавания
Позовавания
Година
Dynamic risk measures
B Acciaio, I Penner
Advanced mathematical methods for finance, 1-34, 2011
1832011
A model‐free version of the fundamental theorem of asset pricing and the super‐replication theorem
B Acciaio, M Beiglböck, F Penkner, W Schachermayer
Mathematical Finance 26 (2), 233-251, 2016
1802016
Optimal risk sharing with non-monotone monetary functionals
B Acciaio
Finance and Stochastics 11 (2), 267-289, 2007
772007
A trajectorial interpretation of Doob’s martingale inequalities
B Acciaio, M Beiglböck, F Penkner, W Schachermayer, J Temme
The Annals of Applied Probability 23 (4), 1494-1505, 2013
622013
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
B Acciaio, H Föllmer, I Penner
Finance and Stochastics 16 (4), 669-709, 2012
622012
Extended mean field control problems: stochastic maximum principle and transport perspective
B Acciaio, J Backhoff-Veraguas, R Carmona
SIAM journal on Control and Optimization 57 (6), 3666-3693, 2019
562019
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
B Acciaio, C Fontana, C Kardaras
Stochastic Processes and their Applications 126 (6), 1761-1784, 2016
532016
Cot-gan: Generating sequential data via causal optimal transport
T Xu, LK Wenliang, M Munn, B Acciaio
Advances in Neural Information Processing Systems 33, 8798-8809, 2020
372020
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
B Acciaio, J Backhoff-Veraguas, A Zalashko
Stochastic Processes and their Applications 130 (5), 2918-2953, 2020
322020
Optimal risk sharing with different reference probabilities
B Acciaio, G Svindland
Insurance: Mathematics and Economics 44 (3), 426-433, 2009
282009
Optimal portfolio selection via conditional convex risk measures on L p
B Acciaio, V Goldammer
Decisions in Economics and Finance 36 (1), 1-21, 2013
152013
Are law-invariant risk functions concave on distributions?
B Acciaio, G Svindland
Dependence Modeling 1 (2013), 54-64, 2013
152013
Short note on inf-convolution preserving the Fatou property
B Acciaio
Annals of Finance 5 (2), 281-287, 2009
142009
Semi-static completeness and robust pricing by informed investors
B Acciaio, M Larsson
The Annals of Applied Probability 27 (4), 2270-2304, 2017
132017
Existence of radial solutions for quasilinear elliptic equations with singular nonlinearities
B Acciaio, P Pucci
Advanced Nonlinear Studies 3 (4), 511-539, 2003
112003
Inversion of convex ordering: Local volatility does not maximize the price of VIX futures
B Acciaio, J Guyon
SIAM Journal on Financial Mathematics 11 (1), SC1-SC13, 2020
102020
Cournot--Nash Equilibrium and Optimal Transport in a Dynamic Setting
B Acciaio, JB Veraguas, J Jia
SIAM Journal on Control and Optimization 59 (3), 2273-2300, 2021
82021
Absolutely continuous optimal martingale measures
B Acciaio
Oldenbourg Wissenschaftsverlag GmbH 23 (2), 81-100, 2005
72005
The space of outcomes of semi-static trading strategies need not be closed
B Acciaio, M Larsson, W Schachermayer
Finance and Stochastics 21 (3), 741-751, 2017
62017
In Advanced Mathematical Methods for Finance, chapter 1. Dynamic convex risk measures
B Acciaio, I Penner
Springer-Verlag Berlin Heidelberg, 2011
6*2011
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