Works matching AU Frittelli, Marco
Results: 21
Pointwise Arbitrage Pricing Theory in Discrete Time.
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- Mathematics of Operations Research, 2019, v. 44, n. 3, p. 1034, doi. 10.1287/moor.2018.0956
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- Article
ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES.
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- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 1, p. 163, doi. 10.1142/S0219024911006309
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CONDITIONAL CERTAINTY EQUIVALENT.
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- International Journal of Theoretical & Applied Finance, 2011, v. 14, n. 1, p. 41, doi. 10.1142/S0219024911006255
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- Article
Real-Valued Systemic Risk Measures.
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- Mathematics (2227-7390), 2021, v. 9, n. 9, p. 1016, doi. 10.3390/math9091016
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- Article
Scientific research measures.
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- Journal of the Association for Information Science & Technology, 2016, v. 67, n. 12, p. 3051, doi. 10.1002/asi.23530
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- Article
THE MINIMAL ENTROPY MARTINGALE MEASURE AND THE VALUATION PROBLEM IN INCOMPLETE MARKETS.
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- Mathematical Finance, 2000, v. 10, n. 1, p. 39, doi. 10.1111/1467-9965.00079
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Complete duality for quasiconvex dynamic risk measures on modules of the L <sup> p </sup>-type.
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- Statistics & Risk Modeling, 2014, v. 31, n. 1, p. 103, doi. 10.1515/strm-2013-1163
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- Article
Multivariate systemic optimal risk transfer equilibrium.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 435, doi. 10.1007/s10479-022-04652-0
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- Article
Entropy martingale optimal transport and nonlinear pricing–hedging duality.
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- Finance & Stochastics, 2023, v. 27, n. 2, p. 255, doi. 10.1007/s00780-023-00498-x
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On fairness of systemic risk measures.
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- Finance & Stochastics, 2020, v. 24, n. 2, p. 513, doi. 10.1007/s00780-020-00417-4
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Universal arbitrage aggregator in discrete-time markets under uncertainty.
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- Finance & Stochastics, 2016, v. 20, n. 1, p. 1, doi. 10.1007/s00780-015-0283-x
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The supermartingale property of the optimal wealth process for general semimartingales.
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- Finance & Stochastics, 2007, v. 11, n. 2, p. 253, doi. 10.1007/s00780-006-0026-0
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Utility maximization in incomplete markets for unbounded processes.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 493, doi. 10.1007/s00780-005-0163-x
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Introduction to a theory of value coherent with the no-arbitrage principle.
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- Finance & Stochastics, 2000, v. 4, n. 3, p. 275, doi. 10.1007/s007800050074
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A unified approach to systemic risk measures via acceptance sets.
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- Mathematical Finance, 2019, v. 29, n. 1, p. 329, doi. 10.1111/mafi.12170
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RISK MEASURES ON.
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- Mathematical Finance, 2014, v. 24, n. 3, p. 442, doi. 10.1111/mafi.12028
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INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES.
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- Mathematical Finance, 2011, v. 21, n. 3, p. 423, doi. 10.1111/j.1467-9965.2010.00443.x
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RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES.
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- Mathematical Finance, 2006, v. 16, n. 4, p. 589, doi. 10.1111/j.1467-9965.2006.00285.x
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SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELS.
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- Mathematical Finance, 2004, v. 14, n. 3, p. 351, doi. 10.1111/j.0960-1627.2004.00194.x
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ON THE EXISTENCE OF MINIMAX MARTINGALE MEASURES.
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- Mathematical Finance, 2002, v. 12, n. 1, p. 1, doi. 10.1111/1467-9965.00001
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Collective dynamic risk measures.
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- Frontiers of Mathematical Finance, 2024, v. 3, n. 3, p. 1, doi. 10.3934/fmf.2024012
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- Article