PROFESSORE ORDINARIO
DIPARTIMENTO DI MATEMATICA "FEDERIGO ENRIQUES"
Settori

Economia
Pubblicazioni (39)
Ordina Anno:
Filtra per Pubblicazioni:
Filtra per tipo accesso:
Pointwise Arbitrage Pricing Theory in Discrete Time. 
MATHEMATICS OF OPERATIONS RESEARCH. 
2019
Academic Article
Open Access
A unified approach to systemic risk measures via acceptance sets. 
MATHEMATICAL FINANCE. 
2018
Academic Article
Reserved Access
Disentangling price, risk and model risk : V&R measures. 
MATHEMATICS AND FINANCIAL ECONOMICS. 
2017
Academic Article
Reserved Access
Model-free superhedging duality. 
THE ANNALS OF APPLIED PROBABILITY. 
2017
Academic Article
Scientific research measures. 
JOURNAL OF THE ASSOCIATION FOR INFORMATION SCIENCE AND TECHNOLOGY. 
2016
Academic Article
Reserved Access
Universal arbitrage aggregator in discrete-time markets under uncertainty. 
FINANCE AND STOCHASTICS. 
2016
Academic Article
Reserved Access
Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type. 
STATISTICS & RISK MODELING. 
2014
Academic Article
Conditionally evenly convex sets and evenly quasi-convex maps. 
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. 
2014
Academic Article
Risk Measures on P(R) and value at risk with probability/loss function. 
MATHEMATICAL FINANCE. 
2014
Academic Article
Reserved Access
Conditional certainty equivalent. 
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. 
2011
Academic Article
Dual representation of quasi-convex conditional maps. 
SIAM JOURNAL ON FINANCIAL MATHEMATICS. 
2011
Academic Article
Open Access
Indifference price with general semimartingales. 
MATHEMATICAL FINANCE. 
2011
Academic Article
On the penalty function and on continuity properties of risk measures. 
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. 
2011
Academic Article
A unified framework for utility maximization problems : an Orlicz space approach. 
THE ANNALS OF APPLIED PROBABILITY. 
2008
Academic Article
Risk measures and capital requirements for processes. 
MATHEMATICAL FINANCE. 
2006
Academic Article
Utility maximization in incomplete markets for unbounded processes. 
FINANCE AND STOCHASTICS. 
2005
Academic Article
On the super-replication price of unbounded claims. 
THE ANNALS OF APPLIED PROBABILITY. 
2004
Academic Article
Some remarks on arbitrage and preferences in securities market models. 
MATHEMATICAL FINANCE. 
2004
Academic Article
On the existence of minimax martingale measures. 
MATHEMATICAL FINANCE. 
2002
Academic Article
Putting order in risk measures. 
JOURNAL OF BANKING & FINANCE. 
2002
Academic Article
Introduction to a theory of value coherent with the no arbitrage principle. 
FINANCE AND STOCHASTICS. 
2000
Academic Article
Dominated families of martingale, supermartingale and quasimartingale laws. 
STOCHASTIC PROCESSES AND THEIR APPLICATIONS. 
1996
Academic Article
Almost sure characterization of martingales. 
STOCHASTICS AND STOCHASTICS REPORTS. 
1994
Academic Article
Conditional certainty equivalent. 
World Scientific Publishing Co..
2012
Chapter
On the penalty function and on continuity properties of risk measure. 
World Scientific Publishing Co..
2012
Chapter
No arbitrage and preferences. 
LED.
2007
Chapter
Law invariant convex risk measures. 
Springer-Verlag.
2005
Chapter
Dynamic convex risk measures. 
John Wiley & Sons.
2004
Chapter
Semimartingales and asset pricing under constraints. 
Cambridge University Press.
1997
Chapter
Stochastic methods in finance. 
Springer.
2004
Edited Book
Partecipazioni Scientifiche
No Results Found
Comitati Editoriali (2)
Membro del Comitato Editoriale - SIAM JOURNAL ON FINANCIAL MATHEMATICS (2018 - 2021)
Membro del Comitato Editoriale - THE ANNALS OF APPLIED PROBABILITY (2003 - 2008)
No Results Found
Ricerca E Didattica Presso Enti (2)
Visiting Researcher - Visiting Researcher - Visiting Professors and Ph.D Seminars - presso: University of California Santa Barbara (23/09/2013 - 01/06/2014)
Visiting Researcher - Visiting Researcher - Visiting professor and Ph.D Seminars - presso: University of California Santa Barbara (01/04/2012 - 30/06/2012)
No Results Found
Congressi (5)
Program chair (presidente/responsabile del comitato scientifico) - Model Uncertainty and Robust Finance (2018-01-01 14:46:51.605 - )
Program committee (membro del comitato scientifico) - XVIII WORKSHOP ON QUANTITATIVE FINANCE (2017 - )
Program chair (presidente/responsabile del comitato scientifico) - I Gran Sasso Workshop in Mathematical Finance (2017-01-01 14:46:51.597 - )
Program chair (presidente/responsabile del comitato scientifico) - Model Uncertainty and Robust Finance (2016-01-01 14:46:51.594 - )
Program chair (presidente/responsabile del comitato scientifico) - Fields Financial Mathematical Retrospective Conference, The Fields Institute, Toronto. (2013-01-01 14:46:51.601 - )
No Results Found
Collegi Di Dottorato (14)
Ordina Anno:
Università degli Studi di MILANO - SCIENZE MATEMATICHE-2019 (ciclo: 35 - Anno: 2019 )
Università degli Studi di MILANO - SCIENZE MATEMATICHE-2018 (ciclo: 34 - Anno: 2018 )
Università degli Studi di MILANO - SCIENZE MATEMATICHE-2017 (ciclo: 33 - Anno: 2017 )
Università degli Studi di MILANO - SCIENZE MATEMATICHE-2016 (ciclo: 32 - Anno: 2016 )
Università degli Studi di MILANO - SCIENZE MATEMATICHE-2015 (ciclo: 31 - Anno: 2015 )
Università degli Studi di MILANO - SCIENZE MATEMATICHE-2014 (ciclo: 30 - Anno: 2014 )
Università degli Studi di MILANO - SCIENZE MATEMATICHE-2013 (ciclo: 29 - Anno: 2013 )
Università degli Studi di MILANO - MATEMATICA E STATISTICA PER LE SCIENZE COMPUTAZIONALI-2012 (ciclo: 28 - Anno: 2012 )
Università degli Studi di MILANO - MATEMATICA E STATISTICA PER LE SCIENZE COMPUTAZIONALI-2011 (ciclo: 27 - Anno: 2011 )
Università degli Studi di MILANO - MATEMATICA E STATISTICA PER LE SCIENZE COMPUTAZIONALI-2010 (ciclo: 26 - Anno: 2010 )
Università degli Studi di MILANO - MATEMATICA E STATISTICA PER LE SCIENZE COMPUTAZIONALI-2009 (ciclo: 25 - Anno: 2009 )
Università degli Studi di MILANO - MATEMATICA E STATISTICA PER LE SCIENZE COMPUTAZIONALI-2008 (ciclo: 24 - Anno: 2008 )
Università di PISA - MATEMATICA PER LE DECISIONI ECONOMICHE-2004 (ciclo: 20 - Anno: 2004 )
Università di PISA - MATEMATICA PER LE DECISIONI ECONOMICHE-2003 (ciclo: 19 - Anno: 2003 )
No Results Found
Tutoraggio (4)
tutorship - Dottorandi - DOLDI ALESSANDRO (01/11/2017 - )
tutorship - Dottorandi - DOLDI ALESSANDRO (01/10/2017 - )
tutorship - Dottorandi - BURZONI MATTEO (01/11/2012 - 10/12/2015)
tutorship - Dottorandi - MAGGIS MARCO (01/11/2007 - 01/12/2010)
No Results Found