Fulvio Ortu

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Multivariate Wold decompositions: a Hilbert \(A\)-module approach	2023-06-12	Paper
A persistence‐based Wold‐type decomposition for stationary time series	2020-08-24	Paper
Envelope theorems in Banach lattices and asset pricing	2015-09-22	Paper
A spectral estimation of tempered stable stochastic volatility models and option pricing	2012-12-30	Paper
Intertemporal asset pricing and the marginal utility of wealth	2011-07-27	Paper
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization	2008-11-25	Paper
Dynamic versus one-period completeness in event-tree security markets	2006-11-29	Paper
Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates	2002-09-05	Paper
Valuation of sinking-fund bonds in the Vasicek and CIR frameworks^∗Financial support from Murst Fondo 40% on ‘Modelli di struttura a termine dei tassi d'interesse’ is gratefully acknowledged.	2002-09-04	Paper
Generic Existence and Robust Nonexistence of Numéraires in Finite Dimensional Securities Markets	2001-03-29	Paper
Arbitrage, linear programming and martingales in securities markets with bid-ask spreads	2001-01-01	Paper
Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results	1999-02-22	Paper
CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT‐SALE CONSTRAINTS IN THE FINITE‐DIMENSIONAL CASE: SOME REMARKS	1998-07-22	Paper
Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets	1998-03-23	Paper
Existence of equivalent martingale measures in finite dimensional securities markets	1996-08-06	Paper
Pricing equity-linked life insurance with endogenous minimum guarantees	1994-01-09	Paper

Research outcomes over time

Doctoral students

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