Marco Frittelli

Available identifiers

zbMath Open frittelli.marcoMaRDI QIDQ261910

List of research outcomes

Publication	Date of Publication	Type
Collective dynamic risk measures	2024-11-26	Paper
On entropy martingale optimal transport theory	2024-08-01	Paper
Multivariate systemic optimal risk transfer equilibrium	2024-06-04	Paper
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?	2024-01-29	Paper
Multivariate systemic risk measures and computation by deep learning algorithms	2023-11-07	Paper
Entropy martingale optimal transport and nonlinear pricing-hedging duality	2023-04-12	Paper
Conditional systemic risk measures	2021-12-02	Paper
Short communication: Robust market-adjusted systemic risk measures	2021-11-05	Paper
Systemic optimal risk transfer equilibrium	2021-05-05	Paper
Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality	2020-05-26	Paper
Pointwise Arbitrage Pricing Theory in Discrete Time	2020-04-30	Paper
On fairness of systemic risk measures	2020-03-25	Paper
A unified approach to systemic risk measures via acceptance sets	2019-05-08	Paper
Disentangling price, risk and model risk: V\&R measures	2018-04-16	Paper
Model-free superhedging duality	2017-09-15	Paper
Universal arbitrage aggregator in discrete-time markets under uncertainty	2016-03-29	Paper
Conditionally evenly convex sets and evenly quasi-convex maps	2015-03-27	Paper
Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function	2014-08-11	Paper
Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type	2014-03-17	Paper
Dual representation of quasi-convex conditional maps	2011-06-21	Paper
Indifference price with general semimartingales	2011-06-16	Paper
Conditional certainty equivalent	2011-03-30	Paper
On the penalty function and on continuity properties of risk measures	2011-03-30	Paper
On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures	2010-02-05	Paper
Law invariant convex risk measures	2008-09-25	Paper
A unified framework for utility maximization problems: An Orlicz space approach	2008-07-01	Paper
The supermartingale property of the optimal wealth process for general semimartingales	2007-12-16	Paper
RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES	2007-02-22	Paper
Utility maximization in incomplete markets for unbounded processes	2006-05-24	Paper
SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELS	2005-05-09	Paper
On the super replication price of unbounded claims	2005-03-21	Paper
On the Existence of Minimax Martingale Measures	2002-09-19	Paper
The minimal entropy martingale measure and the valuation problem in incomplete markets	2001-03-29	Paper
Introduction to a theory of value coherent with the no-arbitrage principle	2001-03-01	Paper
Dominated families of martingale, supermartingale and quasimartingale laws	1998-11-23	Paper
https://portal.mardi4nfdi.de/entity/Q4218385	1997-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4868516	1996-07-24	Paper
Almost sure characterization of Martingales	1995-10-29	Paper

Research outcomes over time

This page was built for person: Marco Frittelli