Marco Frittelli

Available identifiers

zbMath Open frittelli.marcoMaRDI QIDQ261910

List of research outcomes

Publication	Date of Publication	Type
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 P(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
https://portal.mardi4nfdi.de/entity/Q3400706	2010-02-05	Paper
https://portal.mardi4nfdi.de/entity/Q3526970	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

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Marco Frittelli