# Financial Mathematics

The main topic of the research is on risk measures and ambiguity.

**Keywords**

Mathematical finance, risk measures, convex analysis, systemic risk, decision theory, ambiguity, incomplete markets

**Pubblications**

M. Frittelli, M. Maggis and I. Peri, Risk Measures on P(R) and Value at Risk with Probability/Loss Function, Forthcoming on Mathematical Finance, 2012

M. Frittelli and M. Maggis, Dual Representation of Quasi-convex Conditional Maps, SIAM J. Financial Math., Vol 2, pp 357-382, 2011

S. Biagini, M. Frittelli and M. Grasselli, Indifference price with general semimartingale, Mathematical Finance, Vol 21/3, pp. 423-446, 2011

S. Biagini and M. Frittelli A unified framework for utility maximization problems: an Orlicz space approach, Annals of Applied Probability, Vol. 18/3, pp. 929-966, 2008

S. Biagini and M. Frittelli, The supermartingale property of the optimal wealth process for general semimartingale, Finance and Stochastics, Vol. 11/2, pp. 253-266, 2007

**Funded Projects related to the Research Theme**

**Funded Projects related to the Research Theme**

PRIN 2008: Probabilità e Finanza

**Components**

Members from the Department of Mathematics | ||
---|---|---|

Marco FRITTELLI | info | |

Marco MAGGIS | info | |

Collaborators | ||

Salvatore FEDERICO | Università di Milano | info |

Davide LA TORRE | Università di Milano | info |

Emanuela ROSAZZA GIANIN | Università di Milano-Biccocca |