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Financial Mathematics  

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


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


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

PRIN 2008: Probabilità e Finanza


Members from the Department of Mathematics
Marco FRITTELLI                     info
Marco MAGGIS    info
Salvatore FEDERICO Università di Milano   info
Davide LA TORRE Università di Milano   info
Emanuela ROSAZZA GIANINUniversità di Milano-Biccocca 
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