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
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 | |