Search Results - "Burzoni, Matteo"

Pointwise Arbitrage Pricing Theory in Discrete Time.

Authors: Burzoni, Matteo Frittelli, Marco Hou, Zhaoxu et al.

Source: Mathematics of Operations Research (INFORMS). Aug2019, Vol. 44 Issue 3, p1034-1057. 24p.

A TIKHONOV THEOREM FOR MCKEAN--VLASOV TWO-SCALE SYSTEMS AND A NEW APPLICATION TO MEAN FIELD OPTIMAL CONTROL PROBLEMS.

Authors: BURZONI, MATTEO CECCHIN, ALEKOS COSSO, ANDREA

Source: SIAM Journal on Control & Optimization. 2024, Vol. 62 Issue 5, p2475-2505. 31p.

Subjects: Stochastic control theory, Approximation theory, Stochastic systems

Robust martingale selection problem and its connections to the no‐arbitrage theory.

Authors: Burzoni, Matteo Šikić, Mario

Source: Mathematical Finance. Jan2020, Vol. 30 Issue 1, p260-286. 27p.

Mean field games with absorption and common noise with a model of bank run.

Authors: Burzoni, Matteo Campi, Luciano

Source: Stochastic Processes & Their Applications. Oct2023, Vol. 164, p206-241. 36p.

Subjects: Bank runs, Differential games, Absorption, Games, Nash equilibrium

Risk Measures Based on Benchmark Loss Distributions.

Authors: Bignozzi, Valeria Burzoni, Matteo Munari, Cosimo

Source: Journal of Risk & Insurance. Jun2020, Vol. 87 Issue 2, p437-475. 39p. 3 Charts.

On the quasi-sure superhedging duality with frictions.

Authors: Bayraktar, Erhan Burzoni, Matteo

Source: Finance & Stochastics. Jan2020, Vol. 24 Issue 1, p249-275. 27p.

VISCOSITY SOLUTIONS FOR CONTROLLED MCKEAN-VLASOV JUMP-DIFFUSIONS.

Authors: BURZONI, MATTEO IGNAZIO, VINCENZO REPPEN, A. MAX et al.

Source: SIAM Journal on Control & Optimization. 2020, Vol. 58 Issue 3, p1676-1699. 24p.

Subjects: Integro-differential equations, Intrinsic viscosity, Nonlinear equations, Hilbert space, Probability measures, Viscosity solutions

Universal arbitrage aggregator in discrete-time markets under uncertainty.

Authors: Burzoni, Matteo Frittelli, Marco Maggis, Marco

Source: Finance & Stochastics. Jan2016, Vol. 20 Issue 1, p1-50. 50p.

Viability and Arbitrage Under Knightian Uncertainty.

Authors: Burzoni, Matteo Riedel, Frank Soner, H. Mete

Source: Econometrica. May2021, Vol. 89 Issue 3, p1207-1234. 28p.

MODEL-FREE SUPERHEDGING DUALITY.

Authors: BURZONI, MATTEO FRITTELLI, MARCO MAGGIS, MARCO

Source: Annals of Applied Probability. Jun2017, Vol. 27 Issue 3, p1452-1477. 26p.

Adjusted Expected Shortfall.

Authors: Burzoni, Matteo Munari, Cosimo Wang, Ruodu

Source: Journal of Banking & Finance. Jan2022, Vol. 134, pN.PAG-N.PAG. 1p.