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.

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.

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.

Trajectorial martingale transforms. Convergence and integration.

Authors: Ferrando, S. E. Gonzalez, A. L.

Source: New York Journal of Mathematics. 2018, Vol. 24, p702-738. 37p.

Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk.

Authors: Hitaj, Asmerilda Mateus, Cesario Peri, Ilaria

Source: Risks. Mar2018, Vol. 6 Issue 1, p17. 18p.

Default Ambiguity.

Authors: Fadina, Tolulope Schmidt, Thorsten

Source: Risks. Jun2019, Vol. 7 Issue 2, p64. 1p.

A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations.

Authors: Fischer, Matthias Moser, Thorsten Pfeuffer, Marius

Source: Risks. Dec2018, Vol. 6 Issue 4, p142. 1p.