Doldi, Alessandro; Frittelli, Marco; Gianin, Emanuela Rosazza Short communication: are shortfall systemic risk measures one dimensional? (English) Zbl 07796345 SIAM J. Financ. Math. 15, No. 1, SC1-SC14 (2024). MSC: 91G45 91G70 PDFBibTeX XMLCite \textit{A. Doldi} et al., SIAM J. Financ. Math. 15, No. 1, SC1-SC14 (2024; Zbl 07796345) Full Text: DOI arXiv
Doldi, A.; Feng, Y.; Fouque, J.-P.; Frittelli, M. Multivariate systemic risk measures and computation by deep learning algorithms. (English) Zbl 07762000 Quant. Finance 23, No. 10, 1431-1444 (2023). MSC: 91G45 91G70 68T07 PDFBibTeX XMLCite \textit{A. Doldi} et al., Quant. Finance 23, No. 10, 1431--1444 (2023; Zbl 07762000) Full Text: DOI arXiv
Doldi, Alessandro; Frittelli, Marco Entropy martingale optimal transport and nonlinear pricing-hedging duality. (English) Zbl 1512.91141 Finance Stoch. 27, No. 2, 255-304 (2023). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 60G46 91G80 49J45 90C46 PDFBibTeX XMLCite \textit{A. Doldi} and \textit{M. Frittelli}, Finance Stoch. 27, No. 2, 255--304 (2023; Zbl 1512.91141) Full Text: DOI arXiv
Doldi, Alessandro; Frittelli, Marco Conditional systemic risk measures. (English) Zbl 1479.91429 SIAM J. Financ. Math. 12, No. 4, 1459-1507 (2021). MSC: 91G45 91G70 PDFBibTeX XMLCite \textit{A. Doldi} and \textit{M. Frittelli}, SIAM J. Financ. Math. 12, No. 4, 1459--1507 (2021; Zbl 1479.91429) Full Text: DOI arXiv
Burzoni, Matteo; Frittelli, Marco; Zorzi, Federico Short communication: Robust market-adjusted systemic risk measures. (English) Zbl 1476.91208 SIAM J. Financ. Math. 12, No. 3, SC70-SC82 (2021). MSC: 91G45 91G70 PDFBibTeX XMLCite \textit{M. Burzoni} et al., SIAM J. Financ. Math. 12, No. 3, SC70-SC82 (2021; Zbl 1476.91208) Full Text: DOI arXiv
Biagini, Francesca; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo Systemic optimal risk transfer equilibrium. (English) Zbl 1461.91337 Math. Financ. Econ. 15, No. 2, 233-274 (2021). MSC: 91G45 PDFBibTeX XMLCite \textit{F. Biagini} et al., Math. Financ. Econ. 15, No. 2, 233--274 (2021; Zbl 1461.91337) Full Text: DOI arXiv
Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo On fairness of systemic risk measures. (English) Zbl 1433.91188 Finance Stoch. 24, No. 2, 513-564 (2020). MSC: 91G45 91G70 PDFBibTeX XMLCite \textit{F. Biagini} et al., Finance Stoch. 24, No. 2, 513--564 (2020; Zbl 1433.91188) Full Text: DOI arXiv
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, Marco; Obłój, Jan Pointwise arbitrage pricing theory in discrete time. (English) Zbl 1437.90159 Math. Oper. Res. 44, No. 3, 1034-1057 (2019). MSC: 90C46 90C47 90C17 91G20 49K45 49N15 60G42 93E20 91G70 PDFBibTeX XMLCite \textit{M. Burzoni} et al., Math. Oper. Res. 44, No. 3, 1034--1057 (2019; Zbl 1437.90159) Full Text: DOI arXiv
Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo A unified approach to systemic risk measures via acceptance sets. (English) Zbl 1411.91633 Math. Finance 29, No. 1, 329-367 (2019). MSC: 91G70 PDFBibTeX XMLCite \textit{F. Biagini} et al., Math. Finance 29, No. 1, 329--367 (2019; Zbl 1411.91633) Full Text: DOI arXiv
Frittelli, Marco; Maggis, Marco Disentangling price, risk and model risk: V&R measures. (English) Zbl 1404.91138 Math. Financ. Econ. 12, No. 2, 219-247 (2018). MSC: 91B30 49N15 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{M. Maggis}, Math. Financ. Econ. 12, No. 2, 219--247 (2018; Zbl 1404.91138) Full Text: DOI arXiv
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco Model-free superhedging duality. (English) Zbl 1370.60004 Ann. Appl. Probab. 27, No. 3, 1452-1477 (2017). MSC: 60B05 60G42 28A05 28B20 46A20 91B70 91B24 PDFBibTeX XMLCite \textit{M. Burzoni} et al., Ann. Appl. Probab. 27, No. 3, 1452--1477 (2017; Zbl 1370.60004) Full Text: DOI arXiv
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco Universal arbitrage aggregator in discrete-time markets under uncertainty. (English) Zbl 1369.91201 Finance Stoch. 20, No. 1, 1-50 (2016). Reviewer: Pavel Stoynov (Sofia) MSC: 91G99 91B24 60G42 60H30 46A20 PDFBibTeX XMLCite \textit{M. Burzoni} et al., Finance Stoch. 20, No. 1, 1--50 (2016; Zbl 1369.91201) Full Text: DOI arXiv
Frittelli, Marco; Maggis, Marco Conditionally evenly convex sets and evenly quasi-convex maps. (English) Zbl 1328.46007 J. Math. Anal. Appl. 413, No. 1, 169-184 (2014). Reviewer: Rita Pini (Milano) MSC: 46A55 91B30 91G80 52A07 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{M. Maggis}, J. Math. Anal. Appl. 413, No. 1, 169--184 (2014; Zbl 1328.46007) Full Text: DOI arXiv
Frittelli, Marco; Maggis, Marco; Peri, Ilaria Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function. (English) Zbl 1304.91102 Math. Finance 24, No. 3, 442-463 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91B30 62P20 60E05 PDFBibTeX XMLCite \textit{M. Frittelli} et al., Math. Finance 24, No. 3, 442--463 (2014; Zbl 1304.91102) Full Text: DOI arXiv
Frittelli, Marco; Maggis, Marco Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type. (English) Zbl 1302.46062 Stat. Risk. Model. 31, No. 1, 103-128 (2014). MSC: 46N10 91G99 91B06 46A20 60H99 46N30 91B02 46E30 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{M. Maggis}, Stat. Risk. Model. 31, No. 1, 103--128 (2014; Zbl 1302.46062) Full Text: DOI arXiv
Frittelli, Marco; Maggis, Marco Dual representation of quasi-convex conditional maps. (English) Zbl 1232.46067 SIAM J. Financ. Math. 2, 357-382 (2011). Reviewer: Rita Pini (Milano) MSC: 46N10 46E30 46A20 91G80 60H99 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{M. Maggis}, SIAM J. Financ. Math. 2, 357--382 (2011; Zbl 1232.46067) Full Text: DOI arXiv
Biagini, Sara; Frittelli, Marco; Grasselli, Matheus Indifference price with general semimartingales. (English) Zbl 1228.91026 Math. Finance 21, No. 3, 423-446 (2011). Reviewer: Klaus Schürger (Bonn) MSC: 91B25 91B30 60G48 PDFBibTeX XMLCite \textit{S. Biagini} et al., Math. Finance 21, No. 3, 423--446 (2011; Zbl 1228.91026) Full Text: DOI arXiv
Frittelli, Marco; Rosazza Gianin, Emanuela On the penalty function and on continuity properties of risk measures. (English) Zbl 1208.91065 Int. J. Theor. Appl. Finance 14, No. 1, 163-185 (2011). MSC: 91B30 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{E. Rosazza Gianin}, Int. J. Theor. Appl. Finance 14, No. 1, 163--185 (2011; Zbl 1208.91065) Full Text: DOI
Frittelli, Marco; Maggis, Marco Conditional certainty equivalent. (English) Zbl 1213.91170 Int. J. Theor. Appl. Finance 14, No. 1, 41-59 (2011). Reviewer: Johannes Muhle-Karbe (Zürich) MSC: 91G80 46N10 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{M. Maggis}, Int. J. Theor. Appl. Finance 14, No. 1, 41--59 (2011; Zbl 1213.91170) Full Text: DOI
Frittelli, Marco (ed.); Grasselli, Matheus (ed.) Special issue: Foundations of mathematical finance. Selected papers based on the presentations at the workshop quantitative Finance: Foundations and applications, Toronto, Canada, January 2010. (English) Zbl 1213.91019 Int. J. Theor. Appl. Finance 14, No. 1, v-vi, 185 p. (2011). MSC: 91-06 91Gxx 00B25 PDFBibTeX XML
Biagini, Sara; Frittelli, Marco On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures. (English) Zbl 1188.91085 Delbaen, Freddy (ed.) et al., Optimality and risk – modern trends in mathematical finance. The Kabanov Festschrift. Berlin: Springer (ISBN 978-3-642-02607-2/hbk). 1-28 (2009). Reviewer: George Stoica (Saint John) MSC: 91B30 PDFBibTeX XMLCite \textit{S. Biagini} and \textit{M. Frittelli}, in: Optimality and risk -- modern trends in mathematical finance. The Kabanov Festschrift. Berlin: Springer. 1--28 (2009; Zbl 1188.91085)
Biagini, Sara; Frittelli, Marco A unified framework for utility maximization problems: An Orlicz space approach. (English) Zbl 1151.60019 Ann. Appl. Probab. 18, No. 3, 929-966 (2008). Reviewer: Klaus Schürger (Bonn) MSC: 60G48 60G44 49N15 91B28 46E30 46N30 91B16 PDFBibTeX XMLCite \textit{S. Biagini} and \textit{M. Frittelli}, Ann. Appl. Probab. 18, No. 3, 929--966 (2008; Zbl 1151.60019) Full Text: DOI arXiv
Biagini, Sara; Frittelli, Marco The supermartingale property of the optimal wealth process for general semimartingales. (English) Zbl 1144.91016 Finance Stoch. 11, No. 2, 253-266 (2007). Reviewer: Yuliya Mishura (Kyïv) MSC: 91G10 60G42 60G44 PDFBibTeX XMLCite \textit{S. Biagini} and \textit{M. Frittelli}, Finance Stoch. 11, No. 2, 253--266 (2007; Zbl 1144.91016) Full Text: DOI Link
Frittelli, Marco; Scandolo, Giacomo Risk measure and capital requirements for processes. (English) Zbl 1130.91030 Math. Finance 16, No. 4, 589-612 (2006). MSC: 91B30 60A10 91B70 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{G. Scandolo}, Math. Finance 16, No. 4, 589--612 (2006; Zbl 1130.91030) Full Text: DOI
Frittelli, Marco; Rosazza Gianin, Emanuela Law invariant convex risk measures. (English) Zbl 1149.91320 Kusuoka, S. (ed.) et al., Advances in mathematical economics. Vol. 7. Tokyo: Springer (ISBN 978-4-431-24332-8/hbk). Advances in Mathematical Economics 7, 33-46 (2005). MSC: 91B30 60H10 60H30 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{E. Rosazza Gianin}, Adv. Math. Econ. 7, 33--46 (2005; Zbl 1149.91320)
Biagini, Sara; Frittelli, Marco Utility maximization in incomplete markets for unbounded processes. (English) Zbl 1088.60041 Finance Stoch. 9, No. 4, 493-517 (2005). Reviewer: Yuliya Mishura (Kyïv) MSC: 60G48 49N15 60G44 46E30 46N30 91B16 91G10 PDFBibTeX XMLCite \textit{S. Biagini} and \textit{M. Frittelli}, Finance Stoch. 9, No. 4, 493--517 (2005; Zbl 1088.60041) Full Text: DOI Link
Frittelli, Marco Some remarks on arbitrage and preferences in securities market models. (English) Zbl 1133.91378 Math. Finance 14, No. 3, 351-357 (2004). MSC: 91B28 60G44 60G48 60H05 60H30 PDFBibTeX XMLCite \textit{M. Frittelli}, Math. Finance 14, No. 3, 351--357 (2004; Zbl 1133.91378) Full Text: DOI
Biagini, Sara; Frittelli, Marco On the super replication price of unbounded claims. (English) Zbl 1068.60064 Ann. Appl. Probab. 14, No. 4, 1970-1991 (2004). Reviewer: Yuhu Feng (Shanghai) MSC: 60G42 60G44 PDFBibTeX XMLCite \textit{S. Biagini} and \textit{M. Frittelli}, Ann. Appl. Probab. 14, No. 4, 1970--1991 (2004; Zbl 1068.60064) Full Text: DOI arXiv Euclid
Frittelli, Marco (ed.); Runggaldier, Wolfgang J. (ed.) Stochastic methods in finance. Lectures given at the C.I.M.E.–E.M.S. summer school, held in Bressanone/Brixen, Italy, July 6–12, 2003. (English) Zbl 1053.91002 Lecture Notes in Mathematics 1856. Berlin: Springer (ISBN 3-540-22953-1/pbk). xiii, 306 p. (2004). MSC: 91-06 60-06 00B25 PDFBibTeX XMLCite \textit{M. Frittelli} (ed.) and \textit{W. J. Runggaldier} (ed.), Stochastic methods in finance. Lectures given at the C. I.M. E.--E. M.S. summer school, held in Bressanone/Brixen, Italy, July 6--12, 2003. Berlin: Springer (2004; Zbl 1053.91002) Full Text: DOI
Bellini, Fabio; Frittelli, Marco On the existence of minimax martingale measures. (English) Zbl 1014.91031 Math. Finance 12, No. 1, 1-21 (2002). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91B26 91B16 60G42 91B28 PDFBibTeX XMLCite \textit{F. Bellini} and \textit{M. Frittelli}, Math. Finance 12, No. 1, 1--21 (2002; Zbl 1014.91031) Full Text: DOI
Frittelli, Marco The minimal entropy martingale measure and the valuation problem in incomplete markets. (English) Zbl 1013.60026 Math. Finance 10, No. 1, 39-52 (2000). MSC: 60G44 91G80 PDFBibTeX XMLCite \textit{M. Frittelli}, Math. Finance 10, No. 1, 39--52 (2000; Zbl 1013.60026) Full Text: DOI
Frittelli, Marco Introduction to a theory of value coherent with the no-arbitrage principle. (English) Zbl 0965.60046 Finance Stoch. 4, No. 3, 275-297 (2000). Reviewer: A.V.Swishchuk (Kyïv) MSC: 60G42 60G44 91G80 91B16 PDFBibTeX XMLCite \textit{M. Frittelli}, Finance Stoch. 4, No. 3, 275--297 (2000; Zbl 0965.60046) Full Text: DOI
Frittelli, Marco Semimartingales and asset pricing under constraints. (English) Zbl 0914.90020 Dempster, M. A. H. (ed.) et al., Mathematics of derivative securities. Forewords are given by R. C. Merton and M. F. Atiyah. Cambridge: Cambridge Univ. Press. Publ. Newton Inst. 15, 255-268 (1997). MSC: 91B28 PDFBibTeX XMLCite \textit{M. Frittelli}, Publ. Newton Inst. 15, 255--268 (1997; Zbl 0914.90020)
Frittelli, M. Dominated families of martingale, supermartingale and quasimartingale laws. (English) Zbl 0908.60027 Stochastic Processes Appl. 63, No. 2, 265-277 (1996). Reviewer: A.Derviz (Praha) MSC: 60G44 60G35 PDFBibTeX XMLCite \textit{M. Frittelli}, Stochastic Processes Appl. 63, No. 2, 265--277 (1996; Zbl 0908.60027) Full Text: DOI
Frittelli, Marco; Lakner, Peter Arbitrage and free lunch in a general financial market model; the fundamental theorem of asset pricing. (English) Zbl 0841.90017 Davis, Mark H. A. (ed.) et al., Mathematical finance. Based on the proceedings of a workshop, held at IMA, University of Minnesota, Minneapolis, MN, USA 1992/93. New York, NY: Springer-Verlag. IMA Vol. Math. Appl. 65, 89-92 (1995). MSC: 91B28 91B62 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{P. Lakner}, IMA Vol. Math. Appl. 65, 89--92 (1995; Zbl 0841.90017)
Frittelli, Marco; Lakner, Peter Almost sure characterization of martingales. (English) Zbl 0827.60032 Stochastics Stochastics Rep. 49, No. 3-4, 181-190 (1994). MSC: 60G44 60A10 91B28 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{P. Lakner}, Stochastics Stochastics Rep. 49, No. 3--4, 181--190 (1994; Zbl 0827.60032) Full Text: DOI
Frittelli, M.; Zambruno, G. Outstanding aspects in the stochastic modelling of financial markets. (Italian) Zbl 0816.90046 Manara, Carlo Felice (ed.) et al., Papers in honor of Giovanni Melzi. Milano: Univ. Cattolica del Sacro Cuore. Sci. Mat. 11, 133-155 (1994). Reviewer: G.Zambruno (Milano) MSC: 91B26 60G25 PDFBibTeX XMLCite \textit{M. Frittelli} and \textit{G. Zambruno}, Sci. Mat. 11, 133--155 (1994; Zbl 0816.90046)