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Introduction to a theory of value coherent with the no-arbitrage principle

Frittelli, Marco - In: Finance and stochastics 4 (2000) 3, pp. 275-297

Persistent link: https://www.econbiz.de/10001487067

Some remarks on arbitrage and preferences in securities markt models

Frittelli, Marco - In: Mathematical finance : an international journal of … 14 (2004) 3, pp. 351-357

Persistent link: https://www.econbiz.de/10002125515

The minimal entropy martingale measure and the valuation problem in incomplete markets

Frittelli, Marco - In: Mathematical finance : an international journal of … 10 (2000) 1, pp. 39-52

Persistent link: https://www.econbiz.de/10002177131

Commodity futures markets and trading strategies opportunities

Falbo, Paolo - In: Modelling techniques for financial markets and bank …, (pp. 48-64). 1996

Persistent link: https://www.econbiz.de/10001292510

On the existence of minimax martingale measures

Bellini, Fabio; Frittelli, Marco - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10001686149

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

Back, Kerry E. (contributor); Frittelli, Marco (ed.); … - 2004

This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and...

Persistent link: https://www.econbiz.de/10002392702

Utility maximization in incomplete markets for unbounded processes

Biagini, Sara; Frittelli, Marco - In: Finance and stochastics 9 (2005) 4, pp. 493-517

Persistent link: https://www.econbiz.de/10003123213

Online Appendix for : 'Scientific Research Measures'

Frittelli, Marco - 2014

This online appendix provides additional examples, proofs, and technical derivations.The paper "Scientific Research Measures" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2287672" http://ssrn.com/abstract=2287672

Persistent link: https://www.econbiz.de/10013040510

Indifference price with general seminartingales

Biagini, Sara; Frittelli, Marco; Grasselli, Matheus - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 423-446

Persistent link: https://www.econbiz.de/10009155204

Scientific research measures

Frittelli, Marco; Mancini, Loriano; Peri, Ilaria - 2014 - This version: Feb. 2014

The evaluation of scientific research is crucial for both the academic community and society as a whole. Numerous bibliometric indices have been proposed for the ranking of research performance, mainly on an ad hoc basis. We now introduce the novel class of Scientific Research Measures (SRMs) to...

Persistent link: https://www.econbiz.de/10010256260