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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

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

Preface: Special issue on the foundations of mathematical finance

Frittelli, Marco; Grasselli, Matheus - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 5-6

Persistent link: https://www.econbiz.de/10008934199

On the penalty function and on continuity properties of risk measures

Frittelli, Marco; Rosazza Gianin, Emanuela - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 163-185

Persistent link: https://www.econbiz.de/10008908375