RICERCA ITALIANA     

Programmi di ricerca simili:

• 1 - Metodi stocastici in finanza matematica
• 2 - ELABORAZIONE E TRASMISSIONE D'INFORMAZIONE IN SISTEMI NEURONALI SOGGETTI A EVOLUZIONE STOCASTICA
• 3 - Campi aleatori, evoluzioni stocastiche ed applicazioni a modelli di sistemi interagenti.
• 4 - Ottimizzazione di sistemi dinamici stocastici con applicazioni alla finanza

Classificazione scientifico-disciplinare

• Area scientifico disciplinare: Scienze matematiche e informatiche
  • PROBABILITÀ E STATISTICA MATEMATICA

Classificazione brevettuale

• HUMAN NECESSITIES
  • MEDICAL OR VETERINARY SCIENCE; HYGIENE
    • DIAGNOSIS; SURGERY; IDENTIFICATION (analysing biological material G01N, e.g. G01N33/48; obtaining records using waves other than optical waves, in general G03B42/00)
• PHYSICS
  • COMPUTING; CALCULATING; COUNTING (score computers for games A63; combinations of writing applicances with computing devices B43K29/08)
    • ELECTRICAL DIGITAL DATA PROCESSING (computers in which a part of the computation is effected hydraulically or pneumatically G06D; optically G06E; self-contained input or output peripheral equipment G06K; impedance networks using digital techniques H03H) [C9603]
  • EDUCATION; CRYPTOGRAPHY; DISPLAY; ADVERTISING; SEALS
    • EDUCATIONAL OR DEMONSTRATION APPLIANCES; APPLIANCES FOR TEACHING, OR COMMUNICATING WITH, THE BLIND, DEAF OR MUTE; MODELS; PLANETARIA; GLOBES; MAPS; DIAGRAMS (devices for psychotechnics or for testing reaction times A61B5/16; games, sports, amusements A63; projectors, projector screens G03B)

Classificazione geografica

• Regione: Veneto

Bibliografia

A.1) THEORY OF STOCHASTIC PROCESSES AND MARKET MODELS

- Guasoni P. (2006). No arbitrage with transaction costs, with fractional Brownian motion and beyond. Mathematical Finance (forthcoming).

- De Donno M., Pratelli M. (2005). A Theory of stochastic integration for bond markets. The Annals of Applied Probability, 15, 1050-5164.

- De Donno M., Pratelli M. (2005). Stochastic integration with respect to a sequence of semimartingales. Lecture Notes in Mathematics, Vol. 1874, pp 121-137.

- Ceci C., Bassan B. (2004). Mixed optimal stopping and stochastic control problems with semicontinuous final reward for diffusion processes. Stochastics and Stochastics Reports, 76, 1045-1129.

- De Donno M., Pratelli M. (2004). On the use of measure-valued strategies in bond markets. Finance and Stochastics, 8, 87-109.

- De Donno M. (2004). A note on completeness in large financial markets. Mathematical Finance, 14, 295-315.

- Bremaud P., Nappo G., Torrisi G.L. (2002). Rate of convergence to equilibrium of marked Hawkes processes. J. Applied Probability, 39, 123-136.

- Ceci C., Gerardi A., Tardelli P. (2002). Existence of optimal controls for partially observed jump processes. Acta Applicandae Mathematicae, 74, 155-175.

- Zanzotto P.A. (2002). On stochastic differential equations driven by a Cauchy process and other stable Levy motions. Annals of Probability, 30, 802-825.

- Frey R., Runggaldier W.J. (2001). A Nonlinear Filtering Approach to Volatility Estimation with a View Towards High Frequency Data. International Journal of Theoretical and Applied Finance, 4, 199-210.

- Ferrante M., Rovira C., Sanz-Sole' M. (2000). Stochastic delay equation with hereditarity drift: estimates of the density. Journal of Functional Analysis 72, 165-176.



A.2) COMPUTATIONAL AND NUMERICAL ASPECTS, SIMULATION

- Baldi P., Pacchiarotti B. (2006). Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion. Bernoulli (forthcoming).

- Bally V., Caramellino L., Zanette A. (2006). A mixed PDE_Monte Carlo approach for the pricing of credit default swaps. Decisions in Economics and Finance (forthcoming).

- Calzolari A., Florchinger P., Nappo G. (2006). Approximation of nonlinear filters for Markov systems with delayed observations. SIAM J. Contr. Optimiz. (forthcoming).

- Bally V., Caramellino L., Zanette A. (2005). Pricing American options by Monte Carlo methods using a Malliavin Calculus approach, Monte Carlo Methods and Applications, 11, 97-133.

- Pham H., Runggaldier W., Sellami A. (2005). Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation. Monte Carlo Methods and Applications, 11, 57-81.

- Baldi P., Caramellino L. (2002). Asymptotics of hitting probabilities for general one-dimensional pinned diffusions. Annals Appl. Probability, 12, 1071-1095.



B.1) PRICING AND HEDGING OF DERIVATIVES AND PORTFOLIO OPTIMIZATON

- Ceci C. (2006). Risk minimizing hedging for a partially observed high frequency data model. Stochastics, 78, 13-31.

- Biagini S., Frittelli, M. (2005). Utility maximization in incomplete markets for unbounded processes. Finance and Stochastics, 9, 493-517.

- De Donno M., Guasoni P., Pratelli M. (2005). Super-replication and utility maximization in large financial markets. Stochastic processes and their applications, 115, 2006-2022.

- Santacroce M. (2005). On the convergence of the p-optimal martingale measure to the minimal entropy martingale measure. Stochastic Analysis and Applications, 23, 31-54.

- Battauz A., Pratelli M. (2004). Optimal stopping and American options with discrete dividends and exogenous risk. Insurance : Mathematics and Economics, 35, 255-265.

- Biagini S., Frittelli M. (2004). On the superreplication price of unbounded claims. Annals Appl. Probaility, 14, 1970-1991.

- Grasselli M. (2004). A stability result for HARA class with stochastic interest rates. Insurance : Mathematics and Economics, 33, 45-56.

- Kirch M., Runggaldier W.J. (2004). Efficient hedging when asset prices follow a geometric Poisson process with unknown intensities. SIAM J. Control and Optimiz., 43, 1174-1195.

- Deelstra, G., Grasselli M., Koehl P.F. (2003). Optimal investment strategies in the presence of a minimum guarantee. Insurance : Mathematics and Economics, 33, 189-207.

- Mania M., Santacroce M., Tevzadze R. (2003). A semimartingale BSDE related to the minimal entropy martingale measure. Finance and Stochastics, 7, 385-402.

- Bellini F., Frittelli M. (2002). On the existence of minimal martingale measures. Mathematical Finance, 12, 1-21.

- Gozzi F., Vargiolu T. (2002). Superreplication of European multiasset derivatives with bounded stochastic volatility. Mathematical Methods of Operations Research, 55, 69-91.

- Guasoni P. (2002). Risk minimization under transaction costs. Finance and Stochastics, 6, 91-113.

- Guasoni P. (2002). Optimal investment with transaction costs and without semimartingales. Annals Appl. Probability, 12, 1227-1246.

- Biagini F., Guasoni P., Pratelli M. (2000). Mean-variance hedging for stochastic volatility models. Mathematical Finance, 10, 109-123.

- Frittelli M. (2000). The minimal entropy martingale measure and the valuation problem in incomplete markets. Mathematical Finance, 10, 39-52.



B.2) RISK AND DEPENDENCE STRUCTURES

- Rosazza Gianin E. (2006). Risk measures via g-expectations. Insurance : Mathematics and Economics (forthcoming).

- Macci C. (2006). Large deviations for risk models in which each main claim induces a delayed claim. Stochastics (forthcoming).

- Bassan B., Spizzichino F. (2005). Relations among univariate aging, bivariate aging and dependence for exchangeable lifetimes. J. Multivariate Anal., 93, 313-339.

- Macci C., Stabile G., Torrisi G.L. (2005). Lundberg parameters for non standard risk processes. Scand. Actuar. J., 6, 417-432.

- Frittelli M., Rosazza Gianin E. (2002). Putting order in risk measures. J. Banking and Finance, 26, 1473-1486.

- Frittelli M. (2000). Introduction to a theory of value coherent with the no-arbitrage principle. Finance and Stochastics, 4, 275-297.



B.3) PROBLEMS RELATED TO DIFFERENT LEVELS OF INFORMATION AND ROBUSTNESS

- Ceci C., Gerardi A. (2006). A model for high frequency data under partial information : a filtering approach. International J. of Theoretical and Applied Finance (forthcoming).

- Favero G., Vargiolu T. (2006). Robustness of shortfall risk minimizing strategies in the Binomial model. Mathematical Methods of Operations Research (forthcoming).

- Gerardi A., Tardelli P. (2006). Filtering on a partially observed Ultra-High-Frequency data model. Acta Applicandae Mathematicae (forthcoming).

- Guasoni P. (2006). Asymmetric information in Fads models. Finance and Stochastics (forthcoming).

- Torti B., Nappo G. (2006). Filtering of a reflected Brownian motion with respect to its local time. Stochastic Processes and their Applications, 116, 568-584.

- Gombani A., Jaschke S.R., Runggaldier W. (2005). A filtered no arbitrage model for term structures from noisy data. Stochastic Processes and their Applications, 115, 381-400.

- Ceci C., Gerardi A. (2001). Nonlinear filtering equation of a jump process with counting observations. Acta Applicandae Mathematicae, 66, 139-154.

- Chiarella C., Pasquali S., Runggaldier W.J. (2001). On filtering in Markovian term structure models (an approximation approach). Adv. Appl. Probability, 33, 794-809.

- Romagnoli S., Vargiolu T. (2000). Robustness of the Black-Scholes approach in the case of options on several assets. Finance and Stochastics, 4, 325-341.

Parole Chiave

FINANZA MATEMATICA, PROCESSI STOCASTICI ED ANALISI STOCASTICA, MODELLI DI MERCATO E PER LA STRUTTURA A TERMINE, PREZZAGGIO E COPERTURA DI DERIVATI, OTTIMIZZAZIONE DI PORTAFOGLI, RISCHIO E MISURE DI RISCHIO, STRUTTURE DI DIPENDENZA, INFORMAZIONE PARZIALE ED ASIMMETRICA, METODI NUMERICI STOCASTICI