FRITTELLI, MARCO
FRITTELLI, MARCO
Dipartimento di Matematica Federigo Enriques
Collective arbitrage and the value of cooperation
2025 F. Biagini, A. Doldi, J. Fouque, M. Frittelli, T. Meyer-Brandis
Collective Free Lunch and the FTAP
2025 M. Frittelli
Collective dynamic risk measures
2024 A. Doldi, M. Frittelli, E.R. Gianin
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
2024 A. Doldi, M. Frittelli, E. Rosazza Gianin
Multivariate systemic optimal risk transfer equilibrium
2024 A. Doldi, M. Frittelli
On entropy martingale optimal transport theory
2024 A. Doldi, M. Frittelli, E. Rosazza Gianin
Multivariate systemic risk measures and computation by deep learning algorithms
2023 A. Doldi, Y. Feng, J. Fouque, M. Frittelli
Entropy martingale optimal transport and nonlinear pricing–hedging duality
2023 A. Doldi, M. Frittelli
Systemic optimal risk transfer equilibrium
2021 F. Biagini, A. Doldi, J. Fouque, M. Frittelli, T. Meyer-Brandis
Conditional Systemic Risk Measures
2021 A. Doldi, M. Frittelli
Short Communication: Robust Market-Adjusted Systemic Risk Measures
2021 M. Burzoni, M. Frittelli, F. Zorzi
Real-valued systemic risk measures
2021 A. Doldi, M. Frittelli
On fairness of systemic risk measures
2020 F. Biagini, J. Fouque, M. Frittelli, T. Meyer-Brandis
A unified approach to systemic risk measures via acceptance sets
2019 F. Biagini, J. Fouque, M. Frittelli, T. Meyer-Brandis
Pointwise Arbitrage Pricing Theory in Discrete Time
2019 M. Burzoni, M. Frittelli, Z. Hou, M. Maggis, J. Obłój
Disentangling price, risk and model risk : V&R measures
2018 M. Frittelli, M. Maggis
Model-free superhedging duality
2017 M. Burzoni, M. Frittelli, M. Maggis
Scientific research measures
2016 M. Frittelli, L. Mancini, I. Peri
Universal arbitrage aggregator in discrete-time markets under uncertainty
2016 M. Burzoni, M. Frittelli, M. Maggis
Conditionally evenly convex sets and evenly quasi-convex maps
2014 M. Frittelli, M. Maggis