FRITTELLI, MARCO
FRITTELLI, MARCO
Dipartimento di Matematica Federigo Enriques
On entropy martingale optimal transport theory
2024 A. Doldi, M. Frittelli, E. Rosazza Gianin
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
2024 A. Doldi, M. Frittelli, E. Rosazza Gianin
Entropy martingale optimal transport and nonlinear pricing–hedging duality
2023 A. Doldi, M. Frittelli
Multivariate systemic risk measures and computation by deep learning algorithms
2023 A. Doldi, Y. Feng, J. Fouque, M. Frittelli
Multivariate systemic optimal risk transfer equilibrium
2022 A. Doldi, M. Frittelli
Real-valued systemic risk measures
2021 A. Doldi, M. Frittelli
Conditional Systemic Risk Measures
2021 A. Doldi, M. Frittelli
Short Communication: Robust Market-Adjusted Systemic Risk Measures
2021 M. Burzoni, M. Frittelli, F. Zorzi
Systemic optimal risk transfer equilibrium
2021 F. Biagini, A. Doldi, J. Fouque, M. Frittelli, T. Meyer-Brandis
On fairness of systemic risk measures
2020 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
A unified approach to systemic risk measures via acceptance sets
2019 F. Biagini, J. Fouque, M. Frittelli, T. Meyer-Brandis
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
Universal arbitrage aggregator in discrete-time markets under uncertainty
2016 M. Burzoni, M. Frittelli, M. Maggis
Scientific research measures
2016 M. Frittelli, L. Mancini, I. Peri
Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type
2014 M. Frittelli, M. Maggis
Conditionally evenly convex sets and evenly quasi-convex maps
2014 M. Frittelli, M. Maggis
Risk Measures on P(R) and value at risk with probability/loss function
2014 M. Frittelli, M. Maggis, I. Peri
On the penalty function and on continuity properties of risk measure
2012 M. Frittelli, E.R. Gianin