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Simple market protocols for efficient risk sharing

Li Calzi, Marco; Pellizzari, Paolo - In: Journal of economic dynamics & control 31 (2007) 11, pp. 3568-3590

Persistent link: https://www.econbiz.de/10003569777

The impact on the pricing process of costly active management and performance chasing clients

Bird, Ron; Casavecchia, Lorenzo; Pellizzari, Paolo; … - In: Journal of economic interaction and coordination : JEIC 6 (2011) 1, pp. 61-82

Persistent link: https://www.econbiz.de/10009130141

Dynamic patterns in similarity-based cooperation : an agent-based investigation

Cruciani, Caterina; Moretti, Anna; Pellizzari, Paolo - In: Journal of economic interaction and coordination : JEIC 12 (2017) 1, pp. 121-141

Persistent link: https://www.econbiz.de/10011878320

Fast traders and slow price adjustments : an artificial market with strategic interaction and transaction costs

Liuzzi, Danilo; Pellizzari, Paolo; Tolotti, Marco - In: Journal of economic interaction and coordination : JEIC 14 (2019) 3, pp. 643-662

Persistent link: https://www.econbiz.de/10012167723

Simple market protocols for efficient risk sharing

Licalzi, Marco; Pellizzari, Paolo - In: Journal of economic dynamics & control 31 (2007) 11, pp. 3568-3590

Persistent link: https://www.econbiz.de/10007795168

Utility based pricing of contingent claims in incomplete markets

Gam, Andrea; Pellizzari, Paolo - In: Applied Mathematical Finance 9 (2002) 4, pp. 241-260

In a discrete setting, a model is developed for pricing a contingent claim in incomplete markets. Since hedging opportunities influence the price of a contingent claim, the optimal hedging strategy is first introduced assuming that a contingent claim has been issued: a strategy implemented by...

Persistent link: https://www.econbiz.de/10005462523