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Universal arbitrage aggregator in discrete-time markets under uncertainty
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco - In: Finance and stochastics 20 (2016) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10011459932
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Pointwise arbitrage pricing theory in discrete time
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, … - In: Mathematics of operations research 44 (2019) 3, pp. 1034-1057
Persistent link: https://www.econbiz.de/10012105893
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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
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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
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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
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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
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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
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Entropy martingale optimal transport and nonlinear pricing-hedging duality
Doldi, Alessandro; Frittelli, Marco - In: Finance and stochastics 27 (2023) 2, pp. 255-304
Persistent link: https://www.econbiz.de/10014253636