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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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The supermartingale property of the optimal wealth process for general semimartingales
Biagini, Sara; Frittelli, Marco - In: Finance and stochastics 11 (2007) 2, pp. 253-266
Persistent link: https://www.econbiz.de/10003439762
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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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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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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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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