Marco Frittelli

University of Florence - Dipartimento di Matematica

via Lombroso 6/17

50134 Firenze, I-50134

Italy

SCHOLARLY PAPERS

10

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310

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Top 17,995

in Total Papers Citations

3

CROSSREF CITATIONS

49

Scholarly Papers (10)

1.

Scientific Research Measures

Swiss Finance Institute Research Paper No. 13-37
Number of pages: 28 Posted: 02 Jul 2013 Last Revised: 30 Jan 2015
Marco Frittelli, Loriano Mancini and Ilaria Peri
University of Florence - Dipartimento di Matematica, USI Lugano - Institute of Finance and University of London - Economics, Mathematics and Statistics
Downloads 211 (156,766)

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Research Performance, Scientific Impact Measures, Bibliometric Indices, Citations, Calibration

2.

Some Remarks on Arbitrage and Preferences in Securities Market Models

Mathematical Finance, Vol. 14, No. 3, pp. 351-357, July 2004
Number of pages: 7 Posted: 23 Jul 2004
Marco Frittelli
University of Florence - Dipartimento di Matematica
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Arbitrage, free lunch, free-lunch-with-vanishing-risk, viability, martingale measure, Fundamental Theorem of Asset Pricing, utility maximization, securities market models

3.

On the Existence of Minimax Martingale Measures

Mathematical Finance, Vol. 12, No. 1, pp. 1-21, 2002
Number of pages: 21 Posted: 13 Dec 2002
Fabio Bellini and Marco Frittelli
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and University of Florence - Dipartimento di Matematica
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utility maximization, martingale measures, incomplete markets, asset pricing, viability, duality, relative entropy

4.

Risk Measures and Capital Requirements for Processes

Mathematical Finance, Vol. 16, No. 4, pp. 589-612, October 2006
Number of pages: 24 Posted: 31 Aug 2006
Marco Frittelli and Giacomo Scandolo
University of Florence - Dipartimento di Matematica and University of Verona - Department of Economics
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5.

Online Appendix for: 'Scientific Research Measures'

Number of pages: 12 Posted: 09 Dec 2014
Marco Frittelli, Loriano Mancini and Ilaria Peri
University of Florence - Dipartimento di Matematica, USI Lugano - Institute of Finance and University of London - Economics, Mathematics and Statistics
Downloads 21 (556,542)

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Research Performance, Scientific Impact Measures, Bibliometric Indices, Citations, Calibration

6.

A Unified Approach to Systemic Risk Measures Via Acceptance Sets

Mathematical Finance, Vol. 29, Issue 1, pp. 329-367, 2019
Number of pages: 39 Posted: 11 Jan 2019
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, University of California, Santa Barbara (UCSB), University of Florence - Dipartimento di Matematica and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
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acceptance set, aggregation, systemic risk, risk measures

7.

Indifference Price with General Semimartingales

Mathematical Finance, Vol. 21, Issue 3, pp. 423-446, 2011
Number of pages: 24 Posted: 20 May 2011
Sara Biagini, Marco Frittelli and Matheus R. Grasselli
University of Pisa, University of Florence - Dipartimento di Matematica and McMaster University
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indifference price, utility maximization, non locally bounded semimartingale, random endowment, incomplete market, Orlicz space, convex duality, convex risk measure

8.

Risk Measures on and Value at Risk with Probability/Loss Function

Mathematical Finance, Vol. 24, Issue 3, pp. 442-463, 2014
Number of pages: 22 Posted: 11 Jun 2014
Marco Frittelli, Marco Maggis and Ilaria Peri
University of Florence - Dipartimento di Matematica, Milano University and University of London - Economics, Mathematics and Statistics
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Value at Risk, distribution functions, quantiles, law invariant risk measures, quasi‐convex functions, dual representation

9.

The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

Mathematical Finance, Vol. 10, No. 1, pp. 39-52, 2000
Posted: 20 Sep 2000
Marco Frittelli
University of Florence - Dipartimento di Matematica

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10.

Introduction to a Theory of Value Coherent with the No-Arbitrage Principle

Finance and Stochastics, Vol. 4, Issue 3, 2000
Posted: 11 Jul 2000
Marco Frittelli
University of Florence - Dipartimento di Matematica

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Certainty equivalent, asset pricing, No Arbitrage, Equivalent Martingale Measure, incomplete market