Giulia Di Nunno

University of Oslo - Department of Mathematics

Blindern, N-0162, Os

Norway

University of Pavia

Via Strada Nuova, 65

I-27100 Pavia

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

73

SSRN CITATIONS

4

CROSSREF CITATIONS

7

Scholarly Papers (3)

1.

Kyle Equilibrium Under Random Price Pressure

Number of pages: 26 Posted: 03 Sep 2018
University of Barcelona, University of Oslo - Department of Mathematics and Getulio Vargas Foundation
Downloads 39 (632,801)

Abstract:

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Kyle Model, Market Microstructure, Equilibrium, Insider Trading, Stochastic Control, Semimartingales, Enlargement of Filtrations

2.

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes

Number of pages: 18 Posted: 20 Mar 2003
University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics, University of Oslo - Department of Mathematics and University of Oslo - Department of Mathematics
Downloads 30 (690,129)
Citation 4

Abstract:

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Incomplete Markets, Minimal Variance Hedging, Levy Processes, Stochastic Derivatives, Chaos Expansions, Clark-Haussmann-Ocone Theorem

3.

Lower and Upper Bounds of Martingale Measure Densities in Continuous Time Markets

Mathematical Finance, Vol. 21, Issue 3, pp. 475-492, 2011
Number of pages: 18 Posted: 20 May 2011
Giulia Di Nunno and Inga Baadshaug Eide
University of Oslo - Department of Mathematics and affiliation not provided to SSRN
Downloads 4 (921,824)

Abstract:

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equivalent martingale measures, fundamental theorem, extension theorem, asset pricing