Luciano Campi

Available identifiers

zbMath Open campi.lucianoWikidataQ102416210 ScholiaQ102416210MaRDI QIDQ282082

List of research outcomes

Publication	Date of Publication	Type
Mean field games with absorption and common noise with a model of bank run	2023-09-15	Paper
Correlated equilibria for mean field games with progressive strategies	2022-12-03	Paper
Mean-field games of finite-fuel capacity expansion with singular controls	2022-10-31	Paper
A McKean-Vlasov game of commodity production, consumption and trading	2022-09-23	Paper
\(N\)-player games and mean-field games with smooth dependence on past absorptions	2022-02-25	Paper
An impulse-regime switching game model of vertical competition	2022-01-20	Paper
Correction to: ``No-arbitrage commodity option pricing with market manipulation	2021-05-05	Paper
Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model	2021-02-18	Paper
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts	2021-01-15	Paper
Optimal Market Making under Partial Information with General Intensities	2020-10-20	Paper
Nonzero-sum stochastic differential games between an impulse controller and a stopper	2020-08-25	Paper
No-arbitrage commodity option pricing with market manipulation	2020-06-18	Paper
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications	2020-04-30	Paper
On the support of extremal martingale measures with given marginals: the countable case	2019-12-09	Paper
\(\varepsilon\)-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps	2019-09-25	Paper
A Note on Market Completeness with American Put Options	2018-12-13	Paper
Utility indifference pricing and hedging for structured contracts in energy markets	2017-08-11	Paper
Change of numeraire in the two-marginals martingale transport problem	2017-04-13	Paper
Utility indifference valuation for non-smooth payoffs with an application to power derivatives	2016-05-12	Paper
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension	2015-01-20	Paper
Multivariate utility maximization with proportional transaction costs	2014-12-17	Paper
Explicit construction of a dynamic Bessel bridge of dimension 3	2014-01-17	Paper
On the existence of shadow prices	2013-11-06	Paper
A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES	2013-09-04	Paper
Efficient portfolios in financial markets with proportional transaction costs	2013-08-06	Paper
Equilibrium model with default and dynamic insider information	2013-07-18	Paper
Weak Insider Trading and Behavioral Finance	2013-01-25	Paper
Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment	2012-09-12	Paper
Dynamic Markov bridges motivated by models of insider trading	2011-07-08	Paper
A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES	2010-01-08	Paper
Mean-Variance Hedging in Large Financial Markets	2009-12-11	Paper
Systematic equity-based credit risk: A CEV model with jump to default	2009-08-07	Paper
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling	2007-12-16	Paper
A super-replication theorem in Kabanov's model of transaction costs	2007-05-29	Paper
A note on extremality and completeness in financial markets with infinitely many risky assets	2007-02-01	Paper
Some results on quadratic hedging with insider trading	2005-11-15	Paper
Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions	2005-02-11	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Luciano Campi