The following pages link to Luciano Campi (Q282082):
Displaying 39 items.
- Utility indifference valuation for non-smooth payoffs with an application to power derivatives (Q282083) (← links)
- Equilibrium model with default and dynamic insider information (Q354195) (← links)
- On the existence of shadow prices (Q377456) (← links)
- Explicit construction of a dynamic Bessel bridge of dimension 3 (Q388880) (← links)
- Multivariate utility maximization with proportional transaction costs (Q483930) (← links)
- Change of numeraire in the two-marginals martingale transport problem (Q522059) (← links)
- Dynamic Markov bridges motivated by models of insider trading (Q550151) (← links)
- Correction to: ``No-arbitrage commodity option pricing with market manipulation'' (Q829342) (← links)
- A super-replication theorem in Kabanov's model of transaction costs (Q881423) (← links)
- Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions (Q1762864) (← links)
- Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372) (← links)
- An impulse-regime switching game model of vertical competition (Q2068903) (← links)
- \(N\)-player games and mean-field games with smooth dependence on past absorptions (Q2077351) (← links)
- Mean-field games of finite-fuel capacity expansion with singular controls (Q2090604) (← links)
- A McKean-Vlasov game of commodity production, consumption and trading (Q2171035) (← links)
- No-arbitrage commodity option pricing with market manipulation (Q2190069) (← links)
- Nonzero-sum stochastic differential games between an impulse controller and a stopper (Q2194136) (← links)
- Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model (Q2229568) (← links)
- Systematic equity-based credit risk: A CEV model with jump to default (Q2271610) (← links)
- \(\varepsilon\)-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps (Q2273696) (← links)
- Efficient portfolios in financial markets with proportional transaction costs (Q2392017) (← links)
- Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling (Q2463723) (← links)
- A note on extremality and completeness in financial markets with infinitely many risky assets (Q2504936) (← links)
- A structural risk-neutral model for pricing and hedging power derivatives (Q2847237) (← links)
- Multivariate utility maximization with proportional transaction costs and random endowment (Q2910904) (← links)
- A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension (Q2940758) (← links)
- Mean-Variance Hedging in Large Financial Markets (Q3651643) (← links)
- A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES (Q3655551) (← links)
- A Note on Market Completeness with American Put Options (Q4561927) (← links)
- Weak Insider Trading and Behavioral Finance (Q4902212) (← links)
- Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications (Q5108264) (← links)
- Optimal Market Making under Partial Information with General Intensities (Q5126677) (← links)
- On the support of extremal martingale measures with given marginals: the countable case (Q5203949) (← links)
- Some results on quadratic hedging with insider trading (Q5704639) (← links)
- Mean field games with absorption and common noise with a model of bank run (Q6072906) (← links)
- MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts (Q6358342) (← links)
- Coarse correlated equilibria for continuous time mean field games in open loop strategies (Q6509408) (← links)
- Coarse correlated equilibria in linear quadratic mean field games and application to an emission abatement game (Q6657505) (← links)
- Continuous-time persuasion by filtering (Q6748193) (← links)
