MARCO FRITTELLI
Professor
|
|
Marco Frittelli
Dipartimento di Matematica
Università degli Studi di Milano
Via Saldini, 50
20133 Milano ITALY
CCDMAT
Web Page
phone: 0039-02-50316143
fax:
0039-02-50316090
e-mail:
marco.frittelli@unimi.it
|
|
|
CV |
Curriculum
Short
CV
|
|
Research |
Lectures
Publications
|
|
Teaching
|
Teaching
Courses 2023-2024
|
|
Research
Activities |
Stochastic
Games and Martingale Optimal Transport
Workshop, May 5-6 2022, Milano
University
First
GSSI Workshop in Mathematical Finance,
Italy 2017
SIAM
Conference
on Financial Mathematics, Toronto,
June 2019.
Advances
in Stochastic Analysis, CIRM,
Marseille, France, 2023
|
|
|
Marco Frittelli
is Professor of Mathematical Finance
at the University of Milano, having
held positions at Florence,
Milano-Bicocca and Urbino Universities
and visiting scholar positions in
several universities in USA and
Europe.
He is a member of
the Editorial Board of the SIAM
Journal on Financial Mathematics and
was member of the Editorial board of
The Annals of Applied Probability
(2003-2008) and of the Scientific
Committee of the Bachelier Finance
Society (2004-2008). He was a member
of the Expert Group (GEV) of the
Italian Evaluation of the Research
Quality (VQR-ANVUR).
The research is
focused on the application of
stochastic analysis and convex
analysis in Mathematical Finance and
it includes: the fundamental theorem
of asset pricing; martingale pricing
based on entropy minimization; utility
maximization in incomplete markets;
utility maximization, indifference
pricing and risk measures in Orlicz
spaces; convex risk measures; dynamic
and law invariant risk measures and
risk measures on Moduli; quasiconvex
dynamic risk measures; V@R and
acceptability indices; model-free
arbitrage and robust pricing-hedging
duality; pathwise finance; systemic
risk and risk transfer equilibrium;
conditional systemic risk measures;
entropy martingale optimal transport;
collective arbitrage.
His papers
published in international scientific
journals received, until February 2022
and accordingly to MathSciNet, more
than 660 citations from more than 490
authors (or more than 3800 citations
accordingly to Google Scholar). A
complete list of pubblications and a
complete CV can be found at:
http://www.mat.unimi.it/users/frittelli/.
|
|
|
|