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2021
1 Benth, Fred Espen; Di Nunno, Giulia; Simonsen, Iben Cathrine.
Sensitivity analysis in the infinite dimensional Heston model. Infinite Dimensional Analysis Quantum Probability and Related Topics 2021 ;Volum 24.(2) s. -
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2020
2 Bion-Nadal, Jocelyne; Di Nunno, Giulia.
Fully-dynamic risk-indifference prices and no-good-deal bounds. SIAM Journal on Financial Mathematics 2020 ;Volum 11.(2) s. 620-658
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2019
3 Banos, David; Cordoni, Francesco; Di Nunno, Giulia; Di Persio, Luca; Røse, Elin Engen.
Stochastic systems with memory and jumps. Journal of Differential Equations 2019 ;Volum 266.(9) s. 5772-5820
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4 Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, Jose.
Kyle equilibrium under random price pressure. Decisions in Economics and Finance (DAF) 2019 ;Volum 42.(1) s. 77-101
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5 Di Nunno, Giulia; Fiacco, Andrea; Karlsen, Erik Hove.
On the approximation of Lévy driven Volterra processes and their integrals. Journal of Mathematical Analysis and Applications 2019 ;Volum 476.(1) s. 120-148
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2018
6 Baños, David; Di Nunno, Giulia; Haferkorn, Hannes Hagen; Proske, Frank Norbert.
Stochastic functional differential equations and sensitivity to their initial path. I: Computation and Combinatorics in Dynamics, Stochastics and Control. Springer 2018 ISBN 978-3-030-01592-3. s. 37-70
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7 Corcuera, José Manuel; Di Nunno, Giulia.
Kyle-Back's model with a random horizon. International Journal of Theoretical and Applied Finance 2018 ;Volum 21.(2)
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2017
8 Bion-Nadal, Jocelyne; Di Nunno, Giulia.
Fully-dynamic risk-indifference prices and no-good-deal bounds. arXiv.org 2017
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9 Bion-Nadal, Jocelyne; Di Nunno, Giulia.
Representation of convex operators and their static and dynamic sandwich extensions. Journal of Convex Analysis 2017 ;Volum 24.(4) s. 1375-1405
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10 Di Nunno, Giulia; Haferkorn, Hannes Hagen.
A maximum principle for mean-field SDEs with time change. Applied Mathematics and Optimization 2017 ;Volum 76.(1) s. 137-176
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11 Di Nunno, Giulia; Vives, Josep.
A Malliavin-Skorohod calculus in L^0 and L^1 for additive and Volterra-type processes. Stochastics: An International Journal of Probability and Stochastic Processes 2017 ;Volum 89.(1) s. 142-170
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2016
12 Di Nunno, Giulia; Karlsen, Erik Hove.
Hedging under worst-case-scenario in a market driven by time-changed Lévy noises. I: The Fascination of Probability, Statistics and their Applications. In honour of Ole E. Barndorff-Nielsen. Springer Science+Business Media B.V. 2016 ISBN 978-3-319-25824-9. s. 465-499
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13 Di Nunno, Giulia; Zhang, Tusheng.
Approximations of stochastic partial differential equations. The Annals of Applied Probability 2016 ;Volum 26.(3) s. 1443-1466
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2015
14 Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; Schmeck, Maren Diane.
Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk. Applied Mathematical Finance 2015 ;Volum 22.(1) s. 28-62
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15 Di Nunno, Giulia; Karlsen, Erik Hove.
Hedging under worst-case-scenario in a market driven by time-changed Lévy noises. Preprint series (Universitetet i Oslo. Matematisk institutt) 2015
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16 Di Nunno, Giulia; Khedher, Asma; Vanmaele, Michèle.
Robustness of Quadratic Hedging Strategies in Finance via Backward Stochastic Differential Equations with Jumps. Applied Mathematics and Optimization 2015 ;Volum 72.(3) s. 353-389
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17 Di Nunno, Giulia; Vives, Josep.
A Malliavin-Skorohod calculus in L^0 and L^1 for additive and Volterra-type processes. Preprint series (Universitetet i Oslo. Matematisk institutt) 2015
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2014
18 Bion-Nadal, Jocelyne; Di Nunno, Giulia.
Representation of convex operators and their static and dynamic sandwich extension. Preprint series (Universitetet i Oslo. Matematisk institutt) 2014 (4) s. -
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19 Corcuera, Jose Manuel; Di Nunno, Giulia; Farkas, Gergely; Øksendal, Bernt.
A continuous auction model with insiders and random time of information release. Preprint series (Universitetet i Oslo. Matematisk institutt) 2014 (3) s. -
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20 Di Nunno, Giulia; Sjursen, Steffen A. Søreide.
BSDEs driven by time-changed Lévy noises and optimal control. Stochastic Processes and their Applications 2014 ;Volum 124.(4) s. 1679-1709
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21 Di Nunno, Giulia; Sjursen, Steffen A. Søreide.
Information and optimal investment in defaultable assets. International Journal of Theoretical and Applied Finance 2014 ;Volum 17.(8) s. -
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22 Di Nunno, Giulia; Zhang, Tusheng.
Approximations of Stochastic Partial Differential Equations. Preprint series (Universitetet i Oslo. Matematisk institutt) 2014 (1)
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2013
23 Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma.
A note on convergence of option prices and their Greeks for Lévy models. Stochastics: An International Journal of Probability and Stochastic Processes 2013 ;Volum 85.(6) s. 1015-1039
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24 Di Nunno, Giulia; Bion-Nadal, Jocelyne.
Dynamic no-good-deal pricing measures and extension theorems for linear operators on L-infinity. Finance and Stochastics 2013 ;Volum 17.(3) s. 587-613
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25 Di Nunno, Giulia; Sjursen, Steffen A. Søreide.
On Chaos Representation and Orthogonal Polynomials for the Doubly Stochastic Poisson Process. I: Seminar on Stochastic Analysis, Random Fields and Applications VII. Birkhäuser Verlag 2013 ISBN 978-3-0348-0545-2. s. 23-54
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2012
26 Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma.
Computation of Greeks in multifactor models with applications to power and commodity markets. Journal of Energy Markets 2012 ;Volum 5.(4) s. 3-31
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2011
27 Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma.
Robustness of option prices and their deltas in markets modelled by jump-diffusions. Communications on Stochastic Analysis 2011 ;Volum 5.(2) s. 285-307
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28 Di Nunno, Giulia; Bion-Nadal, Jocelyne.
Extension theorems for linear operators on L_\infty and application to price systems. Preprint series (Universitetet i Oslo. Matematisk institutt) 2011 ;Volum 4.
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29 Di Nunno, Giulia; Eide, Inga Baadshaug.
LOWER AND UPPER BOUNDS OF MARTINGALE MEASURE DENSITIES IN CONTINUOUS TIME MARKETS. Mathematical Finance 2011 ;Volum 21.(3) s. 475-492
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30 Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, Bernt; Proske, Frank Norbert.
A general maximum principle for anticipative stochastic control and applications to insider trading. I: Advanced Mathematical Methods for Finance. Springer 2011 ISBN 978-3-642-18411-6. s. 181-221
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31 Di Nunno, Giulia; Øksendal, Bernt; Menoukeu Pamen, Olivier; Proske, Frank Norbert.
Uniqueness of Decompositions of Skorohod-Semimartingales. Infinite Dimensional Analysis Quantum Probability and Related Topics 2011 ;Volum 14.(1) s. 15-24
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2010
32 Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma.
Lévy Models Robustness and Sensitivity. I: QUANTUM PROBABILITY AND INFINITE DIMENSIONAL ANALYSIS - Proceedings of the 29th Conference. World Scientific 2010 ISBN 978-981-4295-42-0. s. 153-184
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33 Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma.
Robustness of option prices and their deltas in markets modelled by jump-diffusions. Preprint series (Universitetet i Oslo. Matematisk institutt) 2010 (2) s. -
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34 Corcuera, José Manuel; Di Nunno, Giulia; Farkas, Gergely; Øksendal, Bernt.
Kyle-Back's model with Lévy noise. Preprint series (Universitetet i Oslo. Matematisk institutt) 2010 ;Volum 26.
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35 Di Nunno, Giulia; Eide, Inga Baadshaug.
Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach. Stochastic Analysis and Applications 2010 ;Volum 28.(1) s. 54-85
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36 Di Nunno, Giulia; Sjursen, Steffen A. Søreide.
Information and optimal investment in defaultable assets. Preprint series (Universitetet i Oslo. Matematisk institutt) 2010 ;Volum 17.
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2009
37 Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma.
Lévy models robustness and sensitivy. Preprint series (Universitetet i Oslo. Matematisk institutt) 2009 (17) s. -
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38 Di Nunno, Giulia; Øksendal, Bernt.
Optimal portfolio, partial information and Malliavin calculus. Stochastics: An International Journal of Probability and Stochastic Processes 2009 ;Volum 81.(3-4) s. 303-322
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39 Di Nunno, Giulia; Øksendal, Bernt; Pamen, Olivier Menoukeu; Proske, Frank Norbert.
Uniqueness of Decompositions of Skorohod-Semimartingales. Preprint series (Universitetet i Oslo. Matematisk institutt) 2009 (10) s. -
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40 Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank.
Malliavin Calculus for Lévy Processes with Applications to Finance. Springer 2009 (ISBN 9783540785712) 418 s.
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41 Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank Norbert.
Malliavin Calculus for Lévy Processes and Applications to Finance. Springer 2009 (ISBN 978-3-540-78571-2) 413 s. Universitext(X)
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2008
42 Di Nunno, Giulia; Eide, Inga Baadshaug.
Minimal variance hedging in large financial markets: random fields approach. Preprint series (Universitetet i Oslo. Matematisk institutt) 2008 ;Volum 19.
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43 Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank Norbert; Sulem, Agnès.
Anticipative stochastic control for Lévy processes with application to insider trading. I: MATHEMATICAL MODELLING AND NUMERICAL METHODS IN FINANCE. Elsevier 2008 ISBN 978-0-444-51879-8.
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44 Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank; Sulem, Agnès.
Anticipative stochastic control for Lévy processes with application to insider trading. I: Handbook of numerical analysis 15: Mathematical Modelling and Numerical Methods in Finance. Elsevier 2008
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2007
45 Di Nunno, Giulia.
On orthogonal polynomials and the Malliavin derivative for Lévy stochastic measures. Seminaires et Congres 2007 ;Volum 16. s. 55-69
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46 Di Nunno, Giulia.
Random fields: Non-anticipating derivative and differentiation formulas. Infinite Dimensional Analysis Quantum Probability and Related Topics 2007 ;Volum 10. s. 465-481
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47 Di Nunno, Giulia; Rozanov, Yuri A..
Stochastic integrals and adjoint derivatives. I: Stochastic Analysis and Applications. The Abel Symposium 2005. Springer 2007 ISBN 978-3-540-70846-9. s. 265-307
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48 Di Nunno, Giulia; Øksendal, Bernt.
A representation theorem and a sensitivity result for functionals of jump diffusions. I: Mathematical Analysis of Random Phenomena. World Scientific 2007 s. 177-190
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49 Di Nunno, Giulia; Øksendal, Bernt.
A representation theorem and a sensitivity result for functionals of jump diffusions. I: Mathematical Analysis of Random Phenomena. World Scientific 2007 ISBN 9789812706034. s. 177-190
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50 Di Nunno, Giulia; Øksendal, Bernt.
The Donsker delta function, a representation formula for functionals of a Lévy process and application to hedging in incomplete markets. Seminaires et Congres 2007 ;Volum 16. s. 71-82
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