Current Research Information SysTem In Norway
 
 

 English version


 
Hovedside
Forskningsresultater/NVI
Forskere
Prosjekter
Forskningsenheter
Logg inn
Om Cristin
 
 
   
Eksporter til


Viser treff 1-50 av 66 << Forrige 1 2    Neste >>

2019
1 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
NHH UiO Untitled
 
2 Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, Jose.
Kyle equilibrium under random price pressure. Decisions in Economics and Finance 2019 s. 1-25
NHH UiO Untitled
 
3 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
NHH UiO Untitled
 
2018
4 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
NHH UiO Untitled
 
5 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)
UiO Untitled
 
2017
6 Bion-Nadal, Jocelyne; Di Nunno, Giulia.
Fully-dynamic risk-indifference prices and no-good-deal bounds. arXiv.org 2017
UiO Untitled
 
7 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
NHH UiO Untitled
 
8 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
NHH UiO Untitled
 
9 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
NHH UiO Untitled
 
2016
10 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
NHH UiO Untitled
 
11 Di Nunno, Giulia; Zhang, Tusheng.
Approximations of stochastic partial differential equations. The Annals of Applied Probability 2016 ;Volum 26.(3) s. 1443-1466
UiO Untitled
 
2015
12 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
NHH UiO Untitled
 
13 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
UiO Untitled
 
14 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
NHH UiO Untitled
 
15 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
UiO Untitled
 
2014
16 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. -
UiO Untitled
 
17 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. -
UiO Untitled
 
18 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
NHH UiO Untitled
 
19 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. -
NHH UiO Untitled
 
20 Di Nunno, Giulia; Zhang, Tusheng.
Approximations of Stochastic Partial Differential Equations. Preprint series (Universitetet i Oslo. Matematisk institutt) 2014 (1)
UiO Untitled
 
2013
21 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
NHH UiO Untitled
 
22 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
NHH UiO Untitled
 
23 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
NHH UiO Untitled
 
2012
24 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
NHH UIA UiO Untitled
 
2011
25 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
NHH UiO Untitled
 
26 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.
UiO Untitled
 
27 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
UiO Untitled
 
28 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
NHH UiO Untitled
 
29 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
NHH UiO Untitled
 
2010
30 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
UiO Untitled
 
31 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. -
UiO Untitled
 
32 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.
UiO Untitled
 
33 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
UiO Untitled
 
34 Di Nunno, Giulia; Sjursen, Steffen A. Søreide.
Information and optimal investment in defaultable assets. Preprint series (Universitetet i Oslo. Matematisk institutt) 2010 ;Volum 17.
UiO Untitled
 
2009
35 Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma.
Lévy models robustness and sensitivy. Preprint series (Universitetet i Oslo. Matematisk institutt) 2009 (17) s. -
UiO Untitled
 
36 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
NHH UiO Untitled
 
37 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. -
UiO Untitled
 
38 Di Nunno, Giulia; Øksendal, Bernt; Proske, Frank.
Malliavin Calculus for Lévy Processes with Applications to Finance. Springer 2009 (ISBN 9783540785712) 418 s.
UiO Untitled
 
39 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)
UiO Untitled
 
2008
40 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.
UiO Untitled
 
41 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.
NHH UiO Untitled
 
42 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
UiO Untitled
 
2007
43 Di Nunno, Giulia.
On orthogonal polynomials and the Malliavin derivative for Lévy stochastic measures. Seminaires et Congres 2007 ;Volum 16. s. 55-69
UiO Untitled
 
44 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
UiO Untitled
 
45 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
UiO Untitled
 
46 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
NHH UiO Untitled
 
47 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
NHH UiO Untitled
 
48 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
UiO Untitled
 
2006
49 Di Nunno, G; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank.
Optimal portfolio for an insider in a market driven by Levy processes. Quantitative finance (Print) 2006 ;Volum 6.(1) s. 83-94
NHH UiO Untitled
 
50 Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Norbert Frank.
Optimal portfolio for an insider in a market driven by Levy processes. Quantitative finance (Print) 2006 ;Volum 6. s. 83-94
NHH UiO Untitled
 
    Vis neste liste