Giulia Di Nunno

Image of Giulia Di Nunno
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Phone +47-22855854
Room 1016
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Visiting address Ullevål stadion Sognsveien 77 B 0855 OSLO
Postal address Postboks 1053 Blindern 0316 OSLO
Other affiliations Department of Mathematics

Research interests

Stochastic analysis, calculus, and control. Applications of stochastic analysis with focus on mathematical finance: modeling, pricing, hedging and other optimal portfolio problems under full, partial, and inside information; sensitivity and robustness; markets with memory; energy finance.

Education

PhD in Mathematical Statistics from University of Pavia in January 2003, Degree in Mathematics from the University of Milano in July 1998. She joined the University of Oslo as associate professor in stochastic analysis in 2003 and became full professor in 2010. She holds an adjunct professor position at the Norwegian School of Economics, Bergen since 2009. She has been adjunct researcher at Rizklab, Norge for about 1 year.

 

Personal homepage: http://folk.uio.no/giulian/

 

 

Tags: Mathematics, Stochastic analysis and finance and insurance and risk, Centre of Mathematics for Applications - CMA, Ukraina, Cameroon, Zimbabwe, Global South

Publications

  • Baños, David Ruiz; Di Nunno, Giulia; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2017). Stochastic functional differential equations and sensitivity to their initial path. arXiv.org.  ISSN 2331-8422. Full text in Research Archive.
  • Bion-Nadal, Jocelyne & Di Nunno, Giulia (2017). Representation of convex operators and their static and dynamic sandwich extensions. Journal of Convex Analysis.  ISSN 0944-6532.  24(4), s 1375- 1405
  • Di Nunno, Giulia & Haferkorn, Hannes Hagen (2017). A maximum principle for mean-field SDEs with time change. Applied mathematics and optimization.  ISSN 0095-4616.  76(1), s 137- 176 . doi: 10.1007/s00245-017-9426-0 Full text in Research Archive.
  • Di Nunno, Giulia & Vives, Josep (2017). 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.  ISSN 1744-2508.  89(1), s 142- 170 . doi: 10.1080/17442508.2016.1140767 Show summary
  • Baños, David Ruiz; Cordoni, Francesco; Di Nunno, Giulia; Di Persio, Luca & Elin, Røse (2016). Stochastic systems with memory and jumps. arXiv.org.  ISSN 2331-8422.
  • Di Nunno, Giulia & Karlsen, Erik Hove (2016). Hedging under worst-case-scenario in a market driven by time-changed Lévy noises, In Mark Podolskij; Robert Stelzer; Steen Thorbjørnsen & Almut E. D. Veraart (ed.),  The Fascination of Probability, Statistics and their Applications. In honour of Ole E. Barndorff-Nielsen.  Springer Science+Business Media B.V..  ISBN 978-3-319-25824-9.  Chapter 22.  s 465 - 499 Show summary
  • Di Nunno, Giulia; Mishura, Yuliya & Ralchenko, Kostiantyn (2016). Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise. Fractional Calculus and Applied Analysis.  ISSN 1311-0454.  19(6), s 1356- 1392 . doi: 10.1515/fca-2016-0071 Show summary
  • Di Nunno, Giulia & Zhang, Tusheng (2016). Approximations of stochastic partial differential equations. The Annals of Applied Probability.  ISSN 1050-5164.  26(3), s 1443- 1466 . doi: 10.1214/15-AAP1122
  • Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma & Schmeck, Maren Diane (2015). Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk. Applied Mathematical Finance.  ISSN 1350-486X.  22(1), s 28- 62 . doi: 10.1080/1350486X.2014.948708
  • Di Nunno, Giulia & Karlsen, Erik Hove (2015). Hedging under worst-case-scenario in a market driven by time-changed Lévy noises. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439.
  • Di Nunno, Giulia; Khedher, Asma & Vanmaele, Michèle (2015). Robustness of Quadratic Hedging Strategies in Finance via Backward Stochastic Differential Equations with Jumps. Applied mathematics and optimization.  ISSN 0095-4616.  72(3), s 353- 389 . doi: 10.1007/s00245-014-9283-z
  • Di Nunno, Giulia & Vives, Josep (2015). A Malliavin-Skorohod calculus in L^0 and L^1 for additive and Volterra-type processes. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439.
  • Bion-Nadal, Jocelyne & Di Nunno, Giulia (2014). Representation of convex operators and their static and dynamic sandwich extension. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439.  (4) Full text in Research Archive.
  • Corcuera, Jose Manuel; Di Nunno, Giulia; Farkas, Gergely & Øksendal, Bernt (2014). A continuous auction model with insiders and random time of information release. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439.  (3) Full text in Research Archive.
  • Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2014). BSDEs driven by time-changed Lévy noises and optimal control. Stochastic Processes and their Applications.  ISSN 0304-4149.  124(4), s 1679- 1709 . doi: 10.1016/j.spa.2013.12.010
  • Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2014). Information and optimal investment in defaultable assets. International Journal of Theoretical and Applied Finance.  ISSN 0219-0249.  17(8) . doi: 10.1142/S0219024914500502
  • Di Nunno, Giulia & Zhang, Tusheng (2014). Approximations of Stochastic Partial Differential Equations. Preprint series (Universitetet i Oslo. Matematisk institutt).  ISSN 0806-2439.  (1) Full text in Research Archive.
  • Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2013). A note on convergence of option prices and their Greeks for Lévy models. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  85(6), s 1015- 1039 . doi: 10.1080/17442508.2012.736994
  • Di Nunno, Giulia & Bion-Nadal, Jocelyne (2013). Dynamic no-good-deal pricing measures and extension theorems for linear operators on L-infinity. Finance and Stochastics.  ISSN 0949-2984.  17(3), s 587- 613 . doi: 10.1007/s00780-012-0195-y
  • Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2013). On Chaos Representation and Orthogonal Polynomials for the Doubly Stochastic Poisson Process, In  Seminar on Stochastic Analysis, Random Fields and Applications VII.  Birkhäuser Verlag.  ISBN 978-3-0348-0545-2.  Del 1 - kap 2.  s 23 - 54
  • Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2012). Computation of Greeks in multifactor models with applications to power and commodity markets. Journal of Energy Markets.  ISSN 1756-3615.  5(4), s 3- 31
  • Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2011). Robustness of option prices and their deltas in markets modelled by jump-diffusions. Communications on Stochastic Analysis.  ISSN 0973-9599.  5(2), s 285- 307
  • Di Nunno, Giulia & Bion-Nadal, Jocelyne (2011). Extension theorems for linear operators on L_\infty and application to price systems. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  4
  • Di Nunno, Giulia & Eide, Inga Baadshaug (2011). LOWER AND UPPER BOUNDS OF MARTINGALE MEASURE DENSITIES IN CONTINUOUS TIME MARKETS. Mathematical Finance.  ISSN 0960-1627.  21(3), s 475- 492 . doi: 10.1111/j.1467-9965.2010.00442.x
  • Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, Bernt & Proske, Frank Norbert (2011). A general maximum principle for anticipative stochastic control and applications to insider trading, In Giulia Di Nunno & Bernt Øksendal (ed.),  Advanced Mathematical Methods for Finance.  Springer.  ISBN 978-3-642-18411-6.  Chapter.  s 181 - 221
  • Di Nunno, Giulia; Øksendal, Bernt; Menoukeu Pamen, Olivier & Proske, Frank Norbert (2011). Uniqueness of Decompositions of Skorohod-Semimartingales. Infinite Dimensional Analysis Quantum Probability and Related Topics.  ISSN 0219-0257.  14(1), s 15- 24 . doi: 10.1142/S0219025711004274
  • Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2010). Lévy Models Robustness and Sensitivity, In Habib Ouerdiane & A Barhoumi (ed.),  QUANTUM PROBABILITY AND INFINITE DIMENSIONAL ANALYSIS - Proceedings of the 29th Conference.  World Scientific.  ISBN 978-981-4295-42-0.  Kapitel.  s 153 - 184
  • Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2010). Robustness of option prices and their deltas in markets modelled by jump-diffusions. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (2)
  • Corcuera, José Manuel; Di Nunno, Giulia; Farkas, Gergely & Øksendal, Bernt (2010). Kyle-Back's model with Lévy noise. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  26
  • Di Nunno, Giulia & Eide, Inga Baadshaug (2010). Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach. Stochastic Analysis and Applications.  ISSN 0736-2994.  28(1), s 54- 85 . doi: 10.1080/07362990903417979
  • Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2010). Information and optimal investment in defaultable assets. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  17
  • Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2009). Lévy models robustness and sensitivy. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (17)
  • Di Nunno, Giulia & Øksendal, Bernt (2009). Optimal portfolio, partial information and Malliavin calculus. Stochastics: An International Journal of Probability and Stochastic Processes.  ISSN 1744-2508.  81(3-4), s 303- 322 . doi: 10.1080/17442500902917979
  • Di Nunno, Giulia; Øksendal, Bernt; Pamen, Olivier Menoukeu & Proske, Frank Norbert (2009). Uniqueness of Decompositions of Skorohod-Semimartingales. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (10)

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  • Benth, Fred Espen & Di Nunno, Giulia (ed.) (2016). Stochastics of Environmental and Financial Economics. Springer Science+Business Media B.V..  ISBN 978-3-319-23424-3.  360 s.
  • Di Nunno, Giulia & Øksendal, Bernt (ed.) (2011). Advanced Mathematical Methods for Finance. Springer.  ISBN 978-3-642-18411-6.  536 s.
  • Di Nunno, Giulia & Øksendal, Bernt (ed.) (2011). Advanced Mathematical Methods for Finance. Springer.  ISBN 978-3-642-18411-6.  536 s.
  • Di Nunno, Giulia; Øksendal, Bernt & Proske, Frank (2009). Malliavin Calculus for Lévy Processes with Applications to Finance. Springer.  ISBN 9783540785712.  418 s. Show summary
  • Di Nunno, Giulia; Øksendal, Bernt & Proske, Frank Norbert (2009). Malliavin Calculus for Lévy Processes and Applications to Finance. Springer.  ISBN 978-3-540-78571-2.  413 s.

View all works in Cristin

  • Di Nunno, Giulia (2016). A Malliavin-Skorohod calculus in L^0 and L^1 for additive and Volterra-type processes.
  • Di Nunno, Giulia (2016). Risk indifference pricing and dynamic no-good-deal bounds.
  • Di Nunno, Giulia (2016). Sensitivity analysis in a market with memory. A join work with D.R.Banos, H.Haferkorn, f. Proske.
  • Di Nunno, Giulia (2016). Sensitivity analysis in a market with memory. Work in collaboration with D.R. Banos, H. Haferkorn, F. Proske..
  • Di Nunno, Giulia (2016). Series of Lectures on Levy Processes and Applications to Finance.
  • Di Nunno, Giulia (2016). Stochastic systems with memory and jumps.
  • Di Nunno, Giulia (2015). Dynamic no good deal bounds: linear and convex price systems.
  • Di Nunno, Giulia (2015). Dynamic no good deal bounds: linear and convex price systems.
  • Di Nunno, Giulia (2015). Intensive course: Malliavin Calculus for Levy Processes.
  • Aarønæs, Lars; Benth, Fred Espen & Di Nunno, Giulia (2014, 01. oktober). Hvordan beregner vi framtida?. [Tidsskrift].  GLIMT - CAS Informasjonsblad.
  • Di Nunno, Giulia (2014). A continuous auction model with insiders.
  • Di Nunno, Giulia (2014). A continuous auction model with insiders and information release.
  • Di Nunno, Giulia (2014). Optimal portfolio problems with price dynamics driven by time-changed Levy noises.
  • Di Nunno, Giulia (2014). Optimal portfolios in markets driven by time-changed Levy noises.
  • Di Nunno, Giulia (2014). Time-changed Levy processes and hedging formulae.
  • Di Nunno, Giulia (2013). BSDEs driven by time-changed Levy noises and optimal control. Based on joint work with Steffen Sjursen.
  • Di Nunno, Giulia (2013). BSDEs driven by time-changed Levy noises and optimal control.Based on joint work with Steffen Sjursen.
  • Di Nunno, Giulia (2013). Backward stochastic differential equations with applications to dynamic risk measures. Series of 5 lectures.
  • Di Nunno, Giulia (2013). Introduction to stochastic calculus and stochastic differential equations. Series of 8 lectures.
  • Di Nunno, Giulia (2013). Market with memory: pricing and sensitivity analysis. Based on joint work with Frank Proske and David Banos.
  • Di Nunno, Giulia (2013). Quadratic Hedging via Backward Stochastic Differential Equations with Jumps. Based on joint work with Asma Khedher and Michele Vanmaele.
  • Di Nunno, Giulia (2013). Robustness of BSDEs and applications to quadratic hedging. Based on joint work with Asma Khedher and Michele Vanmaele.
  • Di Nunno, Giulia (2013). Robustness of Quadratic Hedging Strategies in Finance via Backward Stochastic Differential Equations with Jumps. Based on joint work with Asma Khedher and Michele Vanmaele.
  • Di Nunno, Giulia (2013). Robustness of quadratic hedging strategies to model risk. Based on joint work with Asma Khedher and Michele Vanmaele.
  • Di Nunno, Giulia; Khedher, Asma & Vanmaele, Michèle (2013). Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps. Preprint series: Pure mathematics. 9. Full text in Research Archive.
  • Sjursen, Steffen A. Søreide & Di Nunno, Giulia (2013). BSDES DRIVEN BY TIME-CHANGED LEVY NOISES AND OPTIMAL CONTROL. Preprint series (Universitetet i Oslo. Matematisk institutt). 1. Full text in Research Archive.
  • Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma & Schmeck, Maren Diane (2012). Pricing of spread options on a bivariate jump market and stability to model risk. Preprint series (Universitetet i Oslo. Matematisk institutt). 2. Full text in Research Archive.
  • Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma & Schmeck, Maren Diane (2012). Spread options and stability to model risk.
  • Di Nunno, Giulia (2012). Aspects of Malliavin Calculus.
  • Di Nunno, Giulia (2012). Sensitivity analysis and computation of the Greeks.
  • Di Nunno, Giulia & Bion-Nadal, Jocelyne (2012). Dynamic no good deal bounds and pricing measures.
  • Di Nunno, Giulia & Bion-Nadal, Jocelyne (2012). Dynamic no good deal pricing measures.
  • Di Nunno, Giulia; L'Aurora, Edoardo; Moschetta, Marina; Proske, Frank Norbert & Ruiz-Banos, David (2012). Market with memory and sensitivity to the past.
  • Di Nunno, Giulia; L'Aurora, Edoardo; Moschetta, Marina; Proske, Frank Norbert & Ruiz-Banos, David (2012). Market with memory: pricing and sensitivity analysis.
  • Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2012). Doubly stochastic Poisson random fields: from integral representations to BSDEs.
  • Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2012). Integral representations and BSDEs driven by doubly stochastic Poisson processes.
  • Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2012). On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process. Preprint series (Universitetet i Oslo. Matematisk institutt). 1. Full text in Research Archive.
  • Sjursen, Steffen A. Søreide & Di Nunno, Giulia (2012). On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process.
  • Di Nunno, Giulia & Bion-Nadal, Jocelyne (2011). Dynamic no-good-deal bounds and no-good-deal pricing measures.
  • Di Nunno, Giulia & Bion-Nadal, Jocelyne (2011). Extension theorems for linear operators and dynamic no-good-deal pricing measures.
  • Di Nunno, Giulia & Bion-Nadal, Jocelyne (2011). Extension theorems for operators and application to pricing.
  • Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2011). Doubly stochastic Poisson random fields: theory and applications to finance.
  • Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2011). Information and optimal investment in defaultable assets.
  • Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2011). On stochastic calculus with respect to doubly stochastic Poisson random fields.
  • Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2011). Orthogonal polynomials and stochastic calculus for doubly stochastic Poisson random fields.
  • Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2010). A note on convergence of option prices and their Greeks for Lévy models. Preprint series (Universitetet i Oslo. Matematisk institutt). 18.
  • Di Nunno, Giulia (2010). Information in optimal portfolio choices.Based on joint work with: T. Meyer-Brandis, B. Øksendal, F. Proske, and S. Sjursen.
  • Di Nunno, Giulia (2010). Minimal Variance Hedging in incomplete markets. Stochastic differentiation and the Clark-Ocone formula.
  • Di Nunno, Giulia (2010). Minimal Variance Hedging in incomplete markets:stochastic differentiation and the Clark-Ocone formula.
  • Di Nunno, Giulia (2010). Price and sensitivity robustness to model risk. Based on joint work with F.E. Benth and A. Khedher.
  • Di Nunno, Giulia (2010). Time consistent linear and convex price systems in L_p. Based on joint work with J. Bion-Nadal.
  • Di Nunno, Giulia (2010). Time consistent linear and convex price systems in L_p.Based on joint work with J. Bion-Nadal.
  • Di Nunno, Giulia (2010). Time-consistent convex price systems in L_p.
  • Di Nunno, Giulia (2009). Introduction to Malliavin Calculus and some applications to finance.
  • Di Nunno, Giulia (2009). Introduction to mathematical finance.
  • Di Nunno, Giulia (2009). Lower and upper bounds of martingale measure densities in continuous time markets.
  • Di Nunno, Giulia (2009). Lower and upper bounds of martingale measure densities in continuous time markets.
  • Di Nunno, Giulia (2009). Minimal variance hedging in large financial markets: random fields approach.
  • Di Nunno, Giulia & Eide, Inga Baadshaug (2009). Lower and upper bounds of martingale measure densities in continuous time markets.
  • Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2008). Robustness of delta hedging to model risk.
  • Di Nunno, Giulia (2008). Introduction to Malliavin calculus for Brownian motion and application to sensitivity analysis: Computation of the “greeks”.

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Published Nov. 30, 2010 11:20 PM - Last modified July 6, 2016 10:57 AM