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Giulia Di Nunno

Bilde av Giulia Di Nunno
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Telefon +47-22855854
Rom 1016
Brukernavn
Besøksadresse Moltke Moes vei 35 Niels Henrik Abels hus 0851 OSLO
Postadresse Postboks 1053 Blindern 0316 OSLO
Andre tilknytninger Matematisk institutt
Emneord: Matematikk, Stokastisk analyse/Finans - forsikring og risiko, Centre of Mathematics for Applications - CMA

Publikasjoner

  • Di Nunno, Giulia & Zhang, Tusheng (2014). Approximations of Stochastic Partial Differential Equations. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  (1)
  • Sjursen, Steffen A. Søreide & Di Nunno, Giulia (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
  • 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)
  • Di Nunno, Giulia & Eide, Inga Baadshaug (2008). Minimal variance hedging in large financial markets: random fields approach. Prepint Series - Pure Mathematics.  ISSN 0806-2439.  19
  • Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank Norbert & Sulem, Agnès (2008). Anticipative stochastic control for Lévy processes with application to insider trading, In Alain Bensoussan; Zhang Qiang & Philippe G Ciarlet (ed.),  MATHEMATICAL MODELLING AND NUMERICAL METHODS IN FINANCE.  Elsevier.  ISBN 978-0-444-51879-8.  15.
  • Di Nunno, Giulia; Kohatsu-Higa, Arturo; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank & Sulem, Agnès (2008). Anticipative stochastic control for Lévy processes with application to insider trading, In  Handbook of numerical analysis 15: Mathematical Modelling and Numerical Methods in Finance..  Elsevier.
  • Di Nunno, Giulia (2007). On orthogonal polynomials and the Malliavin derivative for Lévy stochastic measures. Seminaires et Congres.  ISSN 1285-2783.  16, s 55- 69
  • Di Nunno, Giulia (2007). Random fields: Non-anticipating derivative and differentiation formulas. Infinite Dimensional Analysis Quantum Probability and Related Topics.  ISSN 0219-0257.  10, s 465- 481
  • Di Nunno, Giulia & Rozanov, Yuri A. (2007). Stochastic integrals and adjoint derivatives, In Tom Louis Lindstrøm; Bernt Øksendal; Giulia Di Nunno; Fred Espen Benth & Tusheng Zhang (ed.),  Stochastic Analysis and Applications. The Abel Symposium 2005.  Springer.  ISBN 978-3-540-70846-9.  11.  s 265 - 307
  • Di Nunno, Giulia & Øksendal, Bernt (2007). A representation theorem and a sensitivity result for functionals of jump diffusions, In Ana Bela Cruzeiro; Habib Ouerdiane & Nobuaki Obata (ed.),  Mathematical Analysis of Random Phenomena.  World Scientific.  ISBN 9789812706034.  Kapittel.  s 177 - 190
  • Di Nunno, Giulia & Øksendal, Bernt (2007). A representation theorem and a sensitivity result for functionals of jump diffusions, In  Mathematical Analysis of Random Phenomena.  World Scientific.  s 177 - 190
  • Di Nunno, Giulia & Øksendal, Bernt (2007). The Donsker delta function, a representation formula for functionals of a Lévy process and application to hedging in incomplete markets. Seminaires et Congres.  ISSN 1285-2783.  16, s 71- 82
  • Di Nunno, G; Meyer-Brandis, Thilo; Øksendal, Bernt & Proske, Frank (2006). Optimal portfolio for an insider in a market driven by Levy processes. Quantitative finance (Print).  ISSN 1469-7688.  6(1), s 83- 94

Se alle arbeider i Cristin

  • 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.
  • 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.
  • Benth, Fred Espen; Di Nunno, Giulia; Lindstrøm, Tom; Øksendal, Bernt & Zhang, Tusheng (ed.) (2007). Stochastic Analysis and Applications The Abel Symposium 2005 Proceedings of the Second Abel Symposium, Oslo, July 29 - August 4, 2005, held in honor of Kiyosi Itô. Springer.  ISBN 9783540708469.  678 s.
  • Lindstrøm, Tom Louis; Øksendal, Bernt; Di Nunno, Giulia; Benth, Fred Espen & Zhang, Tusheng (ed.) (2007). Stochastic Analysis and Applications. The Abel Symposium 2005. Springer.  ISBN 978-3-540-70846-9.  678 s.

Se alle arbeider i Cristin

  • Baños, David; Di Nunno, Giulia & Proske, Frank Norbert (2013). Sensitivity analysis in a market with memory.
  • 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.
  • Sjursen, Steffen A. Søreide & Di Nunno, Giulia (2013). BSDES DRIVEN BY TIME-CHANGED LEVY NOISES AND OPTIMAL CONTROL.
  • 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.
  • 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.
  • 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.
  • 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”.
  • Di Nunno, Giulia (2008). Malliavin calculus for L ́evy processes and application to hedging in incomplete markets.
  • Di Nunno, Giulia & Eide, Inga Baadshaug (2008). Events of small but positive probability and a version of the fundamental theorem of asset pricing..
  • Di Nunno, Giulia & Eide, Inga Baadshaug (2008). Minimal-variance hedging in large financial markets: random fields approach..
  • Di Nunno, Giulia & Eide, Inga Baadshaug (2008). Minimal-variance hedging in large financial markets: random fields approach..
  • Di Nunno, Giulia & Eide, Inga Baadshaug (2008). Minimal-variance hedging in large financial markets: random fields approach..
  • Di Nunno, Giulia & Øksendal, Bernt (2008). Optimal portoflio, partial information and Malliavin calculus.
  • Di Nunno, Giulia & Øksendal, Bernt (2008). Optimal portoflio, partial information and Malliavin calculus.
  • Di Nunno, Giulia (2007). Events of small but positive probability and a fundamental theorem of asset pricing (based on a joint work with I.B. Eide).
  • Di Nunno, Giulia (2007). Events of small but positive probability and a fundamental theorem of asset pricing (based on a joint work with I.B. Eide).
  • Di Nunno, Giulia (2007). Events of small but positive probability and a fundamental theorem of asset pricing (based on a joint work with I.B.Eide).
  • Di Nunno, Giulia (2007). Levy random fields: stochastic differentiation.
  • Di Nunno, Giulia (2007). Levy random fields: stochastic differentiation.
  • Di Nunno, Giulia (2007). Minimal-variance hedging in large financial markets: random fields approach.
  • Di Nunno, Giulia (2007). Optimal portfolio problem in incomplete market with inside information available (based on joint works with: A. Kohatzu-Higa, T. Meyer-Brandis, Bernt Øksendal, F. Proske and A. Sulem).
  • Di Nunno, Giulia (2007). Study of optimal portfolios under partial and insider information via anticipative calculus (based on joint works with T. Meyer-Brandis, B. Øksendal, F.Proske).
  • Di Nunno, Giulia & Øksendal, Bernt (2007). The Donsker delta function, a representation formula for functionals of a Lévy process and application to hedging in incomplete markets. Seminaires et Congres.  ISSN 1285-2783.  16, s 71- 82
  • Di Nunno, Giulia (2006). A representation theorem and a sensitivity result for functionals of jump diffusions (based on a joint work with B. Øksendal).
  • Di Nunno, Giulia (2006). Information, stochastic calculus, honest trading, insider trading.

Se alle arbeider i Cristin

Publisert 13. nov. 2010 13:11 - Sist endret 12. aug. 2014 13:37