Giulia Di Nunno
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/
Publications
- Corcuera, José Manuel & Di Nunno, Giulia (2018). Kyle-Back's model with a random horizon. International Journal of Theoretical and Applied Finance. ISSN 0219-0249. 21(2) . doi: 10.1142/S0219024918500164
- 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). Fully-dynamic risk-indifference prices and no-good-deal bounds. arXiv.org. ISSN 2331-8422. Show summary
- 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 Full text in Research Archive. 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. Preprint series (Universitetet i Oslo. Matematisk institutt). 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. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439. (2)
- Corcuera, José Manuel; Di Nunno, Giulia; Farkas, Gergely & Øksendal, Bernt (2010). Kyle-Back's model with Lévy noise. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439. 26
- Celledoni, Elena; Di Nunno, Giulia; Ebrahimi-Fard, Kurusch & Munthe-Kaas, Hans (ed.) (2018). Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISBN 978-3-030-01592-3. 100 s. Show summary
- 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 (2018). Kyle-Backs equilibrium model with a random time of information release. Show summary
- Di Nunno, Giulia (2018). Sandwich extensions of linear and convex operators and their applications. Show summary
- Di Nunno, Giulia (2018). Stochastic systems with memory, robustness and sensitivity. Show summary
- Di Nunno, Giulia (2017). Control of an economic with specialised sectors: a maximum principle approach for mean-field SDEs with time change. Show summary
- Di Nunno, Giulia (2017). Dynamic risk indifference pricing. Show summary
- Di Nunno, Giulia (2017). Dynamic risk indifference pricing. Show summary
- Di Nunno, Giulia (2017). Fully-dynamic risk indifference pricing. Show summary
- Di Nunno, Giulia (2017). Fully-dynamic risk-indifference pricing with no-good-deal bounds. Show summary
- Di Nunno, Giulia (2017). Introduction to Levy Processes and Applications to Finance.
- Di Nunno, Giulia (2017). Malliavin Calculus for Lévy processes and Time-Change.
- Di Nunno, Giulia (2017). Mathematics, Modelling, Time and Chaos.
- Di Nunno, Giulia (2017). On the integration with respect to Volterra processes: fractional calculus and approximation. Show summary
- Di Nunno, Giulia & Isaksen, Karoline Kvellestad (2017, 08. mars). Det er vanskeligere for kvinner å komme seg opp og fram i matematikken. Intervju til: Professor Berit Stensønes (CAS gruppeleder 2016/17, NTNU), Professor Giulia Di Nunno (CAS gruppeleder 2014/15, UiO), Professor Knut Liestøl (Styreleder for Forskningsrådet BALANSE project, UiO), Professor Geir Ellingsrud (CAS Styreleder, UiO). Forskning.no.
- 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.