Giulia Di Nunno
Professor

Stokastisk analyse, finans, forsikring og risiko
English version of this page
Epost
giulian@math.uio.no
Telefon
+4722855854
Rom
1016
Brukernavn
Besøksadresse
Ullevål stadion
Sognsveien 77 B
0855 OSLO
Postadresse
Postboks 1053 Blindern
0316 OSLO
Andre tilknytninger
Matematisk institutt
Publikasjoner
 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 23318422. Fulltekst i vitenarkiv.
 BionNadal, Jocelyne & Di Nunno, Giulia (2017). Fullydynamic riskindifference prices and nogooddeal bounds. arXiv.org. ISSN 23318422. Vis sammendrag
 BionNadal, Jocelyne & Di Nunno, Giulia (2017). Representation of convex operators and their static and dynamic sandwich extensions. Journal of Convex Analysis. ISSN 09446532. 24(4), s 1375 1405
 Di Nunno, Giulia & Haferkorn, Hannes Hagen (2017). A maximum principle for meanfield SDEs with time change. Applied mathematics and optimization. ISSN 00954616. 76(1), s 137 176 . doi: 10.1007/s0024501794260 Fulltekst i vitenarkiv.
 Di Nunno, Giulia & Vives, Josep (2017). A MalliavinSkorohod calculus in L^0 and L^1 for additive and Volterratype processes. Stochastics: An International Journal of Probability and Stochastic Processes. ISSN 17442508. 89(1), s 142 170 . doi: 10.1080/17442508.2016.1140767 Fulltekst i vitenarkiv. Vis sammendrag
 Baños, David Ruiz; Cordoni, Francesco; Di Nunno, Giulia; Di Persio, Luca & Elin, Røse (2016). Stochastic systems with memory and jumps. arXiv.org. ISSN 23318422.
 Di Nunno, Giulia & Karlsen, Erik Hove (2016). Hedging under worstcasescenario in a market driven by timechanged 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. BarndorffNielsen. Springer Science+Business Media B.V.. ISBN 9783319258249. Chapter 22. s 465  499 Vis sammendrag
 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 13110454. 19(6), s 1356 1392 . doi: 10.1515/fca20160071 Vis sammendrag
 Di Nunno, Giulia & Zhang, Tusheng (2016). Approximations of stochastic partial differential equations. The Annals of Applied Probability. ISSN 10505164. 26(3), s 1443 1466 . doi: 10.1214/15AAP1122
 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 1350486X. 22(1), s 28 62 . doi: 10.1080/1350486X.2014.948708
 Di Nunno, Giulia & Karlsen, Erik Hove (2015). Hedging under worstcasescenario in a market driven by timechanged Lévy noises. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 08062439.
 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 00954616. 72(3), s 353 389 . doi: 10.1007/s002450149283z
 Di Nunno, Giulia & Vives, Josep (2015). A MalliavinSkorohod calculus in L^0 and L^1 for additive and Volterratype processes. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 08062439.
 BionNadal, Jocelyne & Di Nunno, Giulia (2014). Representation of convex operators and their static and dynamic sandwich extension. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 08062439. (4) Fulltekst i vitenarkiv.
 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 08062439. (3) Fulltekst i vitenarkiv.
 Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2014). BSDEs driven by timechanged Lévy noises and optimal control. Stochastic Processes and their Applications. ISSN 03044149. 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 02190249. 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 08062439. (1) Fulltekst i vitenarkiv.
 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 17442508. 85(6), s 1015 1039 . doi: 10.1080/17442508.2012.736994
 Di Nunno, Giulia & BionNadal, Jocelyne (2013). Dynamic nogooddeal pricing measures and extension theorems for linear operators on Linfinity. Finance and Stochastics. ISSN 09492984. 17(3), s 587 613 . doi: 10.1007/s007800120195y
 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 9783034805452. 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 17563615. 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 jumpdiffusions. Communications on Stochastic Analysis. ISSN 09739599. 5(2), s 285 307
 Di Nunno, Giulia & BionNadal, Jocelyne (2011). Extension theorems for linear operators on L_\infty and application to price systems. Prepint Series  Pure Mathematics. ISSN 08062439. 4
 Di Nunno, Giulia & Eide, Inga Baadshaug (2011). LOWER AND UPPER BOUNDS OF MARTINGALE MEASURE DENSITIES IN CONTINUOUS TIME MARKETS. Mathematical Finance. ISSN 09601627. 21(3), s 475 492 . doi: 10.1111/j.14679965.2010.00442.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 9783642184116. Chapter. s 181  221
 Di Nunno, Giulia; Øksendal, Bernt; Menoukeu Pamen, Olivier & Proske, Frank Norbert (2011). Uniqueness of Decompositions of SkorohodSemimartingales. Infinite Dimensional Analysis Quantum Probability and Related Topics. ISSN 02190257. 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 9789814295420. Kapitel. s 153  184
 Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2010). Robustness of option prices and their deltas in markets modelled by jumpdiffusions. Prepint Series  Pure Mathematics. ISSN 08062439. (2)
 Corcuera, José Manuel; Di Nunno, Giulia; Farkas, Gergely & Øksendal, Bernt (2010). KyleBack's model with Lévy noise. Prepint Series  Pure Mathematics. ISSN 08062439. 26
 Di Nunno, Giulia & Eide, Inga Baadshaug (2010). MinimalVariance Hedging in Large Financial Markets: Random Fields Approach. Stochastic Analysis and Applications. ISSN 07362994. 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 08062439. 17
 Benth, Fred Espen; Di Nunno, Giulia & Khedher, Asma (2009). Lévy models robustness and sensitivy. Prepint Series  Pure Mathematics. ISSN 08062439. (17)
 Benth, Fred Espen & Di Nunno, Giulia (ed.) (2016). Stochastics of Environmental and Financial Economics. Springer Science+Business Media B.V.. ISBN 9783319234243. 360 s.
 Di Nunno, Giulia & Øksendal, Bernt (ed.) (2011). Advanced Mathematical Methods for Finance. Springer. ISBN 9783642184116. 536 s.
 Di Nunno, Giulia & Øksendal, Bernt (ed.) (2011). Advanced Mathematical Methods for Finance. Springer. ISBN 9783642184116. 536 s.
 Di Nunno, Giulia (2017). Control of an economic with specialised sectors: a maximum principle approach for meanfield SDEs with time change. Vis sammendrag
 Di Nunno, Giulia (2017). Dynamic risk indifference pricing. Vis sammendrag
 Di Nunno, Giulia (2017). Dynamic risk indifference pricing. Vis sammendrag
 Di Nunno, Giulia (2017). Fullydynamic risk indifference pricing. Vis sammendrag
 Di Nunno, Giulia (2017). Fullydynamic riskindifference pricing with nogooddeal bounds. Vis sammendrag
 Di Nunno, Giulia (2017). Introduction to Levy Processes and Applications to Finance.
 Di Nunno, Giulia (2017). Malliavin Calculus for Lévy processes and TimeChange.
 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. Vis sammendrag
 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 MalliavinSkorohod calculus in L^0 and L^1 for additive and Volterratype processes.
 Di Nunno, Giulia (2016). Risk indifference pricing and dynamic nogooddeal 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 timechanged Levy noises.
 Di Nunno, Giulia (2014). Optimal portfolios in markets driven by timechanged Levy noises.
 Di Nunno, Giulia (2014). Timechanged Levy processes and hedging formulae.
 Di Nunno, Giulia (2013). BSDEs driven by timechanged Levy noises and optimal control. Based on joint work with Steffen Sjursen.
 Di Nunno, Giulia (2013). BSDEs driven by timechanged 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. Fulltekst i vitenarkiv.
 Sjursen, Steffen A. Søreide & Di Nunno, Giulia (2013). BSDES DRIVEN BY TIMECHANGED LEVY NOISES AND OPTIMAL CONTROL. Preprint series (Universitetet i Oslo. Matematisk institutt). 1. Fulltekst i vitenarkiv.
 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. Fulltekst i vitenarkiv.
 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 & BionNadal, Jocelyne (2012). Dynamic no good deal bounds and pricing measures.
 Di Nunno, Giulia & BionNadal, Jocelyne (2012). Dynamic no good deal pricing measures.
 Di Nunno, Giulia; L'Aurora, Edoardo; Moschetta, Marina; Proske, Frank Norbert & RuizBanos, David (2012). Market with memory and sensitivity to the past.
 Di Nunno, Giulia; L'Aurora, Edoardo; Moschetta, Marina; Proske, Frank Norbert & RuizBanos, 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. Fulltekst i vitenarkiv.
 Sjursen, Steffen A. Søreide & Di Nunno, Giulia (2012). On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process.
 Di Nunno, Giulia & BionNadal, Jocelyne (2011). Dynamic nogooddeal bounds and nogooddeal pricing measures.
 Di Nunno, Giulia & BionNadal, Jocelyne (2011). Extension theorems for linear operators and dynamic nogooddeal pricing measures.
 Di Nunno, Giulia & BionNadal, 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. MeyerBrandis, B. Øksendal, F. Proske, and S. Sjursen.
 Di Nunno, Giulia (2010). Minimal Variance Hedging in incomplete markets. Stochastic differentiation and the ClarkOcone formula.
 Di Nunno, Giulia (2010). Minimal Variance Hedging in incomplete markets:stochastic differentiation and the ClarkOcone 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. BionNadal.
 Di Nunno, Giulia (2010). Time consistent linear and convex price systems in L_p.Based on joint work with J. BionNadal.
 Di Nunno, Giulia (2010). Timeconsistent convex price systems in L_p.
 Di Nunno, Giulia (2009). Introduction to Malliavin Calculus and some applications to finance.
Publisert 13. nov. 2010 13:11
 Sist endret 13. mars 2018 20:46