Giulia Di Nunno

Professor - Risiko og stokastikk
Bilde av Giulia Di Nunno
English version of this page
Telefon +47 22855854
Rom 1016
Brukernavn
Besøksadresse Moltke Moes vei 35 Niels Henrik Abels hus 0851 Oslo
Postadresse Postboks 1053 Blindern 0316 Oslo

Giulia 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 NHH - Norwegian School of Economics, Bergen since 2009. She has been researcher at Rizklab, Norge in 2008-2009.

Research interests

Stochastic analysis, calculus, and control. Applications to finance and risk measurement: modeling, pricing, hedging and other optimal portfolio problems under full, partial, and inside information including time-change; sensitivity and robustness; markets with memory; energy finance; dynamic risk measures

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Education

PhD in Mathematical Statistics from University of Pavia in January 2003, Degree in Mathematics from the University of Milano in July 1998.

In office

2021-2024 Leader of the Section "Risk and Stochastics" at the Department of Mathematics, UiO

2021-2024 President of the Scientific Council of CIMPA

Editorial Activity

  • Associate Editor of Finance and Stochastics, Springer, since 2020
  • Associate Editor of DEAF - Decisions in Economics and Finance, Springer, since 2022
  • Associate Editor of FMF - Frontiers of Mathematical Finance, AIMS, since 2021
  • Associate Editor of Stochastics: An International Journal of Probability and Stochastic Processes, Taylor and Francis, since 2012
  • Associate Editor of Stochastic Analysis and Applications, Taylor and Francis, since 2010
  • Associate Editor of MSTA - Modern Statistics: Theory and Application, VTEX, since 2020
Emneord: Matematikk, Stokastisk analyse/Finans - forsikring og risiko, Bærekraft, Energi, Global South

Publikasjoner

  • Yurchenko-Tytarenko, Anton & Di Nunno, Giulia (2024). Power law in Sandwiched Volterra Volatility model. Modern Stochastics: Theory and Applications (MSTA). ISSN 2351-6046. doi: 10.15559/24-VMSTA246. Fulltekst i vitenarkiv
  • Di Nunno, Giulia; Kubilius, Kestutis; Mishura, Yuliya & Yurchenko-Tytarenko, Anton (2023). From Constant to Rough: A Survey of Continuous Volatility Modeling. Mathematics. ISSN 2227-7390. 11(19). doi: 10.3390/math11194201. Fulltekst i vitenarkiv
  • Di Nunno, Giulia & Giordano, Michele (2023). Stochastic Volterra equations with time-changed Lévy noise and maximum principles. Annals of Operations Research. ISSN 0254-5330. doi: 10.1007/s10479-023-05303-8. Fulltekst i vitenarkiv
  • Di Nunno, Giulia; Ortiz-Latorre, Salvador & Petersson, Andreas Erik (2023). SPDE bridges with observation noise and their spatial approximation. Stochastic Processes and their Applications. ISSN 0304-4149. 158, s. 170–207. doi: 10.1016/j.spa.2023.01.007. Fulltekst i vitenarkiv
  • Di Nunno, Giulia; Mishura, Yuliya & Yurchenko-Tytarenko, Anton (2023). Sandwiched SDEs with unbounded drift driven by Hölder noises. Advances in Applied Probability. ISSN 0001-8678. 55(3), s. 927–964. doi: 10.1017/apr.2022.56. Fulltekst i vitenarkiv
  • Di Nunno, Giulia; Mishura, Yuliya & Yurchenko-Tytarenko, Anton (2022). Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises. Numerical Algorithms. ISSN 1017-1398. doi: 10.1007/s11075-022-01424-6. Fulltekst i vitenarkiv
  • Di Nunno, Giulia (2022). On stochastic control for time changed Lévy dynamics. SeMA Journal - Boletin de la Sociedad Española de Matemática Aplicada. ISSN 2254-3902. 79, s. 529–547. doi: 10.1007/s40324-022-00301-5. Fulltekst i vitenarkiv
  • Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2022). A topological proof of Sklar's theorem in arbitrary dimensions. Dependence Modeling. ISSN 2300-2298. 10(1), s. 22–28. doi: 10.1515/demo-2022-0103. Fulltekst i vitenarkiv
  • Benth, Fred Espen; Di Nunno, Giulia & Schroers, Dennis (2021). Copula measures and Sklar's theorem in arbitrary dimensions. Scandinavian Journal of Statistics. ISSN 0303-6898. doi: 10.1111/sjos.12559.
  • Benth, Fred Espen; Di Nunno, Giulia & Simonsen, Iben Cathrine (2021). Sensitivity analysis in the infinite dimensional Heston model. Infinite Dimensional Analysis Quantum Probability and Related Topics. ISSN 0219-0257. 24(2). doi: 10.1142/S0219025721500144.
  • Bion-Nadal, Jocelyne & Di Nunno, Giulia (2020). Fully-dynamic risk-indifference prices and no-good-deal bounds. SIAM Journal on Financial Mathematics. ISSN 1945-497X. 11(2), s. 620–658. doi: 10.1137/18M120436X. Fulltekst i vitenarkiv
  • Corcuera, José Manuel; Di Nunno, Giulia & Fajardo, Jose (2019). Kyle equilibrium under random price pressure. Decisions in Economics and Finance (DAF). ISSN 1593-8883. 42(1), s. 77–101. doi: 10.1007/s10203-019-00231-4. Fulltekst i vitenarkiv
  • Di Nunno, Giulia; Fiacco, Andrea & Karlsen, Erik Hove (2019). On the approximation of Lévy driven Volterra processes and their integrals. Journal of Mathematical Analysis and Applications. ISSN 0022-247X. 476(1), s. 120–148. doi: 10.1016/j.jmaa.2019.02.051. Fulltekst i vitenarkiv
  • Banos, David; Cordoni, Francesco; Di Nunno, Giulia; Di Persio, Luca & Røse, Elin Engen (2019). Stochastic systems with memory and jumps. Journal of Differential Equations. ISSN 0022-0396. 266(9), s. 5772–5820. doi: 10.1016/j.jde.2018.10.052. Fulltekst i vitenarkiv
  • Baños, David; Di Nunno, Giulia; Haferkorn, Hannes Hagen & Proske, Frank Norbert (2018). Stochastic functional differential equations and sensitivity to their initial path. I Celledoni, Elena; Di Nunno, Giulia; Ebrahimi-Fard, Kurusch & Munthe-Kaas, Hans (Red.), Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISSN 978-3-030-01592-3. s. 37–70. doi: 10.1007/978-3-030-01593-0_2.
  • 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. Fulltekst i vitenarkiv

Se alle arbeider i Cristin

  • Celledoni, Elena; Di Nunno, Giulia; Ebrahimi-Fard, Kurusch & Munthe-Kaas, Hans (2018). Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISBN 978-3-030-01592-3. 13(1). 737 s.

Se alle arbeider i Cristin

  • Di Nunno, Giulia (2023). On stochastic control for time changed Lévy dynamics.
  • Di Nunno, Giulia (2023). Horizon risk and fully dynamic risk measures.
  • Di Nunno, Giulia (2023). Pricing in sandwiched Volterra volatility models.
  • Di Nunno, Giulia (2023). Dynamic risk assessment, horizon risk, and interest rate uncertainty.
  • Di Nunno, Giulia (2023). Sandwiched Volterra volatility models and hedging.
  • Di Nunno, Giulia (2023). Sandwiched Volterra volatility models and hedging.
  • Di Nunno, Giulia (2023). Sandwiched Volterra volatility models and hedging.
  • Di Nunno, Giulia (2023). Optimal control for Volterra type dynamics.
  • Di Nunno, Giulia (2023). Sandwiched Volterra volatility models and option pricing.
  • Di Nunno, Giulia (2023). Lifting of Volterra processes: Optimal control in UMD Banach spaces .
  • Di Nunno, Giulia (2023). Research on Risk Measures.
  • Di Nunno, Giulia (2023). Horizon risk and dynamic risk assessment.
  • Di Nunno, Giulia (2023). Horizon risk and fully dynamic risk measures.
  • Di Nunno, Giulia; Natalini, Roberto & Luca, Perri (2022). La matematica unisce. [Internett]. https://www.youtube.com/watch?v=-Sj-3w0GXvw.
  • Di Nunno, Giulia (2022). Fully-dynamic risk measures and horizon risk.
  • Di Nunno, Giulia (2022). Stochastic games for Volterra time-changed Lévy dynamics.
  • Di Nunno, Giulia (2022). On time changed Lévy noises in modelling, dynamics and control .
  • Di Nunno, Giulia (2022). Stochastic games for Volterra time-changed Lévy dynamics.
  • Di Nunno, Giulia (2022). Sandwiched SDEs with unbounded drift, Hölder noises and stochastic volatility modelling.
  • Di Nunno, Giulia (2022). Horizon risk and fully-dynamic risk measures.
  • Di Nunno, Giulia (2022). Optimal control of Volterra type equations: from finite to infinite dimensions and return.
  • Di Nunno, Giulia (2022). Fully-dynamic risk measures: time-consistency, horizon risk, and relations with BSDEs and BSVIEs.
  • Di Nunno, Giulia (2022). Stochastic games for Volterra time-changed Lévy dynamics.
  • Di Nunno, Giulia (2022). Sandwiched SDEs with unbounded drift driven by Hölder noises.
  • Di Nunno, Giulia (2021). Maximum principles for stochastic time-changed Volterra games.
  • Di Nunno, Giulia (2021). Sensitivity analysis in the infinite dimensional Heston model.
  • Di Nunno, Giulia (2021). Infinite dimensional Heston model and sensitivity analysis.
  • Di Nunno, Giulia (2021). Rough volatility: SDE with unbounded drift driven by Hölder continuous noise.
  • Di Nunno, Giulia (2021). Sensitivity analysis in the infinite dimensional Heston model.
  • Di Nunno, Giulia (2021). Optimal portfolios in markets with memory.
  • Sottinen, Tommi; Alòs, Elisa; Azmoodeh, Ehsan & Di Nunno, Giulia (2021). Editorial: Long-Memory Models in Mathematical Finance. Frontiers in Applied Mathematics and Statistics. ISSN 2297-4687. 7. doi: 10.3389/fams.2021.705429.
  • Nunno, Giulia Di (2021). On time changed Lévy noises in modelling, dynamics and control.
  • Nunno, Giulia Di (2021). Maximum principles for stochastic time-changed Volterra games.
  • Nunno, Giulia Di (2021). Sensitivity analysis in the infinite dimensional Heston model.
  • Nunno, Giulia Di; Benth, Fred Espen & Simonsen, Iben Cathrine (2021). Infinite dimensional Heston model and sensitivity analysis.
  • Nunno, Giulia Di & Yurchenko-Tytarenko, Anton (2021). Rough volatility: SDE with unbounded drift driven by Hölder continuous noise.
  • Nunno, Giulia Di (2021). Sensitivity analysis in the infinite dimensional Heston model.
  • Nunno, Giulia Di (2021). Optimal portfolios in markets with memory.
  • Nunno, Giulia Di; Mishura, Yuliya & Yurchenko-Tytarenko, Anton (2021). Volterra Sandwiched Volatility Model.
  • Nunno, Giulia Di; Mishura, Yuliya & Yurchenko-Tytarenko, Anton (2021). Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model.
  • Nunno, Giulia Di; Mishura, Yuliya & Yurchenko-Tytarenko, Anton (2021). Volterra Sandwiched Volatility Model.
  • Nunno, Giulia Di; Mishura, Yuliya & Yurchenko-Tytarenko, Anton (2021). Volterra Sandwiched Volatility Model.
  • Nunno, Giulia Di; Mishura, Yuliya & Yurchenko-Tytarenko, Anton (2021). Stochastic volatility modelling via sandwiched processes with Volterra noise.
  • Di Nunno, Giulia (2020). Infinite dimensional Heston model: pricing and sensitivity analysis .
  • Di Nunno, Giulia (2020). Stochastic control for Volterra equations driven by time-changed noises .
  • Di Nunno, Giulia (2020). Stochastic control for Volterra equations driven by time-changed noises .
  • Di Nunno, Giulia (2020). Stochastic control for Volterra equations driven by time-changed noises.
  • Nunno, Giulia Di (2020). Infiite dimensional Heston model: pricing and sensitivity analysis.
  • Nunno, Giulia Di (2020). Stochastic control for Volterra equations driven by time-changed noises .
  • Nunno, Giulia Di (2020). Stochastic control for Volterra equations driven by time-changed noises.
  • Nunno, Giulia Di (2020). Stochastic control for Volterra equations driven by time-changed noises.
  • Giordano, Michele & Nunno, Giulia Di (2020). Lifting of Volterra processes: optimal control and HJB equations.
  • Nunno, Giulia Di; Mishura, Yuliya & Yurchenko-Tytarenko, Anton (2020). Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model.
  • Di Nunno, Giulia; Arici, Francesca & Cherubini, Anna Maria (2020). Going beyond the boundaries: An interview with Giulia Di Nunno. [Internett]. European Women in Mathematics.
  • Di Nunno, Giulia & Isaksen, Karoline Kvellestad (2020). Alumni Spotlight: Giulia Di Nunno. [Internett]. Newsletter CAS Oslo.
  • Di Nunno, Giulia (2020). Work in Research in Norway and Scandinavia.
  • Di Nunno, Giulia (2019). Excursus on time change in stochastic analysis and control.
  • Di Nunno, Giulia (2019). ICIAM 2019 Su Buchin - Prize Prof. Giulia di Nunno. [TV]. WebsEdgeEducation.
  • Di Nunno, Giulia & Salomon, Mónica G. (2019). Hay matemáticos de primer nivel trabajando a destajo en África. [Avis]. El Pais.
  • Di Nunno, Giulia & Natalini, Roberto (2019). Interview by Roberto Natalini with Giulia Di Nunno, 2019 Su Buchin Prize Winner. [Internett]. DIANOIA.
  • Di Nunno, Giulia (2019). Mathematics, Society, Economy and Development.
  • Di Nunno, Giulia (2019). Optimal strategies in a market with memory.
  • Di Nunno, Giulia (2019). Time-change in modelling, stochastic calculus and control.
  • Di Nunno, Giulia (2019). Martingale random fields in time change models, the role of information in optimal portfolio problems.
  • Di Nunno, Giulia (2018). On fully-dynamic risk-indifference pricing: time-consistency and other properties.
  • Di Nunno, Giulia (2018). Levy driven Volterra processes: approximation and integration.
  • Di Nunno, Giulia (2018). On the integration with respect to Volterra type processes.
  • Di Nunno, Giulia (2018). Stochastic calculus and control for systems driven by time-changed Levy noises.
  • Di Nunno, Giulia (2018). Kyle-Backs equilibrium model with a random time of information release.
  • Di Nunno, Giulia (2018). Integration with respect to Levy driven Volterra processes.
  • Di Nunno, Giulia (2018). Malliavin Calculus and Applications to Finance.
  • Di Nunno, Giulia (2018). A continuous auction model with insiders and random time of information release.
  • Di Nunno, Giulia (2018). On the integration with respect to Volterra processes: fractional calculus and approximation.
  • Di Nunno, Giulia (2018). Fully dynamic risk-indifference pricing and no-good-deal bounds.
  • Di Nunno, Giulia (2018). Kyle-Back’s model with a random horizon.
  • Di Nunno, Giulia (2018). Stochastic systems with memory, robustness and sensitivity.
  • Di Nunno, Giulia (2018). Sandwich extensions of linear and convex operators and their applications.
  • Di Nunno, Giulia (2018). Kyle-Backs equilibrium model with a random time of information release.
  • Di Nunno, Giulia (2017). Malliavin Calculus for Lévy processes and Time-Change.
  • Di Nunno, Giulia (2017). Introduction to Levy Processes and Applications to Finance.
  • Di Nunno, Giulia (2017). Fully-dynamic risk-indifference pricing with no-good-deal bounds .
  • Di Nunno, Giulia (2017). Dynamic risk indifference pricing.
  • Di Nunno, Giulia (2017). Fully-dynamic risk indifference pricing.

Se alle arbeider i Cristin

Publisert 13. nov. 2010 13:11 - Sist endret 2. sep. 2023 13:41

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