Giulia Di Nunno

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
Emneord: Matematikk, Stokastisk Analyse/Finans Forsikring og Risiko, STORE, STORM, STOCONINF, FINEWSTOCH\; Global South

Publikasjoner

  • 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
  • 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
  • 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 Fulltekst i vitenarkiv
  • 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 Fulltekst i vitenarkiv
  • 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.
  • Bion-Nadal, Jocelyne & Di Nunno, Giulia (2017). Fully-dynamic risk-indifference prices and no-good-deal bounds. arXiv.org. ISSN 2331-8422. doi: 10.1137/18m120436x Fulltekst i vitenarkiv
  • 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
  • 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
  • Di Nunno, Giulia & Karlsen, Erik Hove (2016). Hedging under worst-case-scenario in a market driven by time-changed Lévy noises. I Podolskij, Mark; Stelzer, Robert; Thorbjørnsen, Steen & Veraart, Almut E. D. (Red.), The Fascination of Probability, Statistics and their Applications. In honour of Ole E. Barndorff-Nielsen. Springer Science+Business Media B.V.. ISSN 978-3-319-25824-9. s. 465–499. doi: 10.1007/978-3-319-25826-3_22
  • 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. doi: 10.1080/17442508.2016.1140767
  • 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
  • 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. doi: 10.1007/978-3-319-25826-3_22
  • Di Nunno, Giulia & Zhang, Tusheng (2014). Approximations of Stochastic Partial Differential Equations. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 0806-2439. 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 0806-2439. Fulltekst i vitenarkiv
  • 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. Fulltekst i vitenarkiv
  • 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 & 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

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.
  • Benth, Fred Espen & Di Nunno, Giulia (2016). Stochastics of Environmental and Financial Economics. Springer Science+Business Media B.V.. ISBN 978-3-319-23424-3. 138(138). 360 s.

Se alle arbeider i Cristin

  • 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.
  • 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 (2021). Optimal portfolios in markets with memory.
  • Nunno, Giulia Di & Yurchenko-Tytarenko, Anton (2021). Rough volatility: SDE with unbounded drift driven by Hölder continuous noise.
  • Nunno, Giulia Di; Benth, Fred Espen & Simonsen, Iben Cathrine (2021). Infinite dimensional Heston model and sensitivity analysis.
  • Nunno, Giulia Di (2021). Sensitivity analysis in the infinite dimensional Heston model.
  • Nunno, Giulia Di (2021). Maximum principles for stochastic time-changed Volterra games.
  • 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 (2021). Sensitivity analysis in the infinite dimensional Heston model.
  • Di Nunno, Giulia (2020). Work in Research in Norway and Scandinavia.
  • Di Nunno, Giulia & Isaksen, Karoline Kvellestad (2020). Alumni Spotlight: Giulia Di Nunno. [Internett]. Newsletter CAS Oslo.
  • Di Nunno, Giulia; Arici, Francesca & Cherubini, Anna Maria (2020). Going beyond the boundaries: An interview with Giulia Di Nunno. [Internett]. European Women in Mathematics.
  • Nunno, Giulia Di; Mishura, Yuliya & Yurchenko-Tytarenko, Anton (2020). Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model.
  • Giordano, Michele & Nunno, Giulia Di (2020). Lifting of Volterra processes: optimal control and HJB equations.
  • 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.
  • Nunno, Giulia Di (2020). Infiite dimensional Heston model: pricing and sensitivity analysis.
  • Di Nunno, Giulia (2019). Martingale random fields in time change models, the role of information in optimal portfolio problems.
  • Di Nunno, Giulia (2019). Time-change in modelling, stochastic calculus and control.
  • Di Nunno, Giulia (2019). ICIAM 2019 Su Buchin - Prize Prof. Giulia di Nunno. [TV]. WebsEdgeEducation.
  • Di Nunno, Giulia (2019). Mathematics, Society, Economy and Development.
  • Di Nunno, Giulia & Salomon, Mónica G. (2019). Hay matemáticos de primer nivel trabajando a destajo en África. [Avis]. El Pais.
  • Di Nunno, Giulia (2019). Optimal strategies in a market with memory.
  • 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). Excursus on time change in stochastic analysis and control.
  • Di Nunno, Giulia (2018). Sandwich extensions of linear and convex operators and their applications.
  • Di Nunno, Giulia (2018). Stochastic systems with memory, robustness and sensitivity.
  • Di Nunno, Giulia (2018). Kyle-Backs equilibrium model with a random time of information release.
  • Di Nunno, Giulia (2018). Malliavin Calculus and Applications to Finance.
  • Di Nunno, Giulia (2018). On the integration with respect to Volterra processes: fractional calculus and approximation.
  • 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). On fully-dynamic risk-indifference pricing: time-consistency and other properties.
  • Di Nunno, Giulia (2018). A continuous auction model with insiders and random time of information release.
  • 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). 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). Stochastic calculus and control for systems driven by time-changed Levy noises.
  • Di Nunno, Giulia & Isaksen, Karoline Kvellestad (2017). 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). [Avis]. Forskning.no.
  • Di Nunno, Giulia (2017). Control of an economic with specialised sectors: a maximum principle approach for mean-field SDEs with time change.
  • Di Nunno, Giulia (2017). Mathematics, Modelling, Time and Chaos.
  • Di Nunno, Giulia (2017). Fully-dynamic risk indifference pricing.
  • Di Nunno, Giulia (2017). Dynamic risk indifference pricing.
  • Di Nunno, Giulia (2017). Dynamic risk indifference pricing.
  • 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). Fully-dynamic risk-indifference pricing with no-good-deal bounds .
  • Di Nunno, Giulia (2017). On the integration with respect to Volterra processes: fractional calculus and approximation.
  • 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). Sensitivity analysis in a market with memory. A join work 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 (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 (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.
  • Di Nunno, Giulia (2014). Optimal portfolio problems with price dynamics driven by time-changed Levy noises.
  • Di Nunno, Giulia (2014). Time-changed Levy processes and hedging formulae.
  • Di Nunno, Giulia (2014). A continuous auction model with insiders.
  • Di Nunno, Giulia (2014). Optimal portfolios in markets driven by time-changed Levy noises.
  • Aarønæs, Lars; Benth, Fred Espen & Di Nunno, Giulia (2014). Hvordan beregner vi framtida? [Tidsskrift]. GLIMT - CAS Informasjonsblad.
  • Di Nunno, Giulia (2014). A continuous auction model with insiders and information release.
  • 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 (2013). Robustness of BSDEs and applications to quadratic hedging. Based on joint work with Asma Khedher and Michele Vanmaele.
  • 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). BSDEs driven by time-changed Levy noises and optimal control. Based on joint work with Steffen Sjursen.
  • 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). Robustness of Quadratic Hedging Strategies in Finance via Backward Stochastic Differential Equations with Jumps. Based on joint work with Asma Khedher and Michele Vanmaele.
  • Sjursen, Steffen A. Søreide & Di Nunno, Giulia (2013). BSDES DRIVEN BY TIME-CHANGED LEVY NOISES AND OPTIMAL CONTROL. Matematisk institutt, UiO. ISSN 0806-2439. Fulltekst i vitenarkiv
  • Di Nunno, Giulia; Khedher, Asma & Vanmaele, Michèle (2013). Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps. Matematisk institutt, UiO. Fulltekst i vitenarkiv

Se alle arbeider i Cristin

Publisert 13. nov. 2010 13:11 - Sist endret 8. mai 2020 09:54

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