Giulia Di Nunno
Professor

Risiko og stokastikk (SEKSJON 3)
English version of this page
Epost
giulian@math.uio.no
Telefon
+47 22855854
Rom
1016
Brukernavn
Besøksadresse
Moltke Moes vei 35
Niels Henrik Abels hus
0851 Oslo
Postadresse
Postboks 1053 Blindern
0316 Oslo
Publikasjoner

Di Nunno, Giulia (2022). On stochastic control for time changed Lévy dynamics. SeMA Journal  Boletin de la Sociedad Española de Matemática Aplicada. ISSN 22543902. 79, s. 529–547. doi: 10.1007/s40324022003015.

Benth, Fred Espen; Nunno, Giulia Di & Schroers, Dennis (2022). A topological proof of Sklar's theorem in arbitrary dimensions. Dependence Modeling. ISSN 23002298. 10(1), s. 22–28. doi: 10.1515/demo20220103. 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 03036898. 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 02190257. 24(2). doi: 10.1142/S0219025721500144.

BionNadal, Jocelyne & Di Nunno, Giulia (2020). Fullydynamic riskindifference prices and nogooddeal bounds. SIAM Journal on Financial Mathematics. ISSN 1945497X. 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 15938883. 42(1), s. 77–101. doi: 10.1007/s10203019002314. 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 0022247X. 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 00220396. 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; EbrahimiFard, Kurusch & MuntheKaas, Hans (Red.), Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISSN 9783030015923. s. 37–70. doi: 10.1007/9783030015930_2. Vis sammendrag

Corcuera, José Manuel & Di Nunno, Giulia (2018). KyleBack's model with a random horizon. International Journal of Theoretical and Applied Finance. ISSN 02190249. 21(2). doi: 10.1142/S0219024918500164. Fulltekst i vitenarkiv

BionNadal, Jocelyne & Di Nunno, Giulia (2017). Fullydynamic riskindifference prices and nogooddeal bounds. arXiv.org. ISSN 23318422. doi: 10.1137/18m120436x. Fulltekst i vitenarkiv 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

Di Nunno, Giulia & Karlsen, Erik Hove (2016). Hedging under worstcasescenario in a market driven by timechanged 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. BarndorffNielsen. Springer Science+Business Media B.V.. ISSN 9783319258249. s. 465–499. doi: 10.1007/9783319258263_22.

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.

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. doi: 10.1080/17442508.2016.1140767.

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. doi: 10.1007/9783319258263_22.

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.

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.

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. 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. 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 02190249. 17(8). doi: 10.1142/S0219024914500502.

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 & Zhang, Tusheng (2014). Approximations of Stochastic Partial Differential Equations. Preprint series (Universitetet i Oslo. Matematisk institutt). ISSN 08062439. Fulltekst i vitenarkiv

Di Nunno, Giulia & Sjursen, Steffen A. Søreide (2013). On Chaos Representation and Orthogonal Polynomials for the Doubly Stochastic Poisson Process, Seminar on Stochastic Analysis, Random Fields and Applications VII. Birkhäuser Verlag. ISSN 9783034805452. s. 23–54. doi: 10.1007/9783034805452_2.

Celledoni, Elena; Di Nunno, Giulia; EbrahimiFard, Kurusch & MuntheKaas, Hans (2018). Computation and Combinatorics in Dynamics, Stochastics and Control. Springer. ISBN 9783030015923. 13(1). 737 s. Vis sammendrag

Benth, Fred Espen & Di Nunno, Giulia (2016). Stochastics of Environmental and Financial Economics. Springer Science+Business Media B.V.. ISBN 9783319234243. 138(138). 360 s.

Sottinen, Tommi; Alòs, Elisa; Azmoodeh, Ehsan & Di Nunno, Giulia (2021). Editorial: LongMemory Models in Mathematical Finance. Frontiers in Applied Mathematics and Statistics. ISSN 22974687. 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 timechanged 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 & YurchenkoTytarenko, 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 & YurchenkoTytarenko, Anton (2021). Volterra Sandwiched Volatility Model.

Nunno, Giulia Di; Mishura, Yuliya & YurchenkoTytarenko, Anton (2021). Approximating expected value of an option with nonLipschitz payoff in fractional Hestontype model.

Nunno, Giulia Di; Mishura, Yuliya & YurchenkoTytarenko, Anton (2021). Volterra Sandwiched Volatility Model.

Nunno, Giulia Di; Mishura, Yuliya & YurchenkoTytarenko, Anton (2021). Volterra Sandwiched Volatility Model.

Nunno, Giulia Di; Mishura, Yuliya & YurchenkoTytarenko, Anton (2021). Stochastic volatility modelling via sandwiched processes with Volterra noise.

Nunno, Giulia Di (2020). Infiite dimensional Heston model: pricing and sensitivity analysis.

Nunno, Giulia Di (2020). Stochastic control for Volterra equations driven by timechanged noises .

Nunno, Giulia Di (2020). Stochastic control for Volterra equations driven by timechanged noises.

Nunno, Giulia Di (2020). Stochastic control for Volterra equations driven by timechanged noises.

Giordano, Michele & Nunno, Giulia Di (2020). Lifting of Volterra processes: optimal control and HJB equations.

Nunno, Giulia Di; Mishura, Yuliya & YurchenkoTytarenko, Anton (2020). Approximating expected value of an option with nonLipschitz payoff in fractional Hestontype 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). Timechange 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 fullydynamic riskindifference pricing: timeconsistency and other properties. Vis sammendrag

Di Nunno, Giulia (2018). Levy driven Volterra processes: approximation and integration. Vis sammendrag

Di Nunno, Giulia (2018). Stochastic calculus and control for systems driven by timechanged Levy noises.

Di Nunno, Giulia (2018). KyleBacks equilibrium model with a random time of information release. Vis sammendrag

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. Vis sammendrag

Di Nunno, Giulia (2018). On the integration with respect to Volterra processes: fractional calculus and approximation.

Di Nunno, Giulia (2018). Fully dynamic riskindifference pricing and nogooddeal bounds. Vis sammendrag

Di Nunno, Giulia (2018). Sandwich extensions of linear and convex operators and their applications. Vis sammendrag

Di Nunno, Giulia (2018). KyleBacks equilibrium model with a random time of information release. Vis sammendrag

Di Nunno, Giulia (2017). Malliavin Calculus for Lévy processes and TimeChange.

Di Nunno, Giulia (2017). Introduction to Levy Processes and Applications to Finance.

Di Nunno, Giulia (2017). Fullydynamic riskindifference pricing with nogooddeal bounds . Vis sammendrag

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). On the integration with respect to Volterra processes: fractional calculus and approximation. Vis sammendrag

Di Nunno, Giulia (2017). Mathematics, Modelling, Time and Chaos.

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 (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 (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 (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 (2015). Dynamic no good deal bounds: linear and convex price systems.

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 (2014). Optimal portfolios in markets driven by timechanged Levy noises.

Di Nunno, Giulia (2014). Timechanged Levy processes and hedging formulae.

Di Nunno, Giulia (2014). A continuous auction model with insiders.

Di Nunno, Giulia (2014). Optimal portfolio problems with price dynamics driven by timechanged Levy noises.

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