Luciano Campi
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A super-replication theorem in Kabanov’s model of transaction costs
L Campi, W Schachermayer
Finance and Stochastics 10 (4), 579-596, 2006
A Structural Risk‐Neutral Model for Pricing and Hedging Power Derivatives
R Aid, L Campi, N Langrené
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
A structural risk-neutral model of electricity prices
R Aid, L Campi, AN Huu, N Touzi
International Journal of Theoretical and Applied Finance 12 (07), 925-947, 2009
Systematic equity-based credit risk: A CEV model with jump to default
L Campi, S Polbennikov, A Sbuelz
Journal of Economic Dynamics and Control 33 (1), 93-108, 2009
Multivariate utility maximization with proportional transaction costs
L Campi, MP Owen
Finance and stochastics 15 (3), 461-499, 2011
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
L Campi, U Cetin
Finance and Stochastics 11 (4), 591-602, 2007
A probabilistic numerical method for optimal multiple switching problems in high dimension
R Aïd, L Campi, N Langrené, H Pham
Society for Industrial and Applied Mathematics 5 (1), 191-231, 2014
Change of numeraire in the two-marginals martingale transport problem
L Campi, I Laachir, C Martini
Finance and Stochastics 21 (2), 471-486, 2017
Dynamic Markov bridges motivated by models of insider trading
L Campi, U Cetin, A Danilova
Stochastic Processes and their Applications 121 (3), 534-567, 2011
Closed-form pricing of benchmark equity default swaps under the CEV assumption
L Campi, A Sbuelz
CentER Discussion Paper Series, 2005
On the existence of shadow prices
G Benedetti, L Campi, J Kallsen, J Muhle-Karbe
Finance and stochastics 17 (4), 801-818, 2013
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
R Aïd, M Basei, G Callegaro, L Campi, T Vargiolu
Mathematics of Operations Research 45 (1), 205-232, 2020
N-player games and mean field games with absorption
L Campi, M Fischer
arXiv preprint arXiv:1612.03816, 2016
Some results on quadratic hedging with insider trading
L Campi
Stochastics An International Journal of Probability and Stochastic Processes …, 2005
Equilibrium model with default and dynamic insider information
L Campi, U Çetin, A Danilova
Finance and stochastics 17 (3), 565-585, 2013
Multivariate utility maximization with proportional transaction costs and random endowment
G Benedetti, L Campi
SIAM Journal on Control and Optimization 50 (3), 1283-1308, 2012
Mean field games with controlled jump–diffusion dynamics: Existence results and an illiquid interbank market model
C Benazzoli, L Campi, L Di Persio
Stochastic Processes and their Applications, 2020
Arbitrage and completeness in financial markets with given N-dimensional distributions
L Campi
Decisions in Economics and Finance 27 (1), 57-80, 2004
Weak insider trading and behavioral finance
L Campi, M Del Vigna
SIAM Journal on Financial Mathematics 3 (1), 242-279, 2012
Explicit construction of a dynamic Bessel bridge of dimension
L Campi, U Cetin, A Danilova
Electronic Journal of Probability 18, 2013
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