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Sara Biagini
Sara Biagini
Associate Professor of Mathematical Finance, LUISS G. Carli, Rome
Zweryfikowany adres z luiss.it - Strona główna
Tytuł
Cytowane przez
Cytowane przez
Rok
On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures
S Biagini, M Frittelli
Optimality and Risk-Modern Trends in Mathematical Finance: The Kabanov …, 2010
1342010
A unified framework for utility maximization problems: an Orlicz space approach
S Biagini, M Frittelli
1252008
Robust fundamental theorem for continuous processes
S Biagini, B Bouchard, C Kardaras, M Nutz
Mathematical Finance 27 (4), 963-987, 2017
1032017
Utility maximization in incomplete markets for unbounded processes
S Biagini, M Frittelli
Finance and Stochastics 9 (4), 493-517, 2005
892005
The robust Merton problem of an ambiguity averse investor
S Biagini, MÇ Pınar
Mathematics and Financial Economics 11 (1), 1-24, 2017
862017
Indifference price with general semimartingales
S Biagini, M Frittelli, M Grasselli
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
712011
On the super replication price of unbounded claims
S Biagini, M Frittelli
432004
The supermartingale property of the optimal wealth process for general semimartingales
S Biagini, M Frittelli
Finance and Stochastics 11, 253-266, 2007
262007
Expected utility maximization: the dual approach
S Biagini
Encyclopedia of Quantitative Finance, 2009
25*2009
Dynamic quasi concave performance measures
S Biagini, J Bion-Nadal
Journal of Mathematical Economics 55, 143-153, 2014
242014
Admissible strategies in semimartingale portfolio selection
S Biagini, A Černý
SIAM Journal on Control and Optimization 49 (1), 42-72, 2011
232011
Model-free representation of pricing rules as conditional expectations
S Biagini, R Cont
Stochastic processes and applications to mathematical finance, 53-66, 2007
232007
Optimal dynamic regulation of carbon emissions market
R Aïd, S Biagini
Mathematical Finance 33 (1), 80-115, 2023
22*2023
The best gain-loss ratio is a poor performance measure
S Biagini, MC Pinar
SIAM Journal on Financial Mathematics 4 (1), 228-242, 2013
182013
An Orlicz spaces duality for utility maximization in incomplete markets
S Biagini
Seminar on Stochastic Analysis, Random Fields and Applications V: Centro …, 2008
182008
On continuity properties and dual representation of convex and monotone functionals on Fréchet lattices
S Biagini, M Frittelli
preprint, 2006
182006
Robust portfolio choice with sticky wages
S Biagini, F Gozzi, M Zanella
SIAM Journal on Financial Mathematics 13 (3), 1004-1039, 2022
162022
Convex duality and Orlicz spaces in expected utility maximization
S Biagini, A Černý
Mathematical Finance 30 (1), 85-127, 2020
152020
Duality and optimality conditions in stochastic optimization and mathematical finance
S Biagini, T Pennanen, AP Perkkiö
J. of Convex Analysis 25 (2), 403-420, 2018
122018
A note on admissibility when the credit line is infinite
S Biagini, M Sîrbu
Stochastics An International Journal of Probability and Stochastic Processes …, 2012
122012
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