Frittelli Marco

Full professor
SSD
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Competition sector
13/D4 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Referente Aq Del Dipartimento

Contacts

Workplace

Via Saldini, 50
20133 MILANO (MI)

Office phone number
02503 16143
University email address
Web site
Office hours
on appointment
Office
Office 1043, first floor, Math. Dept., Via Saldini 50.
Research

Publications

Publications
  • Short Communication: Robust Market-Adjusted Systemic Risk Measures / M. Burzoni, M. Frittelli, F. Zorzi. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 12:3(2021 Sep), pp. SC70-SC82. [10.1137/21M1401723]
  • Systemic optimal risk transfer equilibrium / F. Biagini, A. Doldi, J. Fouque, M. Frittelli, T. Meyer-Brandis. - In: MATHEMATICS AND FINANCIAL ECONOMICS. - ISSN 1862-9679. - 15:2(2021 Mar), pp. 233-274. [10.1007/s11579-020-00277-8]
  • On fairness of systemic risk measures / F. Biagini, J. Fouque, M. Frittelli, T. Meyer-Brandis. - In: FINANCE AND STOCHASTICS. - ISSN 0949-2984. - 24:2(2020 Mar 22), pp. 513-564.
  • Pointwise Arbitrage Pricing Theory in Discrete Time / M. Burzoni, M. Frittelli, Z. Hou, M. Maggis, J. Obłój. - In: MATHEMATICS OF OPERATIONS RESEARCH. - ISSN 0364-765X. - 44:3(2019 Aug), pp. 1034-1057. [10.1287/moor.2018.0956]
  • Disentangling price, risk and model risk : V&R measures / M. Frittelli, M. Maggis. - In: MATHEMATICS AND FINANCIAL ECONOMICS. - ISSN 1862-9679. - 12:2(2018 Mar), pp. 219-247.