Burzoni Matteo
Fixed-term Research Fellow B
SSD
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Competition sector
13/D4 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Research fields and competencies
Contacts
Workplace
University email address
Web site
Teaching
A.Y. 2019/2020
Research
Publications
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Viscosity solutions for controlled McKean–Vlasov jump-diffusions / M. Burzoni, V. Ignazio, M. Reppen, M. Soner. - In: SIAM JOURNAL ON CONTROL AND OPTIMIZATION. - ISSN 0363-0129. - 58:3(2020 Jun 23), pp. 1676-1699.
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Risk Measures Based on Benchmark Loss Distributions / V. Bignozzi, M. Burzoni, C. Munari. - In: JOURNAL OF RISK AND INSURANCE. - ISSN 0022-4367. - 87:2(2020 Jun), pp. 437-475.
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Robust martingale selection problem and its connections to the no-arbitrage theory / M. Burzoni, M. Sikic. - In: MATHEMATICAL FINANCE. - ISSN 0960-1627. - 30:1(2020 Jan), pp. 260-286.
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On the quasi-sure superhedging duality with frictions / E. Bayraktar, M. Burzoni. - In: FINANCE AND STOCHASTICS. - ISSN 0949-2984. - 24:1(2020 Jan), pp. 249-275.
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Arbitrage-free modeling under Knightian uncertainty / M. Burzoni, M. Maggis. - In: MATHEMATICS AND FINANCIAL ECONOMICS. - ISSN 1862-9679. - (2020). [Epub ahead of print]