| Selected Publications |
A. Doldi, M. Frittelli, M.
Maggis (2026)
When cooperation is beneficial to all agents,
ArXiv:
2604.02862
.
[PDF]
A. Doldi, M. Frittelli, M. Maggis
(2026)
Collective completeness and pricing
hedging duality II,
ArXiv: 2606.19038
[PDF]
A. Doldi, M.
Frittelli, M. Maggis (2026)
Collective completeness and pricing hedging
duality,
Mathematics
and Financial Economics, Vol. 19(4), pp
757-784.
[PDF]
A. Doldi, M. Frittelli, E.
Rosazza Gianin (2026)
Collective Risk Measures for Processes
Decision
in Economics and Finance.
[PDF]
F. Biagini,
A. Doldi, JP Fouque, M. Frittelli and T.
Meyer-Brandis (2026)
Collective Arbitrage and the Value of Cooperation
Finance
and StochasticsVol.
30(1), pp 1-57.
[PDF]
M. Frittelli (2025)
Collective Free Lunch and the FTAP
SIAM J. Financial Mathematics,
Vol. 16(1), pp 53-67.
[PDF]
A. Doldi, M. Frittelli, E. Rosazza
Gianin (2024)
Collective Dynamic Risk Measures
Frontiers of
Mathematical Finance, Vol. 3(3), pp 376-399.
[PDF]
A. Doldi, M.
Frittelli, E. Rosazza Gianin (2024)
Are Shortfall Systemic Risk Measures One Dimensional
?
SIAM
J. Financial Mathematics, Vol.
15(1), pp 1-14.
[PDF]
A. Doldi, M.
Frittelli, E. Rosazza Gianin (2024)
On Entropy Martingale Optimal Transport Theory
Decisions
in Economics and Finance, Vol. 47, pp 1-42.
[PDF]
A.
Doldi, Y. Feng, J.-P. Fouque, M. Frittelli
(2023)
Multivariate Systemic Risk
Measures and Deep Learning Algorithms
Quantitative
Finance, Vol. 23(10), pp 1431-1444.
[PDF]
A. Doldi, M. Frittelli (2023)
Entropy Martingale Optimal Transport and
Nonlinear Pricing-Hedging Duality,
Finance
and Stochastics, Vol 27, pp 255-304.
[PDF]
A.
Doldi, M. Frittelli (2022)
Multivariate Systemic Optimal Risk Transfer
Equilibrium,
Annals
of Operation Research, Vol. 336, pp 435-480
[PDF]
A. Doldi, M. Frittelli (2021)
Conditional Systemic Risk Measures,
SIAM J. Financial Math.
Vol. 12(4), pp 1459-1507.
[PDF]
M. Burzoni, M. Frittelli and F. Zorzi
(2021)
Robust Market-adjusted Systemic Risk Measures,
SIAM
J. Financial Mathematics, Vol. 12(3), pp SC70-82.
[PDF]
F. Biagini,
A. Doldi, JP Fouque, M. Frittelli and T.
Meyer-Brandis (2021)
Systemic
Optimal Risk Transfer Equilibrium,
Mathematics
and Financial Economics, Vol. 15, pp
233-274.
[PDF]
A.
Doldi, M. Frittelli (2021)
Real-Valued Systemic Risk Measures
Mathematics,
Vol. 9, 1016, pp 1-24.
[PDF]
F.
Biagini, JP Fouque, M. Frittelli and T. Meyer-Brandis
(2020)
On fairness of
Systemic Risk Measures,
Finance
and Stochastics, Vol. 24, pp 513-564.
[PDF]
F. Biagini, JP Fouque,
M. Frittelli and T. Meyer-Brandis (2019)
A Unified Approach to
Systemic Risk Measures via Acceptance Sets,
Mathematical
Finance, Vol. 29, pp 329-367.
[PDF]
M. Burzoni, M.
Frittelli, Z. Hou, M. Maggis and J. Obloj (2019)
Pointwise Arbitrage Pricing Theory in Discrete Time,
Mathematics of Operation Research, Vol 44/3, pp
1034-1057.
Published
online in Articles in Advance 03 April 2019
Pointwise Arbitrage Pricing Theory in Discrete
M. Frittelli and M.
Maggis (2018)
Disentangling Price, Risk and Model
Risk: Value and Risk Measures,
Mathematics and Financial Economics, Vol 12/2, pp
219-247.
Published Online Springer
Link
M. Burzoni, M.
Frittelli, M. Maggis (2017)
Model-free
Superhedging Duality,
The Annals of
Applied Probabiliy, Vol. 27/3, pp 1452-1477.
[PDF]
M. Burzoni, M.
Frittelli and M. Maggis (2016)
Universal Arbitrage Aggregator in Discrete-time
Markets under Uncertainty,
Finance
and Stochastics, Vol 20/1, pp 1-50.
[PDF]
M. Frittelli, L. Mancini and I. Peri (2016)
Scientific Research
Measures,
Journal of the
Association for Information Science and Technology,
Vol 67, pp 3051-3063 : [PDF]
First and complete version (2013): [PDF]
M. Frittelli and M.
Maggis (2014)
Conditionally Evenly
Convex Sets and Evenly Quasi-convex Maps,
Journal of Mathematical
Analysis and Applications, Vol 413, pp 169-184
[PDF]
M. Frittelli, M.
Maggis and I. Peri (2014)
Risk Measures on P(R)
and Value at Risk with Probability/Loss Function
Mathematical Finance, Vol
24/2, pp 442-463.
[PDF]
M. Frittelli and M.
Maggis (2014)
Complete Duality for
Quasiconvex Dynamic Risk Measures on modules of the
Lp-type,
Statistics and Risk
Modeling, Vol 31/1, pp 103-128.
[PDF]
M. Frittelli and M.
Maggis (2011)
Dual Representation of Quasi-convex
Conditional Maps,
SIAM
J. Financial Math., Vol 2, pp 357-382.
[PDF]
M.
Frittelli and M. Maggis (2011)
Conditional Certainty Equivalent
International
Journal
of Theoretical and Applied Finance, Vol
14/1, pp. 41-59.
[PDF]
M.
Frittelli and E. Rosazza Gianin (2011)
On the penalty function and on
continuity properties of risk measures,
International
Journal
of Theoretical and Applied Finance, Vol
14/1, pp. 163-185.
[PDF]
S. Biagini, M. Frittelli and M. Grasselli
(2011)
Indifference price with general
semimartingale,
Mathematical
Finance, Vol 21/3, pp. 423-446.
[PDF]
S. Biagini and M.
Frittelli (2009)
On the extension of the Namioka-Klee theorem and on
the Fatou property for risk measures,
In: Optimality and risk: modern trends in mathematical
finance. The Kabanov
Festschrift
Editors: F. Delbaen, M. Rasonyi, Ch. Stricker, pp. 1-29.
[PDF]
S. Biagini and M.
Frittelli (2008)
A unified framework for utility
maximization problems: an Orlicz space approach,
The Annals of Applied Probability, Vol. 18/3, pp. 929-966.
[PDF]
S. Biagini and M. Frittelli
(2007)
The supermartingale property of
the optimal wealth process for general
semimartingale,
Finance
and Stochastics, Vol. 11/2, pp. 253-266.
[PDF]
M. Frittelli (2007)
No Arbitrage and Preferences,
In: Economia matematica e econometria: problemi e
prospettive, Istituto Lombardo – Accademia di
Scienze e Lettere, LED, pp 181-201.
[PDF]
M. Frittelli and G. Scandolo (2006)
Risk measures and capital
requirements for processes,
Mathematical Finance, Vol. 16/4, pp. 589-613.
[PDF]
S. Biagini and M. Frittelli
(2005)
Utility maximization in incomplete
markets for unbounded processes,
Finance and Stochastics, Vol.
9/4, pp. 493-517.
[PDF]
M. Frittelli and E. Rosazza
Gianin (2005)
Law invariant convex risk measures
Advances in Mathematical Economics, Vol. 7, pp. 33-46.
[PDF]
S. Biagini and M. Frittelli (2004)
On the super-replication
price of unbounded claims,
The Annals of
Applied Probability, Vol. 14/4, pp.
1970-1991.
[PDF]
M. Frittelli (2004)
Some remarks on arbitrage
and preferences in securities market models
Mathematical Finance, Vol. 14/3, pp. 351-357.
[PDF]
M. Frittelli and E. Rosazza
Gianin (2004)
Dynamic convex risk
measures,
New Risk Measures for the 21th
Century, G.
Szego ed., John Wiley & Sons, pp. 227-248.
[PDF]
F. Bellini and M.
Frittelli (2002)
On the existence of
minimax martingale measures
Mathematical Finance, Vol. 12/1, pp. 1-21.
[PDF]
M. Frittelli and E. Rosazza
Gianin (2002)
Putting order in risk measures
Journal of Banking and Finance, Vol. 26 pp. 1473-1486.
[PDF]
M.
Frittelli (2000)
The minimal entropy
martingale measure and the valuation problem in
incomplete markets
Mathematical Finance, Vol. 10/1 pp. 39-52.
[PDF]
M.
Frittelli (2000)
Introduction to a theory of value coherent with the
no arbitrage principle,
Finance
and Stochastics, Vol.
4/3, pp. 275-297.
[PDF]
M. Frittelli (1997)
Semimartingales and asset
pricing under constraints,
Mathematics of Derivative
Securities, S. Pliska,
M.A.H. Dempster eds., Newton Institute for
Mathematical Science, Cambridge University Press, pp.
265-277.
[PDF]
M.
Frittelli
Così la formula Black e Scholes ha cambiato la
storia delle opzioni,
Il Sole 24 ORE, October 30, 1997.
M. Frittelli (1996)
Dominated
families of martingale, supermartingale and
quasimartingale laws,
Stochastic
Processes and their Applications, Vol. 63, pp. 265-277.
[PDF]
P. Falbo, M.
Frittelli and S. Stefani (1996)
Commodity futures markets
and trading strategies opportunities,
Modelling Techniques for
Financial Markets and Bank Management, M. Bertocchi and S. Komlosi eds.,
Physica Verlag, Heidelberg, pp. 48‑64.
M. Frittelli (1996)
Valuation principle in
security markets models with frictions,
Contributions in Probability, Carlo Cecchini ed., Forum, pp. 131-139,
Udine.
M.
Frittelli and P. Lakner (1995)
Arbitrage and free lunch
in a general financial market model: the fundamental
theorem of asset pricing,
Mathematical Finance, IMA
Volumes in Mathematics and Applications, M.H.A Davis, D. Duffie, W. Fleming and
S. Shreve eds., Vol. 65, Springer-Verlag, New York,
pp.89-94.
M. Frittelli and P.
Lakner (1994)
Almost sure
characterization of martingales,
Stochastics and
Stochastic Reports,
Vol. 49, pp. 181-190.
[PDF]
|
| Selected working papers |
S. Biagini, M.
Frittelli and M. Grasselli (2008)
Indifference price with general
semimartingale,
Complete version of the paper published
on Mathematical Finance, Vol 21/3 (2011).
[PDF]
S. Biagini and M.
Frittelli (2004)
A note on the super replication
price of unbounded claims,
Technical Report n. 10, Dept. “Matematica per le Decisioni”, Università
di Firenze.
[PDF]
M. Frittelli and E.
Rosazza Gianin (2004)
Equivalent formulations of
Reasonable Asymptotic Elasticity,
Technical Report n. 12, Dept. “Matematica per le
Decisioni”, University of Florence.
[PDF]
M. Frittelli
(2000)
Optimal solutions to
utility maximization and to the dual problem,
Technical Report
#24,
Dept. “Metodi Quantitativi S.E.A.”, University of
Milano - Bicocca.
[PDF]
M. Frittelli
(2000)
Representing sublinear risk
measures and pricing rules,
Technical Report
#10, Dept. “Metodi
Quantitativi S.E.A.”, University of Milano - Bicocca.
[PDF]
M. Frittelli
(2000)
Solution to primal and dual
entropy optimization problems,
Technical Report #9, Dept. “Metodi Quantitativi S.E.A.”,
University of Milano - Bicocca.
[PDF]
F. Bellini and M.
Frittelli (1997)
Certainty equivalent and no
arbitrage: a reconciliation via duality theory,
Technical Report # 139, Dept.
“Metodi Quantitativi”, University of Brescia.
[PDF]
M. Frittelli
(1996) - First version.
The minimal entropy
martingale measure and the valuation problem in
incomplete markets
Technical Report # 20, Dept.
of Mathematics, University of Milano.
[PDF]
M. Frittelli and
P. Lakner (1996)
Counterexamples for the
existence of the minimal entropy martingale
probability,
Technical Report # 115, Dept. “Metodi Quantitativi”, University of
Brescia.
[PDF]
M. Frittelli
(1995)
Minimal entropy criterion
for pricing in one period incomplete markets,
Technical Report # 99, Dept. “Metodi Quantitativi”, University of
Brescia.
[PDF]
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