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Matteo Burzoni
Matteo Burzoni
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Title
Cited by
Cited by
Year
Pointwise arbitrage pricing theory in discrete time
M Burzoni, M Frittelli, Z Hou, M Maggis, J Obłój
Mathematics of Operations Research 44 (3), 1034-1057, 2019
672019
Model-free superhedging duality
M Burzoni, M Frittelli, M Maggis
662017
Universal arbitrage aggregator in discrete-time markets under uncertainty
M Burzoni, M Frittelli, M Maggis
Finance and Stochastics 20 (1), 1-50, 2016
63*2016
Viscosity solutions for controlled McKean--Vlasov jump-diffusions
M Burzoni, V Ignazio, AM Reppen, HM Soner
SIAM Journal on Control and Optimization 58 (3), 1676-1699, 2020
502020
Viability and arbitrage under Knightian uncertainty
M Burzoni, F Riedel, HM Soner
Econometrica 89 (3), 1207-1234, 2021
302021
Risk measures based on benchmark loss distributions
V Bignozzi, M Burzoni, C Munari
Journal of Risk and Insurance 87 (2), 437-475, 2020
252020
Adjusted expected shortfall
M Burzoni, C Munari, R Wang
Journal of Banking & Finance 134, 106297, 2022
222022
On the properties of the Lambda value at risk: robustness, elicitability and consistency
M Burzoni, I Peri, CM Ruffo
Quantitative Finance 17 (11), 1735-1743, 2017
182017
Mean field games with absorption and common noise with a model of bank run
M Burzoni, L Campi
Stochastic Processes and their Applications 164, 206-241, 2023
162023
Arbitrage and hedging in model-independent markets with frictions
M Burzoni
SIAM Journal on Financial Mathematics 7 (1), 812-844, 2016
142016
Robust martingale selection problem and its connections to the no‐arbitrage theory
M Burzoni, M Šikić
Mathematical Finance 30 (1), 260-286, 2020
62020
J. Ob lój (2017):“Pointwise Arbitrage Pricing Theory in Discrete Time,”
M Burzoni, M Frittelli, Z Hou, M Maggis
arXiv preprint ArXiv:1612.07618, 0
5
On the quasi-sure superhedging duality with frictions
E Bayraktar, M Burzoni
Finance and Stochastics 24 (1), 249-275, 2020
42020
Arbitrage-free modeling under Knightian uncertainty
M Burzoni, M Maggis
Mathematics and Financial Economics 14 (4), 635-659, 2020
32020
Risk sharing with deep neural networks
M Burzoni, A Doldi, E Monzio Compagnoni
Quantitative Finance, 1-20, 2024
12024
Robust market-adjusted systemic risk measures
M Burzoni, M Frittelli, F Zorzi
SIAM Journal on Financial Mathematics 12 (3), SC70-SC82, 2021
12021
A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems
M Burzoni, A Cosso
arXiv preprint arXiv:2212.12293, 2022
2022
On martingale selection problem and its connection to arbitrage theory
M Burzoni, M Šikić
arXiv, 1801.03574, 2018
2018
A Model-free analysis of discrete time Financial Markets
M Burzoni
Università degli Studi di Milano, 2015
2015
Arbitrage Theory without a Reference Probability: challenges of the model independent approach
M Burzoni, M Frittelli, M Maggis
2015
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Articles 1–20