Download Giulia Di Nunno - List of publications and scientific works

Giulia Di Nunno - List of publications and scientific works
August 31, 2012
Books
As author:
“Malliavin Calculus for Lévy Processes with Applications to Finance”
(by G. Di Nunno, B. Øksendal and F. Proske).
Springer, Online October 2008, Print 2009.
Universitext, 415 pages, Softcover
ISBN: 978-3-540-78571-2 (Print) 978-3-540-78572-9 (Online)
http://www.springer.com/math/probability/book/978-3-540-78571-2
As editor:
“Stochastic Analysis and Applications”
(Eds: F.E. Benth, G. Di Nunno, T. Lindstrøm, B. Øksendal, T. Zhang)
Proceedings to the Second Abel Symposium, vol. 2.
Springer, 2007.
Series Abel Symposia, 678 pages, 49 illustrations (3 in color), Hardcover
ISBN: 978-3-540-70846-9
http://www.springer.com/math/probability/book/978-3-540-70846-9
“Advanced Mathematical Methods for Finance”
(Eds: G. Di Nunno and B. Øksendal)
Springer, 2011
1st Edition, 350 p. 20 illus., Hardcover
ISBN: 978-3-642-18411-6
http://www.springer.com/mathematics/quantitative+finance/book/978-3-642-18411-6
Papers and submitted eprints
1. “On measurable modification of stochastic functions” (with Yu.A. Rozanov).
Theory of Probability and its Applications (2001), 46, 175-180; SIAM (2002),
46, pp. 122-127.
2. “On stochastic integration and differentiation” (with Yu.A. Rozanov). Acta
Applicandae Mathematicae (1999), 58, pp. 231-235.
3. “Holder duality for conditional expectations with application to linear monotone
operators”. Theory of Probability and its Applications (2003), 48, 194-198;
SIAM (2004), 48, pp. 177-181.
4. “Theory and numerical analysis for exact distributions of functionals of a
Dirichlet process” (with A. Guglielmi and E. Regazzini). Annals of Statistics
(2002), 30, pp. 1376-1411.
5. “Stochastic integral representation, stochastic derivatives and minimal variance
hedging”. Stochastics and Stochastics Reports (2002), 73, pp. 181-198.
6. “Explicit representation of the minimal variance portfolio in markets driven
with Lévy processes” (with F.E. Benth, A. Løkka, B. Øksendal and F. Proske).
Mathematical Finance (2003), 13, pp. 55-72.
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7. “Random Fields Evolution: non-anticipating integration and differentiation”.
Theory of Probability and Mathematical Statistics (2002), 66, 82-94; AMS
(2003), 66, pp. 91-104.
8. “White noise analysis for Lévy processes” (with B. Øksendal and F. Proske).
Journal of Functional Analysis (2004), 206, pp. 109-148.
9. “Malliavin calculus and anticipative Itô formulae for Lévy processes” (with T.
Meyer-Brandis, B. Øksendal and F. Proske). Infin. Dimens. Anal. Quantum
Probab. Relat. Top. (2005), 8, pp. 235-258.
10. “Price operators analysis in Lp-spaces” (with S. Albeverio and Yu.A. Rozanov).
Acta Applicandae Mathematicae (2005), 89, pp. 85-108.
11. “Optimal portfolio for an insider in a market driven with Lévy processes” (with
T. Meyer-Brandis, Bernt Øksendal and F. Proske). Quantitative Finance (2006),
6, pp. 83-94.
12. “On orthogonal polynomials and the Malliavin derivative for Lévy stochastic
measures”. SMF Seminaires et Congres (2007), 16, pp. 55-69.
13. “The Donsker delta function, a representation formula for functionals of a Levy
process and application to hedging in incomplete markets” (with B. Øksendal).
SMF Seminaires et Congres (2007), 16, pp. 71-82.
14. “Anticipative stochastic control for Lévy processes with application to insider
trading” (with A. Kohatzu-Higa, T. Meyer-Brandis, Bernt Øksendal, F. Proske
and A. Sulem). Chapter 14 in Handbook in Mathematical Sciences.ELSEVIER,
2008. Pages 575-596.
15. “Random Fields: non-anticipating derivative and differentiation formulas”.
Infin. Dimens. Anal. Quantum Probab. Relat. Top. (2007), 10, 3, pp. 465-481.
16. “A representation theorem and a sensitivity result for functionals of jump
diffusions” (with B. Øksendal). Chapter 15 in Mathematical Analysis of
Random Phenomena, World Scientific, 2007. Pages 177-190.
17. “Stochastic integrals and adjoint derivatives” (with Yu.A. Rozanov). Chapter 11
in Stochastic Analysis and its Applications. Springer, 2007. Pages 265-307.
18. “Optimal portfolio, partial information and Malliavin calculus” (with B.
Øksendal). Stochastics (2009), 81, pp. 303-322.
19. “Minimal variance hedging in large financial markets: random fields approach”
(with I.B. Eide). Stochastic Analysis and Applications (2010), 28, pp. 54-85.
20. “Lower and upper bounds of martingale measure densities in continuous time
markets” (with I.B. Eide). Mathematical Finance (2011), 21, pp. 475-492.
Published on line:19 OCT 2010.
21. "Uniqueness of decompositions of Skorohod-semimartingales" (with B.
Øksendal, O. Menoukeu Pamen, and F. Proske). Infin. Dimens. Anal. Quantum
Probab. Relat. Top. (2011), 14, pp. 15-24.
22. "Lévy models robustness and sensitivy" (with F.E. Benth, A. Khedher).
Quantum Probability and Infinite dimensional Analysis. Volume XXV In the
series in QP-PQ, Quantum Probability and White Noise Analysis. Eds. H.
Ouerdiane and A. Barhoumi, World Scientific, 2010. Pages 153-184.
23. "A general maximum principle for anticipative stochastic control and
applications to insider trading" (with B. Øksendal, O. Menoukeu Pamen, and F.
Proske). Chapter 7 in Advanced Mathematical Methods for Finance, Springer,
2011. pp. 181-221.
24. "Robustness of option prices and their deltas in markets modelled with jumpdiffusions" (with F.E. Benth and A. Khedher). Comm. Stochastic Analysis
(2011), 5, pp. 285-307.
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25. "Computation of Greeks in multi-factor models with applications to power and
commodity markets " (with F.E. Benth and A. Khedher). Eprint series in pure
mathematics, University of Oslo, 5, 2010. ISSN 0806-2439. Accepted for
publication in The Journal of Energy Markets.
26. “Information and optimal investment in defaultable assets” (with S. Sjursen).
Eprint series in pure mathematics, University of Oslo, 17, 2010. ISSN 08062439.
27. “A note on convergence of option prices and their Greeks for Lévy models”
(with F.E. Benth and A. Khedher). Eprint series in pure mathematics, University
of Oslo, 18, 2010. ISSN 0806-2439. To appear in: Stochastics.
28. “Kyle-Back's model with Lévy noise” (with J.M. Corcuera, G. Farkas, and B.
Øksendal). Eprint series in pure mathematics, University of Oslo, 26, 2010.
ISSN 0806-2439.
29. “Extension theorems for linear operators on L∞ and application to price
systems” (with J. Bion-Nadal). Finance and Stochastics. On line first: August
2012.
30. “On chaos representation and orthogonal polynomials for the doubly stochastic
Poisson process” (with S. Sjursen). To appear in: Seminar on Stochastic
Analysis, Random Fields and Applications VII. (Ascona, Switzerland, May 2327,2011). Eds. R.C. Dalang, M. Dozzi, F. Russo. Birkhäuser (2012 or 2013).
31. “Pricing of spread options on a bivariate jump market and stability to model
risk” (with F.E. Benth, A. Khedher, and M.D. Schmeck). Eprint series in pure
mathematics, University of Oslo, 2, 2012. ISSN 0806-2439.
Other publications
1. "Differenziazione stocastica non-anticipativa e applicazione alle coperture a
varianza minima”. Bollettino UMI Sezione A (December) 2004. Pages 491-495.
Special Volume. (In Italian)
2. “Stochastic differentiation and application to minimal variance hedging”.
Chapter 11 in Proceedings to the 4th Symposium on Lévy Processes: Theory
and Applications. Manchester 13-15, 2005.
Technical reports
1. “On monotone versions of Hahn-Banach extension theorem” (with Yu.A.
Rozanov). Quaderno IAMI 99.11, CNR, Milan (Italy).
2. “On stochastic differentiation”. Quaderno IAMI 99.23, CNR, Milan (Italy).
3. “On some versions of the fundamental theorem of asset pricing”. Preprint Series
in Pure Mathematics, University of Oslo, 14, 2002. ISBN 82-553-1334-6.
4. “Random Fields: Skorohod integral and Malliavin derivative”. Preprint Series
in Pure Mathematics, University of Oslo, 36, 2004. ISSN 0806-2439.
Ph.D. Thesis
“On Stochastic Differentiation with Application to Minimal Variance Hedging”.
Dottorato di Ricerca in Statistica Matematica, Università degli Studi di Pavia, Italy
(2002).
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Thesis
“Measurability and Integrability of Stochastic Functions" (in Italian).
Laurea in Matematica, Università degli Studi di Milano, Italy (1998).
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