MARCO FRITTELLI

Professor



Marco Frittelli                    
Dipartimento di Matematica
UniversitÓ degli Studi di Milano 
Via Saldini, 50
20133 Milano  ITALY
CCDMAT Web Page

phone:  0039-02-50316143
fax:       0039-02-50316090
e-mail:      marco.frittelli@unimi.it




CV Curriculum
Short CV

Research Lectures
Publications

Teaching
Teaching
Courses 2021-2022

Research Activities Stochastic Games and Martingale Optimal Transport Workshop, May 5-6 2022, Milano University

First GSSI Workshop in Mathematical Finance, Italy 2017

SIAM Conference on Financial Mathematics, Toronto, June 2019.

Advances in Stochastic Analysis, CIRM, Marseille, France, 2021
 


Marco Frittelli is Professor of Mathematical Finance at the University of Milano, having held positions at Florence, Milano-Bicocca and Urbino Universities and visiting scholar positions in several universities in USA and Europe.

    He is a member of the Editorial Board of the SIAM Journal on Financial Mathematics and was member of the Editorial board of The Annals of Applied Probability (2003-2008) and of the Scientific Committee of the Bachelier Finance Society (2004-2008). He was a member of the Expert Group (GEV) of the Italian Evaluation of the Research Quality (VQR-ANVUR).

    The research is focused on the application of stochastic analysis and convex analysis in Mathematical Finance and it includes: the fundamental theorem of asset pricing; martingale pricing based on entropy minimization; utility maximization in incomplete markets; utility maximization, indifference pricing and risk measures in Orlicz spaces; convex risk measures; dynamic and law invariant risk measures and risk measures on Moduli; quasiconvex dynamic risk measures; V@R and acceptability indices; model-free arbitrage and robust pricing-hedging duality; pathwise finance; systemic risk and risk transfer equilibrium; conditional systemic risk measures; entropy martingale optimal transport.

    His papers published in international scientific journals received, until February 2022 and accordingly to MathSciNet, more than 600 citations from more than 470 authors (or more than 3600 citations accordingly to Google Scholar). A complete list of pubblications and a complete CV can be found at: http://www.mat.unimi.it/users/frittelli/.