MARCO
FRITTELLI
Professor 

Marco Frittelli
Dipartimento di Matematica
Università degli Studi di Milano
Via Saldini, 50
20133 Milano ITALY
CCDMAT
Web
Page
phone:
00390250316143
fax:
00390250316090
email:
marco.frittelli@unimi.it



CV 
Curriculum
Short CV


Research 
Lectures
Publications


Teaching

Teaching
Courses
201420152016


Research
Activities 
SIAM
Conference
on Financial Mathematics, San
Francisco, USA, Nov. 2010.
Foundation
of
Mathematical
Finance, Gradued Course, The
Fields Institute,
Toronto, Spring 2010
Workshop
on Foundation of Mathematical Finance, The
Fields
Institute, Toronto, Jan 2010.
Minysimposium
on
Portfolio
Optimization
and
Risk
Measures, ICIAM 2011, Vancouver,
Canada
Quantitative
Methods
in
Finance
Conference, UTS, Cairns, 2012
Perspectives
in
Analysis
and
Probability. Conference in Honor of
Freddy Delbaen,
ETH Zurich 2012
Ecole CEA EDF INRIA, Paris 2012  Systemic
Risk
and
Quantitative
Risk
Management
Non
Linear
Expectation and Stochastic Calculus
under Knightian Uncertainty,
Institute
of
Mathematical
Science,
National
University
Singapore
2013
Fields
Financial
Math
Retrospective
Conference, The Fields Institute,
Toronto, October 2013.
Mathematical
Finance:
Arbitrage
and
Portfolio, Banff International
Research
Station, Canada, 2014
Advances
in
Stochastic
analysis
for
risk
modeling, CIRM,
Marseille, France
2014
Systemic
Risk
and
the
Financial
Networks, Institute for Pure &
Applied
Mathematics, UCLA, USA 2015.



Marco Frittelli
is Professor of
Mathematical Finance at
the University
of Milano,
having held positions at Florence,
MilanoBicocca and Urbino Universities
and visiting scholar positions in
several
universities in USA
and Europe.
He was a member of the
Editorial board of The
Annals of Applied Probability and of
the Scientific
Committee of
the Bachelier Finance Society.
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; financial
valuation based on the
preferences of the investors; duality
theory in mathematical finance;
utility
maximization in incomplete markets and
with non locally bounded
semimartingales; utility maximization,
indifference pricing and risk
measures
in Orlicz spaces; convex risk
measures; dynamic and law invariant
risk
measures; quasiconvex conditional risk
measures, quasiconvex maps on
modules, risk measures on
probability distributions, scientific
research
measures, arbitrage theory in non
dominated models.
The papers are
mostly published
on
scientific journals including
Mathematical Finance, Finance and
Stochastics,
The Annals of Applied
Probability, SIAM J. Financial
Mathematics,
Journal of Mathematical Analysis and
Applications, IJTAF, Stochastics
and Stochastic Reports,
Stochastic Processes and their
Applications, The Journal of Banking
and
Finance.



