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 was a 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). 

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.

The papers are mostly published on scientific journals including Mathematical Finance, Finance and Stochastics, The Annals of Applied Probability,  SIAM J. Financial Mathematics, IJTAF, Stochastics and Stochastic Reports, Stochastic Processes and their Applications, The Journal of Banking and Finance.