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
201520162017


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.



