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

phone:  0039-02-50316143
fax:       0039-02-50316090


CV Curriculum
Short CV

Research Lectures

Courses 2014-2015-2016

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, 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 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.