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

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, 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, systemic risk, model risk, universal arbitrage and robust pricing-hedging duality theory, pathwise finance, systemic risk and risk transfer equilibrium, robust risk measures, conditional systemic risk measures, entropy martingale optimal transport.

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.