Giulia Di Nunno
- SPDE bridges with observation noise and their spatial approximation
2021/12/21 by Giulia Di Nunno, Salvador Ortiz-Latorre, Di Nunno, Giulia +3 · 1 citation
Decision Sciences · Engineering · #35R60 (Secondary) #60H35 (Primary) 60H15 #60J60 #65M12 #65M60 #FOS: Mathematics #Numerical Analysis (math.NA) #Probabilistic and Robust Engineering Design #Probability (math.PR) #Structural Health Monitoring Techniques
- Before and after default: information and optimal portfolio via anticipating calculus
2022/07/05 by José Antonio Salmerón, Salmerón, José A., Giulia Di Nunno +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #60G44 #60H0 #93E20 #Credit Risk and Financial Regulations #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
- Fully-dynamic risk measures: horizon risk, time-consistency, and relations with BSDEs and BSVIEs
2023/01/12 by Giulia Di Nunno, Emanuela Rosazza Gianin, Di Nunno, Giulia +1 · 1 citation
Economics, Econometrics and Finance · Decision Sciences · #Stochastic processes and financial applications #Risk and Portfolio Optimization #Financial Risk and Volatility Modeling
- Stochastic systems with memory and jumps
2016/03/01 by David Baños, Francesco Cordoni, Baños, D. R. +7 · 1 citation
Economics, Econometrics and Finance · Engineering · Mathematics · #Stochastic processes and financial applications #Stability and Controllability of Differential Equations #Stochastic processes and statistical mechanics