Browsing CEREMADE (UMR CNRS 7534) by Author "Campi, Luciano"
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Arbitrage and completeness in financial markets with given N-dimensional distributions
Campi, Luciano Article accepté pour publication ou publié -
Dynamic Markov Bridges Motivated by Models of Insider Trading
Campi, Luciano; Cetin, Umut; Danilova, Albina (2009) Communication / Conférence -
Dynamic Markov bridges motivated by models of insider trading
Campi, Luciano; Cetin, Umut; Danilova, Albina (2011) Article accepté pour publication ou publié -
Efficient portfolios in financial markets with proportional transaction costs
Campi, Luciano; Jouini, Elyès; Porte, Vincent (2013) Article accepté pour publication ou publié -
Efficient trading strategies in financial markets with proportional transaction costs
Campi, Luciano; Jouini, Elyès; Porte, Vincent (2011) Document de travail / Working paper -
Equilibrium model with default and insider's dynamic information
Campi, Luciano; Cetin, Umut; Danilova, Albina (2013) Article accepté pour publication ou publié -
Explicit construction of a dynamic Bessel bridge of dimension 3
Danilova, Albina; Cetin, Umut; Campi, Luciano (2013) Article accepté pour publication ou publié -
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
Campi, Luciano; Cetin, Umut (2007) Article accepté pour publication ou publié -
Markovian Bridges with Applications to Insider's Trading
Campi, Luciano (2009) Communication / Conférence -
Mean-Variance Hedging in Large Financial Markets
Campi, Luciano (2009) Article accepté pour publication ou publié -
Multivariate Utility Maximization with Proportional Transaction Costs
Owen, Mark; Campi, Luciano (2011) Article accepté pour publication ou publié -
Multivariate utility maximization with proportional transaction costs and random endowment
Benedetti, Giuseppe; Campi, Luciano (2012) Article accepté pour publication ou publié -
A note on extremality and completeness in financial markets with infinitely many risky assets
Campi, Luciano (2004) Article accepté pour publication ou publié -
A note on market completeness with American put options
Campi, Luciano (2014) Chapitre d'ouvrage -
On the existence of shadow prices
Muhle-Karbe, Johannes; Kallsen, Jan; Campi, Luciano; Benedetti, Giuseppe (2013) Article accepté pour publication ou publié -
Some results on quadratic hedging with insider trading
Campi, Luciano Article accepté pour publication ou publié -
A Structural Risk-Neutral Model for Pricing and Hedging Power Derivatives
Langrené, Nicolas; Campi, Luciano; Aïd, René (2013) Article accepté pour publication ou publié -
A Structural Risk-Neutral Model of Electricity Prices
Campi, Luciano; Aïd, René; Touzi, Nizar; Nguyen Huu, Adrien (2009) Article accepté pour publication ou publié -
A super-replication theorem in Kabanov’s model of transaction costs
Campi, Luciano; Schachermayer, Walter (2006) Article accepté pour publication ou publié -
Systematic equity-based credit risk: A CEV model with jump to default
Campi, Luciano; Polbennikov, Simon; Sbuelz, Alessandro (2009-06-23) Article accepté pour publication ou publié