Matteo Burzoni
Matteo Burzoni
Verified email at unimi.it - Homepage
Title
Cited by
Cited by
Year
Universal arbitrage aggregator in discrete-time markets under uncertainty
M Burzoni, M Frittelli, M Maggis
Finance and Stochastics 20 (1), 1-50, 2016
55*2016
Model-free superhedging duality
M Burzoni, M Frittelli, M Maggis
The Annals of Applied Probability 27 (3), 1452-1477, 2017
542017
Pointwise arbitrage pricing theory in discrete time
M Burzoni, M Frittelli, Z Hou, M Maggis, J Obłˇj
Mathematics of Operations Research 44 (3), 1034-1057, 2019
492019
Viability and arbitrage under knightian uncertainty
M Burzoni, F Riedel, HM Soner
Econometrica 89 (3), 1207-1234, 2021
142021
Viscosity solutions for controlled McKean--Vlasov jump-diffusions
M Burzoni, V Ignazio, AM Reppen, HM Soner
SIAM Journal on Control and Optimization 58 (3), 1676-1699, 2020
132020
On the properties of the Lambda value at risk: robustness, elicitability and consistency
M Burzoni, I Peri, CM Ruffo
Quantitative Finance 17 (11), 1735-1743, 2017
112017
Arbitrage and hedging in model-independent markets with frictions
M Burzoni
SIAM Journal on Financial Mathematics 7 (1), 812-844, 2016
112016
Risk measures based on benchmark loss distributions
V Bignozzi, M Burzoni, C Munari
Journal of Risk and Insurance 87 (2), 437-475, 2020
92020
Robust martingale selection problem and its connections to the no‐arbitrage theory
M Burzoni, M Šikić
Mathematical Finance 30 (1), 260-286, 2020
32020
On the quasi-sure superhedging duality with frictions
E Bayraktar, M Burzoni
Finance and Stochastics 24 (1), 249-275, 2020
22020
Mean field games with absorption and common noise with a model of bank run
M Burzoni, L Campi
arXiv preprint arXiv:2107.00603, 2021
12021
Robust market-adjusted systemic risk measures
M Burzoni, M Frittelli, F Zorzi
arXiv preprint arXiv:2103.02920, 2021
2021
Arbitrage-free modeling under Knightian Uncertainty
M Burzoni, M Maggis
Mathematics and Financial Economics 14, 635-659, 2020
2020
Adjusted Expected Shortfall
M Burzoni, C Munari, R Wang
arXiv preprint arXiv:2007.08829, 2020
2020
On martingale selection problem and its connection to arbitrage theory
M Burzoni, M Šikić
arXiv, 1801.03574, 2018
2018
A Model-free analysis of discrete time Financial Markets
M Burzoni
UniversitÓ degli Studi di Milano, 2015
2015
Arbitrage Theory without a Reference Probability: challenges of the model independent approach
M Burzoni, M Frittelli, M Maggis
2015
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Articles 1–17