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Matteo Burzoni
Matteo Burzoni
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Title
Cited by
Cited by
Year
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
662019
Universal arbitrage aggregator in discrete-time markets under uncertainty
M Burzoni, M Frittelli, M Maggis
Finance and Stochastics 20 (1), 1-50, 2016
66*2016
Model-free superhedging duality
M Burzoni, M Frittelli, M Maggis
652017
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
532020
Viability and arbitrage under Knightian uncertainty
M Burzoni, F Riedel, HM Soner
Econometrica 89 (3), 1207-1234, 2021
292021
Risk measures based on benchmark loss distributions
V Bignozzi, M Burzoni, C Munari
Journal of Risk and Insurance 87 (2), 437-475, 2020
222020
Adjusted expected shortfall
M Burzoni, C Munari, R Wang
Journal of Banking & Finance 134, 106297, 2022
192022
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
172017
Arbitrage and hedging in model-independent markets with frictions
M Burzoni
SIAM Journal on Financial Mathematics 7 (1), 812-844, 2016
142016
Mean field games with absorption and common noise with a model of bank run
M Burzoni, L Campi
Stochastic Processes and their Applications 164, 206-241, 2023
132023
Robust martingale selection problem and its connections to the no‐arbitrage theory
M Burzoni, M Šikić
Mathematical Finance 30 (1), 260-286, 2020
62020
On the quasi-sure superhedging duality with frictions
E Bayraktar, M Burzoni
Finance and Stochastics 24 (1), 249-275, 2020
42020
Arbitrage-free modeling under Knightian uncertainty
M Burzoni, M Maggis
Mathematics and Financial Economics 14 (4), 635-659, 2020
22020
Risk sharing with deep neural networks
M Burzoni, A Doldi, EM Compagnoni
arXiv preprint arXiv:2212.11752, 2022
12022
Robust market-adjusted systemic risk measures
M Burzoni, M Frittelli, F Zorzi
SIAM Journal on Financial Mathematics 12 (3), SC70-SC82, 2021
12021
A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems
M Burzoni, A Cosso
arXiv preprint arXiv:2212.12293, 2022
2022
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 1–19