Concepedia

Marco Frittelli

MF

21

Publications

2.5K

Citations

17

H-Index

2000

Active since

Affiliations

University of Milan(Current)

University of Florence

University of Perugia

University of Milano-Bicocca

ETH Zurich

Marco Frittelli is an author at University of Milan specializing in engineering, finance, and business.

Top concepts

EngineeringFinanceBusinessProbabilityAsset PricingEconomicsManagementRisk ManagementMathematical ProgrammingMarket Design

Publications per year

2000–2019

21

Publications

21

Putting order in risk measures

Marco Frittelli, Emanuela Rosazza Gianin · Journal of Banking & Finance · 2002 · 709 citations

Risk Assessment, Engineering, Risk Measures +8

The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

Marco Frittelli · Mathematical Finance · 2000 · 597 citations

Valuation Problem, Engineering, Market Equilibrium Computation +19

RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES

Marco Frittelli, Giacomo Scandolo · Mathematical Finance · 2006 · 182 citations · Full text

Financial Risk Management, Risk Metric, Risk Analysis +19

On the Existence of Minimax Martingale Measures

Fabio Bellini, Marco Frittelli · Mathematical Finance · 2002 · 147 citations · Full text

Minimax Measure, Economics, Measure Theory +14

Dynamic convex risk measures

Marco Frittelli, Emanuela Rosazza Gianin · BOA (University of Milano-Bicocca) · 2004 · 138 citations

Rows per page

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