Acciaio, Beatrice: search on Z-Library

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1

Modelling the default risk in large credit portfolios

Acciaio, Beatrice, Herzel, Stefano

Journal:

International Journal of Risk Assessment and Management

Year:

2010

Language:

english

File:

PDF, 387 KB

english, 2010

2

Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures

Acciaio, Beatrice, Guyon, Julien

Journal:

SIAM Journal on Financial Mathematics

Year:

2020

Language:

english

File:

PDF, 421 KB

english, 2020

3

Arbitrage of the first kind and filtration enlargements in semimartingale financial models

Acciaio, Beatrice, Fontana, Claudio, Kardaras, Constantinos

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 325 KB

english, 2016

4

Semi-static completeness and robust pricing by informed investors

Acciaio, Beatrice, Larsson, Martin

Journal:

The Annals of Applied Probability

Year:

2017

Language:

english

File:

PDF, 402 KB

english, 2017

5

Absolutely continuous optimal martingale measures

Acciaio, Beatrice

Journal:

Statistics & Decisions

Year:

2005

Language:

english

File:

PDF, 198 KB

english, 2005

6

Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective

Acciaio, Beatrice, Backhoff-Veraguas, Julio, Carmona, René

Journal:

SIAM Journal on Control and Optimization

Year:

2019

File:

PDF, 474 KB

2019

7

Optimal portfolio selection via conditional convex risk measures onLp

Acciaio, Beatrice, Goldammer, Verena

Journal:

Decisions in Economics and Finance

Year:

2013

Language:

english

File:

PDF, 589 KB

english, 2013

8

Are law-invariant risk functions concave on distributions?

Acciaio, Beatrice, Svindland, Gregor

Journal:

Dependence Modeling

Year:

2013

Language:

english

File:

PDF, 1.10 MB

english, 2013

9

Optimal risk sharing with different reference probabilities

Beatrice Acciaio, Gregor Svindland

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 1.56 MB

english, 2009

10

The space of outcomes of semi-static trading strategies need not be closed

Beatrice Acciaio,Martin Larsson,Walter Schachermayer

Journal:

Finance and Stochastics

Year:

2017

Language:

english

File:

PDF, 694 KB

english, 2017

11

Existence of Radial Solutions for Quasilinear Elliptic Equations with Singular Nonlinearities

Acciaio, Beatrice, Pucci, Patrizia

Journal:

Advanced Nonlinear Studies

Year:

2003

Language:

english

File:

PDF, 640 KB

english, 2003

12

ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS

Beatrice Acciaio, Gregor Svindland

Journal:

Mathematical Finance

Year:

2012

Language:

english

File:

PDF, 505 KB

english, 2012

13

Optimal risk sharing with non-monotone monetary functionals

Beatrice Acciaio

Journal:

Finance and Stochastics

Year:

2007

Language:

english

File:

PDF, 361 KB

english, 2007

14

Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles

Beatrice Acciaio, Hans Föllmer, Irina Penner

Journal:

Finance and Stochastics

Year:

2012

Language:

english

File:

PDF, 1.17 MB

english, 2012

15

Short note on inf-convolution preserving the Fatou property

Beatrice Acciaio

Journal:

Annals of Finance

Year:

2009

Language:

english

File:

PDF, 141 KB

english, 2009

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