Items where Author is "Campi, Luciano"

Number of items: 22.
Article
  • Continuous-time persuasion by filtering. (2025) Aïd, René; Bonesini, Ofelia; Callegaro, Giorgia; Campi, Luciano picture_as_pdf
  • Change of numeraire in the two-marginals martingale transport problem. Campi, Luciano; Laachir, Ismail; Martini, Claude
  • Dynamic Markov bridges motivated by models of insider trading. Campi, Luciano; Cetin, Umut; Danilova, Albina
  • Equilibrium model with default and dynamic insider information. Campi, Luciano; Cetin, Umut; Danilova, Albina
  • Explicit construction of a dynamic Bessel bridge of dimension 3. Campi, Luciano; Cetin, Umut; Danilova, Albina
  • Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling. Campi, Luciano; Çetin, Umut
  • Mean-field games of finite-fuel capacity expansion with singular controls. Campi, Luciano; de Angelis, Tiziano; Ghio, Maddalena; Livieri, Giulia
  • Multivariate utility maximization with proportional transaction costs. Campi, Luciano; Owen, Mark P.
  • Multivariate utility maximization with proportional transaction costs and random endowment. Benedetti, Giuseppe; Campi, Luciano
  • N-Player games and mean-field games with smooth dependence on past absorptions. Campi, Luciano; Ghio, Maddalena; Livieri, Giulia
  • N-player games and mean-field games with absorption. Campi, Luciano; Fischer, Markus
  • ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps. Bennazoli, Chiara; Campi, Luciano; Di Persio, Luca picture_as_pdf
  • No-arbitrage commodity option pricing with market manipulation. Aïd, René; Callegaro, Giorgia; Campi, Luciano picture_as_pdf
  • Nonzero-sum stochastic differential games between an impulse controller and a stopper. Campi, Luciano; De Santis, Davide picture_as_pdf
  • Nonzero-sum stochastic differential games with impulse controls:a verification theorem with applications. Aïd, René; Basei, Matteo; Callegaro, Giorgia; Campi, Luciano; Vargiolu, Tiziano picture_as_pdf
  • On the existence of shadow prices. Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; Muhle-Karbe, Johannes
  • On the support of extremal martingale measures with given marginals:the countable case. Campi, Luciano; Martini, Claude picture_as_pdf
  • Optimal market making under partial information with general intensities. Campi, Luciano; Zabaljauregui, Diego picture_as_pdf
  • Utility indifference pricing and hedging for structured contracts in energy markets. Callegaro, Giorgia; Campi, Luciano; Giusto, Valeria; Vargiolu, Tiziano
  • Utility indifference valuation for non-smooth payoffs with an application to power derivatives. Benedetti, Giuseppe; Campi, Luciano
  • A probabilistic numerical method for optimal multiple switching problems in high dimension. Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên
  • A structural risk-neutral model for pricing and hedging electricity derivatives. Aïd, René; Campi, Luciano; Langrené, Nicolas