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- Luciano Campi, Walter Schachermayer
- Finance and Stochastics
- 2006

We prove a general version of the super-replication theorem, which applies to Kabanovâ€™s model of foreign exchange markets under proportional transaction costs. The market is described by aâ€¦ (More)

- RenÃ© Aid, Luciano Campi, Adrien Nguyen Huu, Nizar Touzi, RenÃ© AÄ±Ìˆd
- 2009

The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts, which relies on the underlying market of fuels, thus avoiding the electricityâ€¦ (More)

- Luciano Campi, Mark P. Owen
- Finance and Stochastics
- 2011

We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investorâ€™s preferences are represented by aâ€¦ (More)

- Luciano Campi, Simon Polbennikov, Alessandro Sbuelz
- 2009

We use equity as the traded primitive for a detailed analysis of systematic default risk. Default is parsimoniously represented by equity value hitting the zero barrier so that, unlike inâ€¦ (More)

- Luciano Campi, Ismail Laachir, Claude Martini
- Finance and Stochastics
- 2017

In this paper, we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two-period setting. In particular, we consider the optimalâ€¦ (More)

- Luciano Campi, Umut Ã‡etin
- Finance and Stochastics
- 2007

We study an equilibrium model for the pricing of a defaultable zero coupon bond issued by a firm in the framework of Back [2]. The market consists of a risk-neutral informed agent, noise traders andâ€¦ (More)

- RenÃ© AÃ¯d, Luciano Campi, Nicolas LangrenÃ©, HuyÃªn Pham
- SIAM J. Financial Math.
- 2014

LSE has developed LSE Research Online so that users may access research output of the School. Copyright Â© and Moral Rights for the papers on this site are retained by the individual authors and/orâ€¦ (More)

- Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe
- Finance and Stochastics
- 2013

For utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless shadow marketâ€¦ (More)

- Giuseppe Benedetti, Luciano Campi
- SIAM J. Control and Optimization
- 2012

In this paper we deal with a utility maximization problem at finite horizon on a continuous-time market with conical (and time varying) constraints (particularly suited to model a currency marketâ€¦ (More)

- Luciano Campi
- 2003

We consider the hedging problem in an arbitrage-free financial market, where there are two kinds of investors with different levels of information about the future price evolution, described by twoâ€¦ (More)