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Preface These are the extended version of the Cattedra Galileiana I gave in April 2003 in Scuola Normale, Pisa. I am grateful to the Society of Amici della Scuola Normale for the funding and to Professors Maurizio Pratelli, Marzia De Donno and Paulo Guasoni for organizing these lectures and their hospitality. In these notes, I give a very quick introduction… (More)

- Sabrina Mulinacci, Maurizio Pratelli
- Finance and Stochastics
- 1998

In this paper we analyze some problems arising in the evaluation of American options when the underlying security pays discrete dividends. To this aim, we study the problem of maximizing the expected gain process over stopping times taking values in the union of disjoint, real compact sets. The results we obtain can be applied to evaluate options with… (More)

- Marzia De Donno, Maurizio Pratelli
- Finance and Stochastics
- 2004

We propose here a theory of cylindrical stochastic integration, recently developed by Mikulevicius and Rozovskii, as mathematical background to the theory of bond markets. In this theory, since there is a continuum of securities, it seems natural to define a portfolio as a measure on maturities. However, it turns out that this set of strategies is not… (More)

- Eni Musta, Maurizio Pratelli, Dario Trevisan
- J. Multivariate Analysis
- 2017

In this Ph.D. dissertation we deal with some issues of regularity and estimation of probability laws for diffusions with non-globally smooth coefficients, with particular focus on financial models. The analysis of probability laws for the solutions of Stochastic Differential Equations (SDEs) driven by the Brownian motion is among the main applications of… (More)

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