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math.PR2012
Conditionally Evenly Convex Sets and Evenly Quasi-Convex Maps
Marco Frittelli, Marco Maggis
Evenly convex sets in a topological vector space are defined as the intersection of a family of open half spaces. We introduce a generalization of this concept in the conditional f…
math.PR2008★ 10 cited
A unified framework for utility maximization problems: An Orlicz space approach
Sara Biagini, Marco Frittelli
We consider a stochastic financial incomplete market where the price processes are described by a vector-valued semimartingale that is possibly nonlocally bounded. We face the clas…
math.PR2005★ 34 cited
On the super replication price of unbounded claims
Sara Biagini, Marco Frittelli
In an incomplete market the price of a claim f in general cannot be uniquely identified by no arbitrage arguments. However, the ``classical'' super replication price is a sensible…