14 citations · 14 across the 1 of their papers we have counts for
3 papers
q-fin.MF2025
Short-rate models with stochastic discontinuities: a PDE approach
Alessandro Calvia, Marzia De Donno, Chiara Guardasoni +1
With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (…
q-fin.MF2025
On consistency of optimal portfolio choice for state-dependent exponential utilities
Edoardo Berton, Marzia De Donno, Marco Maggis
In an arbitrage-free simple market, we demonstrate that for a class of state-dependent exponential utilities, there exists a unique prediction of the random risk aversion that ensu…
math.PR2006★ 14 cited
A theory of stochastic integration for bond markets
M. De Donno, M. Pratelli
We introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond…