39 citations · 68 across the 11 of their papers we have counts for
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q-fin.PM2012★ 2 cited
Optimal Investment with Stocks and Derivatives
Pietro Siorpaes
This paper studies the problem of maximizing expected utility from terminal wealth combining a static position in derivative securities, which we assume can be traded only at time…
q-fin.PM2012★ 1 cited
Do arbitrage-free prices come from utility maximization?
Pietro Siorpaes
In this paper we ask whether, given a stock market and an illiquid derivative, there exists arbitrage-free prices at which an utility-maximizing agent would always want to buy the…
math.PR2012★ 1 cited
A Simple Proof of the Bichteler-Dellacherie Theorem
Mathias Beiglboeck, Pietro Siorpaes
We give a simple and rather elementary proof of the celebrated Bichteler-Dellacherie-Mokobodzki Theorem, which states that a process S is a good integrator if and only if it is a s…