Giulia Di Nunno

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Bernt OksendalProfessor at the University of Oslo,adjunct professor at the Norwegian School of EconomicsVerified email at math.uio.no
Fred Espen BenthDepartment of Mathematics, University of Oslo, NorwayVerified email at math.uio.no
Asma KhedherUniversity of AmsterdamVerified email at uva.nl
Yuliya MishuraProfessor of Probability, Taras Shevchenko National University of KyivVerified email at knu.ua
Anton Yurchenko-TytarenkoDepartment of Mathematics, University of OsloVerified email at math.uio.no
Jose Manuel CorcueraProfesor de Matemáticas Universidad de BarcelonaVerified email at ub.edu
David Ruiz BanosAssociate Professor, University of OsloVerified email at math.uio.no
Vanmaele MichèleGhent University, Department of Applied Mathematics, Computer Science and StatisticsVerified email at ugent.be
Eugenio RegazziniDipartimento di Matematica, università di paviaVerified email at unipv.it
Alessandra GuglielmiProfessor of Statistics, Department of Mathematics, Politecnico di MilanoVerified email at polimi.it
Dennis SchroersInstitute of Finance and Statistics, University of BonnVerified email at uni-bonn.de
Michele GiordanoPh.D. University of OsloVerified email at math.uio.no
arturo kohatsuritsumeikan universityVerified email at fc.ritsumei.ac.jp
Agnès SulemDirecteur de RechercheVerified email at inria.fr
Luca Di PersioDepartment of Computer Science - Verona UniversityVerified email at univr.it
Francesco CordoniUniversity of TrentoVerified email at unitn.it
Kostiantyn RalchenkoTaras Shevchenko National University of KyivVerified email at knu.ua
Tom LindstrømDepartment of Mathematics, University of OsloVerified email at math.uio.no
Gabriel LordRadboud UniversityVerified email at ru.nl
Maren Diane SchmeckIMW, Bielefeld UniversityVerified email at uni-bielefeld.de

Giulia Di Nunno

Professor at University of Oslo and Adjunct Professor at NHH Bergen

Verified email at math.uio.no - Homepage

Stochastic Analysis Probability Stochastic control Mathematical Finance


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Malliavin calculus for Lévy processes with applications to finance GD Nunno, B Øksendal, F Proske Springer Berlin Heidelberg, 2008	704	2008
White noise analysis for Lévy processes G Di Nunno, B Øksendal, F Proske Journal of Functional Analysis 206 (1), 109-148, 2004	166	2004
Explicit representation of the minimal variance portfolio in markets driven by Lévy processes FE Benth, G Di Nunno, A Løkka, B Øksendal, F Proske Mathematical Finance: An International Journal of Mathematics, Statistics …, 2003	151	2003
Malliavin calculus and anticipative Itô formulae for Lévy processes G Di Nunno, T Meyer-Brandis, B Øksendal, F Proske Infinite Dimensional Analysis, Quantum Probability and Related Topics 8 (02 …, 2005	127	2005
Optimal portfolio for an insider in a market driven by Lévy processes GD Nunno, T Meyer-Brandis, B Øksendal, F Proske Quantitative Finance 6 (1), 83-94, 2006	99	2006
Theory and numerical analysis for exact distributions of functionals of a Dirichlet process E Regazzini, A Guglielmi, G Di Nunno Annals of statistics 30 (5), 1376-1411, 2002	82	2002
Stochastic integral representations, stochastic derivatives and minimal variance hedging G Di Nunno Stochastics and Stochastic Reports 73 (1-2), 181-198, 2002	42	2002
Advanced Mathematical Methods for Finance G Di Nunno, B Øksendal, Editors Springer, 2011	37	2011
Stochastic systems with memory and jumps DR Baños, F Cordoni, G Di Nunno, L Di Persio, EE Røse Journal of Differential Equations 266 (9), 5772-5820, 2019	34	2019
Robustness of option prices and their deltas in markets modelled by jump-diffusions FE Benth, G Di Nunno, A Khedher Comm. Stochastic Analysis 5, 285-307, 2011	31	2011
Minimal-variance hedging in large financial markets: random fields approach GD Nunno, IB Eide Stochastic Analysis and Applications 28 (1), 54-85, 2009	26	2009
Optimal portfolio, partial information and Malliavin calculus G Di Nunno, B Øksendal Stochastics: An International Journal of Probability and Stochastics …, 2009	26	2009
On orthogonal polynomials and the Malliavin derivative for Lévy stochastic measures G Di Nunno Seminaires et congres 16, 55-69, 2007	26	2007
BSDEs driven by time-changed Lévy noises and optimal control G Di Nunno, S Sjursen Stochastic Processes and their Applications 124 (4), 1679-1709, 2014	24	2014
Stochastic integrals and adjoint derivatives G Di Nunno, YA Rozanov Stochastic Analysis and Applications: The Abel Symposium 2005, 265-307, 2007	19	2007
Random Fields Evolution: non-anticipating integration and differentiation G Di Nunno Theory of Probability and Math. Statistics 66, 82-94, 2002	18	2002
Dynamic no-good-deal pricing measures and extension theorems for linear operators on L∞ J Bion-Nadal, G Di Nunno Finance and Stochastics, 1-27, 2012	16	2012
The Donsker delta function, a representation formula for functionals of a Lévy process and application to hedging in incomplete markets G Di Nunno, B Øksendal Séminaires et Congres 16, 71-82, 2007	16	2007
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps G Di Nunno, A Khedher, M Vanmaele Applied Mathematics & Optimisation 72, 353 - 389, 2015	15	2015
A general maximum principle for anticipative stochastic control and applications to insider trading G Di Nunno, O Menoukeu Pamen, B Øksendal, F Proske Advanced Mathematical Methods for Finance, 181-221, 2011	15	2011

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