Frittelli Marco
Full professor
Scientific-Disciplinary Sector
STAT-04/A - Mathematical Methods for Economy, Finance and Actuarial Sciences
Scientific-Disciplinary Group/Competition Sector
13/STAT-04 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE
Research fields and competencies
Office hours
on appointment
Reception office
Office 1043, first floor, Math. Dept., Via Saldini 50.
Teaching - Programme courses
Bachelors and masters
A.Y. 2024/2025
A.Y. 2023/2024
A.Y. 2021/2022
A.Y. 2020/2021
Research
Publications
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Collective Free Lunch and the FTAP / M. Frittelli. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 16:1(2025 Jan), pp. 53-67. [10.1137/24M1693039]
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On entropy martingale optimal transport theory / A. Doldi, M. Frittelli, E. Rosazza Gianin. - In: DECISIONS IN ECONOMICS AND FINANCE. - ISSN 1593-8883. - 47:(2024 Jun), pp. 1-42. [10.1007/s10203-023-00432-y]
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Multivariate systemic optimal risk transfer equilibrium / A. Doldi, M. Frittelli. - In: ANNALS OF OPERATIONS RESEARCH. - ISSN 0254-5330. - 336:1-2(2024 May), pp. 435-480. [10.1007/s10479-022-04652-0]
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Collective dynamic risk measures / A. Doldi, M. Frittelli, E.R. Gianin. - In: FRONTIERS OF MATHEMATICAL FINANCE. - ISSN 2769-6715. - (2024), pp. 1-24. [Epub ahead of print] [10.3934/fmf.2024012]
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Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? / A. Doldi, M. Frittelli, E. Rosazza Gianin. - In: SIAM JOURNAL ON FINANCIAL MATHEMATICS. - ISSN 1945-497X. - 15:1(2024), pp. SC1-SC14. [10.1137/23M1580413]