MARINA SANTACROCE

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Professore Associato (L.240)

+39 0110907550 / 7550 (DISMA)

Pubblicazioni più recenti

Santacroce, Marina; Siri, Paola; Trivellato, Barbara (2018)
Exponential models by Orlicz spaces and applications. In: JOURNAL OF APPLIED PROBABILITY, vol. 55, pp. 682-700. ISSN 0021-9002
Santacroce, Marina; Siri, Paola; Trivellato, Barbara (2018)
An application of maximal exponential models to duality theory. In: ENTROPY, vol. 20, pp. 1-9. ISSN 1099-4300 Download fulltext
Santacroce, Marina; Siri, Paola; Trivellato, Barbara (2017)
On mixture and exponential connection by open arcs. In: Geometric Science of Information. Third International Conference, GSI 2017, Paris, France, November 7-9, 2017, Proceedings / Nielsen F., Barbaresco F. (Eds), Cham, Springer International Publishing, pp. 577-584. ISBN: 9783319684444
Santacroce, Marina; Siri, Paola; Trivellato, Barbara (2016)
New results on mixture and exponential models by Orlicz spaces. In: BERNOULLI, vol. 22, pp. 1431-1447. ISSN 1350-7265
Santacroce, Marina; Sasso, Emanuela; Trivellato, Barbara; Covello, Daniela (2015)
Power utility maximization problems under partial information and information sufficiency in a Brownian setting. In: STOCHASTIC ANALYSIS AND APPLICATIONS, vol. 33, pp. 493-509. ISSN 0736-2994
Santacroce M.; Trivellato B. (2014)
Forward backward semimartingale systems for utility maximization. In: SIAM JOURNAL ON CONTROL AND OPTIMIZATION, vol. 52, pp. 3517-3537. ISSN 0363-0129
D. Covello; M. Santacroce; E. Sasso (2012)
Explicit Formulae for Power Utility Maximization Problems. Pubblicazioni di Matematica dell'Università di Genova.. , Genova, Dipartimento di Matematica, Università degli Studi di Genova
Jeanblanc, M.; Mania, M.; Santacroce, M.; Schweizer, M. (2012)
Mean-variance hedging via stochastic control and BSDEs for general semimartingales. In: THE ANNALS OF APPLIED PROBABILITY, vol. 22, pp. 2388-2428. ISSN 1050-5164
COVELLO D; SANTACROCE M. (2010)
Power Utility Maximization under Partial Information: some convergence results. In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS, vol. 120, pp. 2016-2036. ISSN 0304-4149
MANIA M; SANTACROCE M.; TEVZADZE R (2010)
A semimartingale BSDE related to the minimal entropy martingale measure. In: Handbook of Quantitative Finance and Risk Management / LEE; CHENG-FEW; LEE; ALICE C.; LEE; JOHN EDS., NEW YORK, Springer, pp. 1555-1567. ISBN: 9780387771168
MANIA M; SANTACROCE M. (2010)
Exponential Utility Maximization under Partial Information. In: FINANCE AND STOCHASTICS, vol. 14, pp. 419-448. ISSN 0949-2984
CARBONE R; FERRARIO B; SANTACROCE M. (2008)
Backward Stochastic Differential Equations driven by càdlàg martingales. In: THEORY OF PROBABILITY AND ITS APPLICATIONS, vol. 52, no.2, pp. 304-314. ISSN 0040-585X
SANTACROCE M. (2006)
Derivatives pricing via p-optimal martingale measures: some extreme cases. In: JOURNAL OF APPLIED PROBABILITY, vol. 43, no. 3, pp. 634-651. ISSN 0021-9002
SANTACROCE M. (2005)
On the convergence of the p-optimal martingale measure to the minimal entropy martingale measure. In: STOCHASTIC ANALYSIS AND APPLICATIONS, vol. 23, no. 1, pp. 31-54. ISSN 0736-2994
Mania, M; Santacroce, Marina; Tevzadze, R. (2004)
The Bellman Equation Related to the Minimal Entropy Martingale Measure. In: GEORGIAN MATHEMATICAL JOURNAL, vol. 11, no.1, pp. 125-135. ISSN 1072-947X
MANIA M; SANTACROCE M.; TEVZADZE R (2003)
A semimartingale BSDE related to the minimal entropy martingale measure.. In: FINANCE AND STOCHASTICS, vol. 7, no. 3, pp. 385-402. ISSN 0949-2984
MANIA M.; SANTACROCE M.; TEVZADZE R. (2002)
A semimartingale backward equation related to the p-optimal martingale measure and the lower price of a contingent claim.. In: Stochastic processes and related topics / EDITORS BUCKDAHN R.; ENGELBERT H.-J.; YOR M., LONDON, Taylor and Francis, pp. 189-212. ISBN: 9780415298834
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Progetti di ricerca finanziati

Metodologie a supporto di problemi di ottimizzazione e di valutazione e copertura di derivati finanziari, (2007-2009) - Responsabile Scientifico

Ricerca Nazionale (non commerciale). Progetti di Ricerca su Fondi Strutturali e Nazionali

Abstract

Methodologies for problems related to optimization and to pricing and hedging of financial derivaties

Paesi coinvolti

  • ITALIA

Strutture interne coinvolte

  • Dipartimento di Matematica
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