Marzia De Donno
Marzia De Donno
Associate Professor of financial mathematics, UniversitÓ Cattolica del Sacro Cuore, MIlano
Verified email at unicatt.it
Title
Cited by
Cited by
Year
Super-replication and utility maximization in large financial markets
M De Donno, P Guasoni, M Pratelli
Stochastic processes and their applications 115 (12), 2006-2022, 2005
432005
On the use of measure-valued strategies in bond markets
MD Donno, M Pratelli
Finance and Stochastics 8 (1), 87-109, 2004
362004
Real options and American derivatives: The double continuation region
A Battauz, M De Donno, A Sbuelz
34*2009
A theory of stochastic integration for bond markets
M De Donno, M Pratelli
The Annals of Applied Probability 15 (4), 2773-2791, 2005
252005
A note on completeness in large financial markets
M De Donno
Mathematical Finance: An International Journal of Mathematics, Statisticsá…, 2004
252004
Stochastic integration with respect to a sequence of semimartingales
M De Donno, M Pratelli
In Memoriam Paul-AndrÚ Meyer, 119-135, 2006
222006
Real options with a double continuation region
A Battauz, M De Donno, A Sbuelz
Quantitative Finance 12 (3), 465-475, 2012
182012
Double continuation regions for American and swing options with negative discount rate in LÚvy models
M De Donno, Z Palmowski, J Tumilewicz
Mathematical Finance 30 (1), 196-227, 2020
142020
New results on precautionary saving under two risks
D Baiardi, M De Donno, M Magnani, M Menegatti
Economics Letters 130, 17-20, 2015
122015
The term structure of interest rates as a random field: A stochastic integration approach
M De Donno
Stochastic Processes and Applications to Mathematical Finance, 27-52, 2004
92004
Reaching nirvana with a defaultable asset?
A Battauz, M De Donno, A Sbuelz
Decisions in Economics and Finance 40 (1), 31-52, 2017
82017
Kim and Omberg revisited: the duality approach
A Battauz, M De Donno, A Sbuelz
Journal of Probability and Statistics 2015, 2015
82015
On the exercise of American quanto options
A Battauz, M De Donno, A Sbuelz
Preprint, 2017
72017
Envelope theorems in Banach lattices and asset pricing
A Battauz, M De Donno, F Ortu
Mathematics and Financial Economics 9 (4), 303-323, 2015
4*2015
The put-call symmetry for American options in the Heston stochastic volatility model
A Sbuelz, A Battauz, M De Donno
SCIK Publishing Corporation 2014 (A), 1-8, 2014
42014
Intertemporal asset pricing and the marginal utility of wealth
A Battauz, M De Donno, F Ortu
Journal of Mathematical Economics 47 (2), 227-244, 2011
42011
On a lemma by Ansel and Stricker
M Donno, M Pratelli
SÚminaire de ProbabilitÚs XL, 411-414, 2007
42007
Changes in multiplicative risks and optimal portfolio choice: new interpretations and results
M De Donno, M Magnani, M Menegatti
Decisions in Economics and Finance 43 (1), 251-267, 2020
12020
Risk estimation for short-term financial data through pooling of stable fits
M De Donno, R Donati, G Favero, P Modesti
Financial Markets and Portfolio Management 33 (4), 447-470, 2019
12019
Changes in multiplicative risk and partial relative risk aversion: new interpretations and results
M De Donno, M Magnani, M Menegatti
Working paper, UniversitÓ degli Studi di Parma, Italy, 2017
12017
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