Working Papers

Portfolios and Risk Premia for the Long Run
(with Scott Robertson)
Performance Maximization of Actively Managed Funds
(with Gur Huberman and Zhenyu Wang)
The Fundamental Theorem of Asset Pricing under Transaction Costs
(with Miklos Rasonyi)

Publications in peer-reviewed journals

The Fundamental Theorem of Asset Pricing for Continuous Processes under Small Transaction Costs
(with Miklos Rasonyi and Walter Schachermayer)
Annals of Finance, forthcoming.
Consistent Price Systems and Face-Lifting Pricing under Transaction Costs
(with Miklos Rasonyi and Walter Schachermayer)
Annals of Applied Probability, 18 (2008), no. 2, 491-520. 		Math. Review
Zbl. Math.
Optimal Importance Sampling with Explicit Formulas in Continuous Time
(with Scott Robertson)
Finance and Stochastics, 12 (2008), no. 1, 1-19. 		Math. Review
Zbl. Math.
No Arbitrage with Transaction Costs,
with Fractional Brownian Motion and Beyond
Mathematical Finance, 16 (2006), no. 3, 569-582 		Math. Review
Zbl. Math.
Asymmetric Information in Fads Models
Finance and Stochastics, 10 (2006), no. 2, 159-177 		Math. Review
Zbl. Math.
Superreplication and Utility Maximization in Large Financial Markets
(with Marzia De Donno and Maurizio Pratelli)
Stochastic Processes and their Applications, 115 (2005), no. 12, 2006-2022 		Math. Review
Zbl. Math.
Necessary Conditions for the Existence
of Utility Maximizing Strategies under Transaction Costs
(with Walter Schachermayer)
Statistics and Decisions, 22 (2004), no. 2, 153-170 		Math. Review
Zbl. Math.
Optimal Investment with Transaction Costs and without Semimartingales
Annals of Applied Probability, 12 (2002), no. 4, 1227-1246 		Math. Review
Zbl. Math.
Risk Minimization under Transaction Costs
Finance and Stochastics, 6 (2002) no. 1, 91-113 		Math. Review
Zbl. Math.
Mean-Variance Hedging with Stochastic Volatility Models
(with Francesca Biagini and Maurizio Pratelli)
Mathematical Finance, 10 (2000) no. 2, 109-123 		Math. Review
Zbl. Math.
Mean-Variance Hedging with Random Volatility Jumps
(with Francesca Biagini)
Stochastic Analysis and Applications, 20 (2002) no. 3, 471-494 		Math. Review
Zbl. Math.
Some Problems of Shape Optimization Arising in Stationary Fluid Motion
(with Luigi Berselli)
Advances in Mathematical Sciences and Applications, 14 (2004) no. 1, p. 279-293
Math. Review
Zbl. Math.
Shape Optimization Problems over Classes of Convex Domains
(with Giuseppe Buttazzo)
Journal of Convex Analysis, 4 (1997) no. 2, 343-351
Math. Review
Zbl. Math.

Conference Proceedings

Importance Sampling with Basket Options
(with Scott Robertson)
Wilmott, Nov/Dec (2007)
No Free Lunch under Transaction Costs for Continuous Processes
Seminar on Stochastic Analysis, Random Fields and Applications V:
Centro Stefano Franscini, Ascona, May 2005 (Progress in Probability)
Excursions in the Martingale Hypothesis
Stochastic Processes and Applications to Mathematical Finance:
Proceedings of the Ritsumeikan International Symposium
Estimating State Price Densities by Hermite Polynomials:
Theory and Application to Italian Derivatives Market
Temi di Discussione del Servizio Studi della Banca d'Italia. No. 507 (July 2004)

Dissertations

Optimal Investment Problems under Market Frictions
Ph.D. Thesis. Scuola Normale Superiore, 2002
Problemi di ottimizzazione di forma su classi di insiemi convessi (Italian)
Laurea Thesis. University of Pisa, 1996.