| 1. |
Benedetti, Giuseppe and Campi, Luciano
(2016)
Utility indifference valuation for non-smooth payoffs with an application to power derivatives.
Applied Mathematics & Optimization, 73
(2).
pp. 349-389.
ISSN 0095-4616
| ![[img]](/63016/8.hassmallThumbnailVersion/Campi_Utility%20indifference%20valuation_2016.pdf)  Preview |
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| 2. |
Aïd, René, Campi, Luciano, Langrené, Nicolas and Pham, Huyên
(2014)
A probabilistic numerical method for optimal multiple switching problems in high dimension.
SIAM Journal on Financial Mathematics, 5
(1).
pp. 191-231.
ISSN 1945-497X
| ![[img]](/63011/1.hassmallThumbnailVersion/Campi_probabilistic%20numerical%20method.pdf)  Preview |
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| 3. |
Benedetti, Giuseppe, Campi, Luciano, Kallsen, Jan and Muhle-Karbe, Johannes
(2013)
On the existence of shadow prices.
Finance and Stochastics, 17
(4).
pp. 801-818.
ISSN 0949-2984
Not available from LSE Research Online. | | |
| 4. |
Aïd, René, Campi, Luciano and Langrené, Nicolas
(2013)
A structural risk-neutral model for pricing and hedging electricity derivatives.
Mathematical Finance, 23
(3).
pp. 387-438.
ISSN 0960-1627
Not available from LSE Research Online. | | |
| 5. |
Campi, Luciano, Cetin, Umut and Danilova, Albina
(2013)
Equilibrium model with default and dynamic insider information.
Finance and Stochastics, 17
(347).
pp. 565-585.
ISSN 0949-2984
Not available from LSE Research Online. | | |
| 6. |
Campi, Luciano, Cetin, Umut and Danilova, Albina
(2013)
Explicit construction of a dynamic Bessel bridge of dimension 3.
Electronic Journal of Probability, 18
(20).
pp. 1-25.
ISSN 1083-6489
| ![[img]](/45263/1.hassmallThumbnailVersion/__Libfile_repository_Content_Cetin%2C%20U_Explicit_%20construction_%20%20dynamic_Explicit_construction_dynamic__digital_2013.pdf)  Preview |
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| 7. |
Benedetti, Giuseppe and Campi, Luciano
(2012)
Multivariate utility maximization with proportional transaction costs and random endowment.
SIAM Journal on Control and Optimization, 50
(3).
pp. 1283-1308.
ISSN 0363-0129
Not available from LSE Research Online. | | |
| 8. |
Campi, Luciano and Owen, Mark P.
(2011)
Multivariate utility maximization with proportional transaction costs.
Finance and Stochastics, 15
(3).
pp. 461-499.
ISSN 0949-2984
Not available from LSE Research Online. | | |
| 9. |
Campi, Luciano, Cetin, Umut and Danilova, Albina
(2011)
Dynamic Markov bridges motivated by models of insider trading.
Stochastic Processes and Their Applications, 121
(3).
pp. 534-567.
ISSN 0304-4149
| ![[img]](/31538/1.hassmallThumbnailVersion/Dynamic_Markov_bridges_%28LSERO%29.pdf)  Preview |
| |
| 10. |
Campi, Luciano and Çetin, Umut
(2007)
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling.
Finance and Stochastics, 11
(4).
pp. 591-602.
ISSN 0949-2984
| ![[img]](/4821/1.hassmallThumbnailVersion/Insider_trading_in_an_equilibrium_model_%28LSERO_version%29.pdf)  Preview |
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