Items where Author is "Benedetti, Giuseppe"

Benedetti, Giuseppe and Campi, Luciano (2016) Utility indifference valuation for non-smooth payoffs with an application to power derivatives. Applied Mathematics and Optimization, 73 (2). pp. 349-389. ISSN 0095-4616

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

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