Publications and Preprints

B. Acciaio, M. Beiglböck, F. Penkner, W. Schachermayer and J. Temme
A trajectorial interpretation of Doob’s martingale inequalities
Submitted
[PDF(125 KB)]

B. Acciaio and G. Svindland
On the Lower Arbitrage Bound of American Contingent Claims
Forthcoming in Mathematical Finance
[PDF(332 KB)]

B. Acciaio and V. Goldammer
Optimal portfolio selection via conditional convex risk measures on L^p
Forthcoming in Decisions in Economics and Finance
[PDF(4,14 MB)]

B. Acciaio, H. Föllmer and I. Penner
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
Forthcoming in Finance & Stochastics
[PDF(447 KB)] [Abstract]

B. Acciaio and I. Penner
Dynamic convex risk measures
In Advanced Mathematical Methods for Finance, G. Di Nunno and B. Øksendal (eds.) Springer-Verlag Berlin Heidelberg, Ch. 1, pp. 1-34, 2011
[PDF(267 KB)] [Abstract]

B. Acciaio and G. Svindland
Optimal risk sharing with different reference probabilities
Insurance: Mathematics and Economics 44, 426-433 (2009)
[PDF(236 KB)] [Abstract] [Addendum]

B. Acciaio
Short Note on Inf-Convolution Preserving the Fatou Property
Annals of Finance 5, 281-287 (2009)
[PDF(136 KB)] [Abstract]

B. Acciaio and S. Herzel
An affine intensity model for large credit portfolios
International Journal of Risk Assessment and Management 14/6 (2010)
[PDF(290 KB)] [Abstract]

B. Acciaio
Optimal risk sharing with non-monotone monetary functions
Finance & Stochastics 11/2, 267–289 (2007)
[PDF(250 KB)] [Abstract]

B. Acciaio and E. Stanghellini
Survival analysis in affine setting
Preprint
[PDF(257 KB)] [ Abstract]

B. Acciaio, P. Bordi and E. Stanghellini
Forecasting corporate default probabilities with Survival Models in Affine Setting
SIS Proceedings of the 2007 Intermediate Conference on Risk and Prediction
[PDF(58.9 KB)] [Abstract]

B. Acciaio
Two problems related to utility theory under unusual assumptions
Ph.D. thesis, University of Perugia (2006)
[PDF(580 KB)] [Slides]

B. Acciaio
Absolutely continuous optimal martingale measures
Statistics & Decisions 23, 81–100 (2005)
[PDF(216 KB)] [Abstract]

B. Acciaio and P. Pucci
Existence of radial solutions for quasi-linear elliptic equations with singular nonlinearities
Advanced Nonlinear Studies 3, 513–541 (2003)
[PDF(270 KB)] [Abstract]

B. Acciaio
Esistenza di stati fondamentali per problemi ellittici quasi-lineari
Degree thesis, University of Perugia (2002)