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Benth, Fred Espen; Lord, Gabriel J.; Di Nunno, Giulia; Petersson, Andreas Erik
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The heat modulated infinite dimensional Heston model and its numerical approximation
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Stochastics: An International Journal of Probability and Stochastic Processes (41 pages); 2024
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Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton
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Option Pricing in Sandwiched Volterra Volatility Model
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SIAM Journal on Financial Mathematics Volume 15 (3); page 824 - 882; 2024
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Di Nunno, Giulia; Yurchenko-Tytarenko, Anton
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Power law in Sandwiched Volterra Volatility model
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Modern Stochastics: Theory and Applications (MSTA) Volume 11 (2); page 169 - 194; 2024
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Di Nunno, Giulia; Gianin, Emanuela Rosazza
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Fully Dynamic Risk Measures: Horizon Risk, Time-Consistency, and Relations with BSDEs and BSVIEs
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SIAM Journal on Financial Mathematics Volume 15 (2); page 399 - 435; 2024
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Di Nunno, Giulia; Kubilius, Kestutis; Mishura, Yuliya; Yurchenko-Tytarenko, Anton
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From Constant to Rough: A Survey of Continuous Volatility Modeling
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Mathematics Volume 11 (19); 2023
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Di Nunno, Giulia; Ortiz-Latorre, Salvador; Petersson, Andreas Erik
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SPDE bridges with observation noise and their spatial approximation
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Stochastic Processes and their Applications Volume 158; page 170 - 207; 2023
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Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton
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Sandwiched SDEs with unbounded drift driven by Hölder noises
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Advances in Applied Probability Volume 55 (3); page 927 - 964; 2023
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Di Nunno, Giulia; Giordano, Michele
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Stochastic Volterra equations with time-changed Lévy noise and maximum principles
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Annals of Operations Research (23 pages); 2023
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Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton
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Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises
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Numerical Algorithms (33 pages); 2022
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Benth, Fred Espen; Nunno, Giulia Di; Schroers, Dennis
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A topological proof of Sklar's theorem in arbitrary dimensions
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Dependence Modeling Volume 10 (1); page 22 - 28; 2022
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Benth, Fred Espen; Di Nunno, Giulia; Simonsen, Iben Cathrine
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Sensitivity analysis in the infinite dimensional Heston model
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Infinite Dimensional Analysis Quantum Probability and Related Topics Volume 24 (2) (29 pages); 2021
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Benth, Fred Espen; Di Nunno, Giulia; Schroers, Dennis
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Copula measures and Sklar's theorem in arbitrary dimensions
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Scandinavian Journal of Statistics (40 pages); 2021
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Bion-Nadal, Jocelyne; Di Nunno, Giulia
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Fully-dynamic risk-indifference prices and no-good-deal bounds
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SIAM Journal on Financial Mathematics Volume 11 (2); page 620 - 658; 2020
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Banos, David; Cordoni, Francesco; Di Nunno, Giulia; Di Persio, Luca; Røse, Elin Engen
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Stochastic systems with memory and jumps
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Journal of Differential Equations Volume 266 (9); page 5772 - 5820; 2019
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Di Nunno, Giulia; Fiacco, Andrea; Karlsen, Erik Hove
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On the approximation of Lévy driven Volterra processes and their integrals
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Journal of Mathematical Analysis and Applications Volume 476 (1); page 120 - 148; 2019
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Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, Jose
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Kyle equilibrium under random price pressure
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Decisions in Economics and Finance (DAF) Volume 42 (1); page 77 - 101; 2019
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Baños, David; Di Nunno, Giulia; Haferkorn, Hannes Hagen; Proske, Frank Norbert
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Stochastic functional differential equations and sensitivity to their initial path
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Computation and Combinatorics in Dynamics, Stochastics and Control; page 37 - 70; 2018
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Corcuera, José Manuel; Di Nunno, Giulia
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Kyle-Back's model with a random horizon
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International Journal of Theoretical and Applied Finance Volume 21 (2); 2018
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Bion-Nadal, Jocelyne; Di Nunno, Giulia
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Representation of convex operators and their static and dynamic sandwich extensions |
Journal of Convex Analysis Volume 24 (4); page 1375 - 1405; 2017
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Bion-Nadal, Jocelyne; Di Nunno, Giulia
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Fully-dynamic risk-indifference prices and no-good-deal bounds
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arXiv.org; 2017
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