*** Modified files in JOE when it aborted on Fri Mar 19 11:14:35 2010 *** JOE was aborted because the terminal closed *** File 'research.html' HTML> Barbara Trivellato

Barbara Trivellato

RESEARCH

My main research interests are:

Shortfall Risk Minimization in discrete markets.
Stochastic Control and applications to Economics and Finance.
Insider Trading in continuous time.
Option Valuation under stochastic volatility.

Here is a list of my publications:

F. D'Ippoliti, E. Moretto, S. Pasquali, B. Trivellato (2010).
Exact pricing with stochastic volatility and jumps. Accepted for publication in International Journal of Theoretical and Applied Finance.
F. D'Ippoliti, E. Moretto, S. Pasquali, B. Trivellato (2010).
Exact and Approximated Option Pricing in a Stochastic Volatility Jump-diffusion Model. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Venice (Italy), 26,27,28 March 2008. Springer-Verlag, vol. XII, pp. 103-112.
E. Moretto, S. Pasquali, B. Trivellato (2010).
Derivative evaluation using recombining trees under stochastic volatility. Advances and Applications in Statistical Sciences, Vol. 1, No. 2, pp. 453-480.
D. Imparato and B. Trivellato (2010).
Extended exponential models. Algebraic and Geometric Methods in Statistics (P. Gibilisco, E. Riccomagno, M.P. Rogantin and H.P. Wynn, eds), Cambridge University Press, pp. 307-326.
R. Monte, B. Trivellato (2009).
An equilibrium model of insider trading in continuous time. Decisions in Economics and Finance, Vol. 2, pp. 83-128.
B. Trivellato (2009).
Replication and shortfall risk in a binomial model with transaction costs. Mathematical Methods of Operations Research, Vol. 69, pp. 1-26.
E. Barucci, R. Monte and B. Trivellato (2006).
Insider trading in continuous time. Quantum Information V. Proceedings of the Fifth Conference (Japan 17 - 19 December 2001). World Scientific Publishing Company.
E. Moretto, S. Pasquali, B. Trivellato (2004).
An alternative model for evaluating exchange rates derivatives with stochastic volatility. Proceedings of the 7th Spanish-Italian Congress on Financial Mathematics, Cuenca, July 2004.
W. J. Runggaldier, B. Trivellato and T. Vargiolu (2002).
A Bayesian adaptive control approach to risk management in a binomial model. Seminar on Stochastic Analysis, Random Fields and Applications, III (Ascona, 1999). Progress in Probability, Vol. 52, pp. 243-258. Birkhauser, Basel.
P. Dai Pra, G.B. Di Masi and B. Trivellato (2000).
Pathwise optimality in stochastic control. SIAM J. Control Optim., Vol. 39, No. 5, pp. 1540-1557.
B. Trivellato and T. Vargiolu (2000).
Un approccio bayesiano alla gestione del rischio in un modello binomiale. Finanza Computazionale, Atti della Scuola Estiva 2000, pp. 159-175. Comitato Incontri di Studio in Cadore, Dipartimento di Matematica Applicata, Università Cà Foscari di Venezia (Italy).
B. Trivellato (2000).
Almost sure optimality and optimality in probability for stochastic linear quadratic regulator with partial information. Stochastics and Stochastics Reports, Vol. 69, pp. 239-254.
P. Dai Pra, G.B. Di Masi and B. Trivellato (1999).
Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon. Annals of Operations Research, Vol. 88, pp. 161-171.
B. Trivellato (1999).
Ottimalità quasi certa nel controllo stocastico. La matematica nella Società e nella Cultura. Bollettino UMI (8) 2-A Suppl., pp. 157-160.

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*** Modified files in JOE when it aborted on Fri Mar 19 11:14:35 2010 *** JOE was aborted by signal 15 *** Modified files in JOE when it aborted on Mon Mar 22 09:42:28 2010 *** JOE was aborted because the terminal closed *** Modified files in JOE when it aborted on Mon Mar 22 09:42:28 2010 *** JOE was aborted by signal 1 *** File 'research.html' Barbara Trivellato

Barbara Trivellato

RESEARCH

My main research interests are:

Shortfall Risk Minimization in discrete markets.
Stochastic Control and applications to Economics and Finance.
Insider Trading in continuous time.
Option Valuation under stochastic volatility.

ciao

Here is a list of my publications:

D. Imparato and B. Trivellato (2009).
Extended exponential models. To appear in Algebraic and Geometric Methods in Statistics (P. Gibilisco, E. Riccomagno, M.P. Rogantin and H.P. Wynn, eds), Cambridge University Press.
B. Trivellato (2009).
Replication and shortfall risk minimization in a binomial model with transaction costs. Mathematical Methods of Operations Research, Vol. 69, pp. 1-26.
E. Barucci, R. Monte and B. Trivellato (2006).
Insider trading in continuous time. Quantum Information V. Proceedings of the Fifth Conference (Japan 17 - 19 December 2001). World Scientific Publishing Company.
E. Moretto, S. Pasquali, B. Trivellato (2004).
An alternative model for evaluating exchange rates derivatives with stochastic volatility. Proceedings of the 7th Spanish-Italian Congress on Financial Mathematics, Cuenca, July 2004.
E. Moretto, S. Pasquali, B. Trivellato, C. Corvasce (2004).
Application of a stochastic volatility model to options on exchange rate. Technical Report n. 10-MI, Cnr-Imati, Milano (Italy).
E. Moretto, S. Pasquali, B. Trivellato (2004).
A stochastic volatility model for exchange rate derivatives. Technical Report n. 9-MI, Cnr-Imati, Milano (Italy).
E. Barucci, R. Monte and B. Trivellato (2004).
Bayesian Nash equilibrium for insider trading in continuous time. Report n. 248, Dipartimento di Statistica e Matematica Applicata all'Economia, Università degli Studi di Pisa (Italy).
B. Trivellato (2003).
Replication and shortfall risk minimization in a binomial model with transaction costs. Preprint N. 10, Dipartimento di Matematica, Politecnico di Torino (Italy).
W. J. Runggaldier, B. Trivellato and T. Vargiolu (2002).
A Bayesian adaptive control approach to risk management in a binomial model. Seminar on Stochastic Analysis, Random Fields and Applications, III (Ascona, 1999). Progress in Probability, Vol. 52, pp. 243-258. Birkhauser, Basel.
P. Dai Pra, G.B. Di Masi and B. Trivellato (2000).
Pathwise optimality in stochastic control. SIAM J. Control Optim., Vol. 39, No. 5, pp. 1540-1557.
B. Trivellato and T. Vargiolu (2000).
Un approccio bayesiano alla gestione del rischio in un modello binomiale. Finanza Computazionale, Atti della Scuola Estiva 2000, pp. 159-175. Comitato Incontri di Studio in Cadore, Dipartimento di Matematica Applicata, Università Cà Foscari di Venezia (Italy).
B. Trivellato (2000).
Almost sure optimality and optimality in probability for stochastic linear quadratic regulator with partial information. Stochastics and Stochastics Reports, Vol. 69, pp. 239-254.
P. Dai Pra, G.B. Di Masi and B. Trivellato (1999).
Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon. Annals of Operations Research, Vol. 88, pp. 161-171.
B. Trivellato (1999).
Ottimalità quasi certa nel controllo stocastico. La matematica nella Società e nella Cultura. Bollettino UMI (8) 2-A Suppl., pp. 157-160.

Back to Barbara Trivellato

*** Modified files in JOE when it aborted on Mon Mar 22 09:47:05 2010 *** JOE was aborted because the terminal closed *** File '(Unnamed)' research.html *** File 'research.html' Barbara Trivellato

Barbara Trivellato

RESEARCH

My main research interests are:

Shortfall Risk Minimization in discrete markets.
Stochastic Control and applications to Economics and Finance.
Insider Trading in continuous time.
Option Valuation under stochastic volatility.

Here is a list of my publications:

D. Imparato and B. Trivellato (2009).
Extended exponential models. To appear in Algebraic and Geometric Methods in Statistics (P. Gibilisco, E. Riccomagno, M.P. Rogantin and H.P. Wynn, eds), Cambridge University Press.
B. Trivellato (2009).
Replication and shortfall risk minimization in a binomial model with transaction costs. Mathematical Methods of Operations Research, Vol. 69, pp. 1-26.
E. Barucci, R. Monte and B. Trivellato (2006).
Insider trading in continuous time. Quantum Information V. Proceedings of the Fifth Conference (Japan 17 - 19 December 2001). World Scientific Publishing Company.
E. Moretto, S. Pasquali, B. Trivellato (2004).
An alternative model for evaluating exchange rates derivatives with stochastic volatility. Proceedings of the 7th Spanish-Italian Congress on Financial Mathematics, Cuenca, July 2004.
E. Moretto, S. Pasquali, B. Trivellato, C. Corvasce (2004).
Application of a stochastic volatility model to options on exchange rate. Technical Report n. 10-MI, Cnr-Imati, Milano (Italy).
E. Moretto, S. Pasquali, B. Trivellato (2004).
A stochastic volatility model for exchange rate derivatives. Technical Report n. 9-MI, Cnr-Imati, Milano (Italy).
E. Barucci, R. Monte and B. Trivellato (2004).
Bayesian Nash equilibrium for insider trading in continuous time. Report n. 248, Dipartimento di Statistica e Matematica Applicata all'Economia, Università degli Studi di Pisa (Italy).
B. Trivellato (2003).
Replication and shortfall risk minimization in a binomial model with transaction costs. Preprint N. 10, Dipartimento di Matematica, Politecnico di Torino (Italy).
W. J. Runggaldier, B. Trivellato and T. Vargiolu (2002).
A Bayesian adaptive control approach to risk management in a binomial model. Seminar on Stochastic Analysis, Random Fields and Applications, III (Ascona, 1999). Progress in Probability, Vol. 52, pp. 243-258. Birkhauser, Basel.
P. Dai Pra, G.B. Di Masi and B. Trivellato (2000).
Pathwise optimality in stochastic control. SIAM J. Control Optim., Vol. 39, No. 5, pp. 1540-1557.
B. Trivellato and T. Vargiolu (2000).
Un approccio bayesiano alla gestione del rischio in un modello binomiale. Finanza Computazionale, Atti della Scuola Estiva 2000, pp. 159-175. Comitato Incontri di Studio in Cadore, Dipartimento di Matematica Applicata, Università Cà Foscari di Venezia (Italy).
B. Trivellato (2000).
Almost sure optimality and optimality in probability for stochastic linear quadratic regulator with partial information. Stochastics and Stochastics Reports, Vol. 69, pp. 239-254.
P. Dai Pra, G.B. Di Masi and B. Trivellato (1999).
Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon. Annals of Operations Research, Vol. 88, pp. 161-171.
B. Trivellato (1999).
Ottimalità quasi certa nel controllo stocastico. La matematica nella Società e nella Cultura. Bollettino UMI (8) 2-A Suppl., pp. 157-160.

Back to Barbara Trivellato

*** Modified files in JOE when it aborted on Mon Mar 22 09:48:54 2010 *** JOE was aborted because the terminal closed