Luciano Campi
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A super-replication theorem in Kabanov’s model of transaction costs
L Campi, W Schachermayer
Finance and Stochastics 10 (4), 579-596, 2006
A Structural Risk‐Neutral Model for Pricing and Hedging Power Derivatives
R Aïd, L Campi, N Langrené
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
A structural risk-neutral model of electricity prices
R Aid, L Campi, AN Huu, N Touzi
International Journal of Theoretical and Applied Finance 12 (07), 925-947, 2009
Systematic equity-based credit risk: A CEV model with jump to default
L Campi, S Polbennikov, A Sbuelz
Journal of Economic Dynamics and Control 33 (1), 93-108, 2009
N-player games and mean field games with absorption
L Campi, M Fischer
arXiv preprint arXiv:1612.03816, 2016
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
L Campi, U Cetin
Finance and stochastics 11, 591-602, 2007
A probabilistic numerical method for optimal multiple switching problems in high dimension
R Aïd, L Campi, N Langrené, H Pham
Society for Industrial and Applied Mathematics 5 (1), 191-231, 2014
Dynamic Markov bridges motivated by models of insider trading
L Campi, U Cetin, A Danilova
Stochastic Processes and their Applications 121 (3), 534-567, 2011
Multivariate utility maximization with proportional transaction costs
L Campi, MP Owen
Finance and stochastics 15, 461-499, 2011
Change of numeraire in the two-marginals martingale transport problem
L Campi, I Laachir, C Martini
Finance and Stochastics 21, 471-486, 2017
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
R Aïd, M Basei, G Callegaro, L Campi, T Vargiolu
Mathematics of Operations Research 45 (1), 205-232, 2020
Equilibrium model with default and dynamic insider information
L Campi, U Çetin, A Danilova
Finance and Stochastics 17, 565-585, 2013
Mean field games with controlled jump–diffusion dynamics: Existence results and an illiquid interbank market model
C Benazzoli, L Campi, L Di Persio
Stochastic Processes and their Applications 130 (11), 6927-6964, 2020
Closed-form Pricing of Benchmark Equity Default Swaps under the CEV Assumption
A Sbuelz, L Campi
RISK LETTERS 1 (3), 1-7, 2005
On the existence of shadow prices
G Benedetti, L Campi, J Kallsen, J Muhle-Karbe
Finance and stochastics 17, 801-818, 2013
Some results on quadratic hedging with insider trading
L Campi
Stochastics An International Journal of Probability and Stochastic Processes …, 2005
ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps
C Benazzoli, L Campi, L Di Persio
Statistics & Probability Letters 154, 108522, 2019
Correlated equilibria and mean field games: a simple model
L Campi, M Fischer
Mathematics of Operations Research 47 (3), 2240-2259, 2022
Mean field games with absorption and common noise with a model of bank run
M Burzoni, L Campi
Stochastic Processes and their Applications 164, 206-241, 2023
N-Player games and mean-field games with smooth dependence on past absorptions
L Campi, M Ghio, G Livieri
Annales de l'Institut Henri Poincare (B) Probabilites et statistiques 57 (4 …, 2021
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