Hierarchical Structures in the Aggregation of Premium Risk for Insurance Underwriting (with Nino Savelli; presented at the Workshop “Models for Risk Evaluations in Insurance”, Tropea, 2010)
Contingent claim valuation in diffusion-based financial market models without martingale measures (presented at the 34° Amases Conference, 2010)
Are asymmetrically informed agents envious?
A general closed-form spread option pricing formula (with Gianluca Fusai)
Quantized calibration in local volatility (with Giorgia Callegaro and Martino Grasselli)
Continuous-Time Public Good Contribution under Uncertainty (with Frank Riedel and Jan-Henrik Steg)
Optimal Investment with Transaction Costs and Without Semimartingales, Annals of Applied Probability, 2002.
Unmediated Communication in Games with Complete and Incomplete Information, Journal of Economic Theory, 2004
Endogenous grouth and time-to-build: the AK case, Journal of Economic Dynamics and Control, 2008
Optimal Risk sharing with Non-monotone Monetaire Functionals Finance and Stochastics, 2007