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Giulia Di Nunno · Study

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Giulia Di Nunno

10 works· latest 2023· 2 institutionscluster: provisionalORCID 0000-0003-4412-5588

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Citations1,013

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Most cited in this library

Malliavin Calculus for Lévy Processes with Applications to Finance2008 · 459 citations
White noise analysis for Lévy processes2003 · 107 citations
Stochastic Analysis and Applications2007 · 91 citations
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes2003 · 87 citations
Optimal portfolio for an insider in a market driven by Lévy processes§2006 · 78 citations

Works

10 shown

From Constant to Rough: A Survey of Continuous Volatility Modeling

Mathematics·2023·4 authors·Open access

24citations

Stochastic systems with memory and jumps

Journal of Differential Equations·2018·5 authors·Open access

32citations

Robustness of option prices and their deltas in markets modelled by jump-diffusions

Communications on Stochastic Analysis·2011·3 authors·Open access

24citations

Malliavin Calculus for Lévy Processes with Applications to Finance

Springer eBooks·2008·3 authors·book

459citations

Stochastic Analysis and Applications

Springer eBooks·2007·5 authors·book

91citations

Optimal portfolio for an insider in a market driven by Lévy processes§

Quantitative Finance·2006·4 authors·Open access

78citations

MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES

Infinite Dimensional Analysis Quantum Probability and Related Topics·2005·4 authors·Open access

77citations

White noise analysis for Lévy processes

Journal of Functional Analysis·2003·3 authors·Open access

107citations

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes

Mathematical Finance·2003·5 authors·Open access

87citations

Stochastic integral representations, stochastic derivatives and minimal variance hedging

Stochastics and stochastics reports·2002·1 author

34citations