CAMPI Luciano

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Topics of productions
Affiliations
  • 2012 - 2020
    Centre de recherche en économie et statistique de l'Ensae et l'Ensai
  • 2012 - 2020
    Electricité de France
  • 2013 - 2020
    London School of Economics and Political Science
  • 2019 - 2020
    University of Milan
  • 2012 - 2020
    Centre de recherches en mathématiques de la décision
  • 2013 - 2020
    Centre de recherche en économie et statistique
  • 2002 - 2014
    Laboratoire de probabilités et modèles aléatoires
  • 2012 - 2014
    Université Paris 1 Panthéon-Sorbonne
  • 2012 - 2014
    Laboratoire Analyse, Géométrie et Applications
  • 2002 - 2003
    Université Paris 6 Pierre et Marie Curie
  • 2020
    No–arbitrage commodity option pricing with market manipulation.
  • 2003
    Financial markets with infinite assets, quadratic hedging and insider trading.

  • No–arbitrage commodity option pricing with market manipulation.

    Rene AID, Giorgia CALLEGARO, Luciano CAMPI
    Mathematics and Financial Economics | 2020
    No summary available.
    More informations See the publication

  • Financial markets with infinite assets, quadratic hedging and insider trading.

    Luciano CAMPI
    2003
    This thesis consists on several applications of stochastic calculus to mathematical finance. Its structure is as follows. In the first chapter, we study the relation between market completeness and extremality of equivalent martingale measures in the case of infinitely many assets. In the second one, we find equivalent conditions to the existence and uniqueness of an equivalent martingale measure under which the price process follows some given n-dimensional distributions with n fixed. In the third, we extend to a large financial market a characterization of the mean-variance optimal hedging strategy based on a technique combining change of numéraire and artificial extension. Finally, the fourth and last chapter deals with the hedging problem of a given contingent claim in a market with asymmetric information.
    More informations
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