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Ortu, Fulvio

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Author ID: ortu.fulvio Recent zbMATH articles by "Ortu, Fulvio"
Published as: Ortu, Fulvio
Documents Indexed: 15 Publications since 1993

Publications by Year

Citations contained in zbMATH

12 Publications have been cited 61 times in 60 Documents Cited by Year
Pricing equity-linked life insurance with endogenous minimum guarantees. Zbl 0778.62093
Bacinello, Anna Rita; Ortu, Fulvio
38
1993
Arbitrage, linear programming and martingales in securities markets with bid-ask spreads. Zbl 1137.91468
Ortu, Fulvio
7
2001
A spectral estimation of tempered stable stochastic volatility models and option pricing. Zbl 1254.91725
Li, Junye; Favero, Carlo; Ortu, Fulvio
4
2012
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization. Zbl 1198.91201
Baccara, Mariagiovanna; Battauz, Anna; Ortu, Fulvio
3
2006
Valuation of sinking-fund bonds in the Vasiček and CIR frameworks. Zbl 1097.91515
Bacinello, Anna Rita; Ortu, Fulvio; Stucchi, Patrizia
2
1996
Envelope theorems in Banach lattices and asset pricing. Zbl 1321.91118
Battauz, Anna; De Donno, Marzia; Ortu, Fulvio
1
2015
Intertemporal asset pricing and the marginal utility of wealth. Zbl 1229.91129
Battauz, Anna; De Donno, Marzia; Ortu, Fulvio
1
2011
Dynamic versus one-period completeness in event-tree security markets. Zbl 1117.91025
Battauz, Anna; Ortu, Fulvio
1
2007
Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets. Zbl 0883.90014
Girotto, Bruno; Ortu, Fulvio
1
1997
Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results. Zbl 0924.90050
Bacinello, Anna Rita; Ortu, Fulvio
1
1996
Existence of equivalent martingale measures in finite dimensional securities markets. Zbl 0852.90023
Girotto, Bruno; Ortu, Fulvio
1
1996
Consumption and portfolio policies with incomplete markets and short-sale constraints in the finite-dimensional case: Some remarks. Zbl 0893.90012
Girotto, Bruno; Ortu, Fulvio
1
1994
Envelope theorems in Banach lattices and asset pricing. Zbl 1321.91118
Battauz, Anna; De Donno, Marzia; Ortu, Fulvio
1
2015
A spectral estimation of tempered stable stochastic volatility models and option pricing. Zbl 1254.91725
Li, Junye; Favero, Carlo; Ortu, Fulvio
4
2012
Intertemporal asset pricing and the marginal utility of wealth. Zbl 1229.91129
Battauz, Anna; De Donno, Marzia; Ortu, Fulvio
1
2011
Dynamic versus one-period completeness in event-tree security markets. Zbl 1117.91025
Battauz, Anna; Ortu, Fulvio
1
2007
Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization. Zbl 1198.91201
Baccara, Mariagiovanna; Battauz, Anna; Ortu, Fulvio
3
2006
Arbitrage, linear programming and martingales in securities markets with bid-ask spreads. Zbl 1137.91468
Ortu, Fulvio
7
2001
Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets. Zbl 0883.90014
Girotto, Bruno; Ortu, Fulvio
1
1997
Valuation of sinking-fund bonds in the Vasiček and CIR frameworks. Zbl 1097.91515
Bacinello, Anna Rita; Ortu, Fulvio; Stucchi, Patrizia
2
1996
Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results. Zbl 0924.90050
Bacinello, Anna Rita; Ortu, Fulvio
1
1996
Existence of equivalent martingale measures in finite dimensional securities markets. Zbl 0852.90023
Girotto, Bruno; Ortu, Fulvio
1
1996
Consumption and portfolio policies with incomplete markets and short-sale constraints in the finite-dimensional case: Some remarks. Zbl 0893.90012
Girotto, Bruno; Ortu, Fulvio
1
1994
Pricing equity-linked life insurance with endogenous minimum guarantees. Zbl 0778.62093
Bacinello, Anna Rita; Ortu, Fulvio
38
1993
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Cited by 87 Authors

7 Ortu, Fulvio
4 Battauz, Anna
3 Bacinello, Anna Rita
3 Hardy, Mary R.
3 Melnikov, Aleksander Viktorovich
3 Roux, Alet
3 Zastawniak, Tomasz
2 Araujo, Aloisio P.
2 Chateauneuf, Alain
2 Costabile, Massimo
2 De Donno, Marzia
2 Faro, José Heleno
2 Løchte Jørgensen, Peter
2 Mahayni, Antje
2 Nielsen, Jørgen Aase
2 Pinar, Mustafa Çelebi
2 Sandmann, Klaus
2 Schrager, David F.
2 Steblovskaya, Victoria R.
2 Tokarz, Krzysztof
2 Young, Virginia R.
1 Aase, Knut Kristian
1 Albeverio, Sergio A.
1 Antonelli, Fabio
1 Baccara, Mariagiovanna
1 Bae, Taehan
1 Bauer, Daniel J.
1 Bilodeau, Claire
1 Boyle, Phelim P.
1 Branger, Nicole
1 Camcı, Ahmet
1 Chen, An
1 Chong, Wing Fung
1 Coleman, Thomas F.
1 De Angelis, Paolo
1 Dias, José Carlos
1 Florio, Silvia
1 Forsyth, Peter A.
1 Gan, Guojun
1 Gaudenzi, Marcellino
1 Girotto, Bruno
1 Gong, Xiaoli
1 Grosen, Anders
1 He, Xuming
1 Josephy, Norman H.
1 Kimball, Lucia
1 Kling, Alexander
1 Klusik, Przemysław
1 Ko, Bangwon
1 Kotchoni, Rachidi
1 Li, Yuying
1 Lin, X. Sheldon
1 Mamon, Rogemar S.
1 Mancini, Carlo
1 Martire, Antonio Luciano
1 Massabó, Ivar
1 Møller, Christian Max
1 Moreno, Manuel Crescencio
1 Norberg, Ragnar
1 Nunes, João Pedro Vidal
1 Orozco-Garcia, Carolina
1 Palmowski, Zbigniew
1 Patron, Maria-Cristina
1 Pelsser, Antoon A. J.
1 Persson, Svein-Arne
1 Rodrigo, Marianito R.
1 Romaniuk, Yulia
1 Romanyuk, Yuliya
1 Runggaldier, Wolfgang J.
1 Ruß, Jochen
1 Russo, Emilio
1 Schlogl, Erik
1 Schmeiser, Hato
1 Schneider, Judith C.
1 Schoenmakers, John G. M.
1 Serrano, Pedro
1 Steffensen, Mogens
1 Stute, Winfried
1 Tong, Shuo
1 Vetzal, Kenneth R.
1 Villarroel, Javier
1 Wallbaum, Kai
1 Windcliff, Heath
1 Zanette, Antonino
1 Zhang, Shibin
1 Zhuang, Xintian
1 Ziehaus, Christina

Citations by Year