Giulia Di Nunno

Giulia Di Nunno
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Adjunct Professor Giulia Di Nunno

E-mail
Giulia.Nunno@nhh.no
Department
Business and Management Science

Selected publications

Author(s) Title Publisher
Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton Option Pricing in Sandwiched Volterra Volatility Model SIAM Journal on Financial Mathematics Volume 15 (3); page 824 - 882; 2024
Di Nunno, Giulia; Yurchenko-Tytarenko, Anton Power law in Sandwiched Volterra Volatility model Modern Stochastics: Theory and Applications (MSTA) Volume 11 (2); page 169 - 194; 2024
Di Nunno, Giulia; Gianin, Emanuela Rosazza Fully Dynamic Risk Measures: Horizon Risk, Time-Consistency, and Relations with BSDEs and BSVIEs SIAM Journal on Financial Mathematics Volume 15 (2); page 399 - 435; 2024
Di Nunno, Giulia; Kubilius, Kestutis; Mishura, Yuliya; Yurchenko-Tytarenko, Anton From Constant to Rough: A Survey of Continuous Volatility Modeling Mathematics Volume 11 (19); 2023
Di Nunno, Giulia; Ortiz-Latorre, Salvador; Petersson, Andreas Erik SPDE bridges with observation noise and their spatial approximation Stochastic Processes and their Applications Volume 158; page 170 - 207; 2023
Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton Sandwiched SDEs with unbounded drift driven by Hölder noises Advances in Applied Probability Volume 55 (3); page 927 - 964; 2023
Di Nunno, Giulia; Giordano, Michele Stochastic Volterra equations with time-changed Lévy noise and maximum principles Annals of Operations Research (23 pages); 2023
Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises Numerical Algorithms (33 pages); 2022
Benth, Fred Espen; Nunno, Giulia Di; Schroers, Dennis A topological proof of Sklar's theorem in arbitrary dimensions Dependence Modeling Volume 10 (1); page 22 - 28; 2022
Benth, Fred Espen; Di Nunno, Giulia; Simonsen, Iben Cathrine Sensitivity analysis in the infinite dimensional Heston model Infinite Dimensional Analysis Quantum Probability and Related Topics Volume 24 (2) (29 pages); 2021
Benth, Fred Espen; Di Nunno, Giulia; Schroers, Dennis Copula measures and Sklar's theorem in arbitrary dimensions Scandinavian Journal of Statistics (40 pages); 2021
Bion-Nadal, Jocelyne; Di Nunno, Giulia Fully-dynamic risk-indifference prices and no-good-deal bounds SIAM Journal on Financial Mathematics Volume 11 (2); page 620 - 658; 2020
Banos, David; Cordoni, Francesco; Di Nunno, Giulia; Di Persio, Luca; Røse, Elin Engen Stochastic systems with memory and jumps Journal of Differential Equations Volume 266 (9); page 5772 - 5820; 2019
Di Nunno, Giulia; Fiacco, Andrea; Karlsen, Erik Hove On the approximation of Lévy driven Volterra processes and their integrals Journal of Mathematical Analysis and Applications Volume 476 (1); page 120 - 148; 2019
Corcuera, José Manuel; Di Nunno, Giulia; Fajardo, Jose Kyle equilibrium under random price pressure Decisions in Economics and Finance (DAF) Volume 42 (1); page 77 - 101; 2019
Baños, David; Di Nunno, Giulia; Haferkorn, Hannes Hagen; Proske, Frank Norbert Stochastic functional differential equations and sensitivity to their initial path Computation and Combinatorics in Dynamics, Stochastics and Control; page 37 - 70; 2018
Corcuera, José Manuel; Di Nunno, Giulia Kyle-Back's model with a random horizon International Journal of Theoretical and Applied Finance Volume 21 (2); 2018
Di Nunno, Giulia; Haferkorn, Hannes Hagen A maximum principle for mean-field SDEs with time change Applied Mathematics and Optimization Volume 76 (1); page 137 - 176; 2017
Bion-Nadal, Jocelyne; Di Nunno, Giulia Representation of convex operators and their static and dynamic sandwich extensions Journal of Convex Analysis Volume 24 (4); page 1375 - 1405; 2017
Bion-Nadal, Jocelyne; Di Nunno, Giulia Fully-dynamic risk-indifference prices and no-good-deal bounds arXiv.org; 2017
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