Fulvio Ortu
Cited by
Cited by
Pricing equity-linked life insurance with endogenous minimum guarantees
AR Bacinello, F Ortu
Insurance: Mathematics and Economics 12 (3), 245-257, 1993
Long-run risk and the persistence of consumption shocks
F Ortu, A Tamoni, C Tebaldi
The Review of Financial Studies 26 (11), 2876-2915, 2013
Single and periodic premiums for guaranteed equity-linked life insurance under interest-rate risk: The “Lognormal+ Vasicek” Case
AR Bacinello, F Ortu
Financial Modelling: Recent Research, 1-25, 1994
Pricing guaranteed securities-linked life insurance under interest rate risk”, Actuarial Approach for Financial Risks, 3rd AFIR International Colloquium, vol. 1, Roma, 1993, p …
A Bacinello, F Ortu
Actuarial Approach for Financial Risks 1, 35-55, 1993
Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results
AR Bacinello, F Ortu
European Journal of Operational Research 91 (2), 235-249, 1996
Arbitrage, linear programming and martingales¶ in securities markets with bid-ask spreads
F Ortu
Decisions in Economics and Finance 24, 79-105, 2001
A persistence‐based Wold‐type decomposition for stationary time series
F Ortu, F Severino, A Tamoni, C Tebaldi
Quantitative Economics 11 (1), 203-230, 2020
Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets
B Girotto, F Ortu
Journal of Mathematical Economics 27 (3), 283-294, 1997
Existence of equivalent martingale measures in finite dimensional securities markets
B Girotto, F Ortu
Journal of Economic Theory 69 (1), 262-277, 1996
A spectral estimation of tempered stable stochastic volatility models and option pricing
J Li, C Favero, F Ortu
Computational Statistics & Data Analysis 56 (11), 3645-3658, 2012
Effective securities in arbitrage-free markets with bid–ask spreads at liquidation: a linear programming characterization
M Baccara, A Battauz, F Ortu
Journal of Economic Dynamics and Control 30 (1), 55-79, 2006
Implications of return predictability for consumption dynamics and asset pricing
CA Favero, F Ortu, A Tamoni, H Yang
Journal of Business & Economic Statistics 38 (3), 527-541, 2020
Consumption And Portfolio Policies With Incomplete Markets And Short‐Sale Constraints In The Finite‐Dimensional Case: Some Remarks
B Girotto, F Ortu
Mathematical Finance 4 (1), 69-73, 1994
Envelope theorems in Banach lattices and asset pricing
A Battauz, M De Donno, F Ortu
Mathematics and Financial Economics 9, 303-323, 2015
Intertemporal asset pricing and the marginal utility of wealth
A Battauz, M De Donno, F Ortu
Journal of Mathematical Economics 47 (2), 227-244, 2011
Generalized numeraire portfolios
B Gerard, GD Santis, F Ortu
Working Paper, 2000
Arbitrage and martingales in securities markets with transaction costs: a linear programming approach
F Ortu
Technical report, Columbia University Business School, 1996
Valuation of sinking-fund bonds in the Vasicek and CIR frameworks∗ Financial support from Murst Fondo 40% on ‘Modelli di struttura a termine dei tassi d'interesse’is gratefully …
AR Bacinello, F Ortu, P Stucchi
Applied Mathematical Finance 3 (4), 269-394, 1996
Implications of return predictability across horizons for asset pricing models
CA Favero, F Ortu, A Tamoni, H Yang
CEPR Discussion Paper No. DP11645, 2016
Generic existence and robust nonexistence of numeraires in finite dimensional securities markets
B Girotto, F Ortu
Mathematical Finance 10 (4), 429-442, 2000
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