2013

Articles

• Campi, Luciano ; Jouini, Elyès ; Porte, Vincent . Efficient portfolios in financial markets with proportional transaction costs. Mathematics and Financial Economics. Volume 7. n° 3. 2013. pages 281-304. Springer. DOI http://dx.doi.org/10.1007/s11579-013-0099-4.

2012

Articles

• Campi, Luciano ; Cetin, Umut ; Danilova, Albina . Equilibrium model with default and insider's dynamic information. Finance and Stochastics. 2012. pages 18. Springer. DOI http://dx.doi.org/10.1007/s00780-012-0196-x.
• Campi, Luciano ; Del Vigna, Matteo . Weak Insider Trading and Behavioral Finance. SIAM Journal on Financial Mathematics. Volume 3. n° 1. 2012. pages 242-279. SIAM.
• Campi, Luciano ; Benedetti, Giuseppe . Multivariate utility maximization with proportional transaction costs and random endowment. SIAM Journal on Control and Optimization. Volume 50. n° 3. 2012. pages 1283-1308. SIAM. DOI http://dx.doi.org/10.1137/110831064.
• Aïd, René ; Campi, Luciano ; Langrené, Nicolas . A structural risk-neutral model for pricing and hedging electricity derivatives. Mathematical Finance. 2012. pages 41. Wiley. DOI http://dx.doi.org/10.1111/j.1467-9965.2011.00507.x.
• Muhle-Karbe, Johannes ; Kallsen, Jan ; Campi, Luciano ; Benedetti, Giuseppe . On the existence of shadow prices. Finance and Stochastics. 2012. Springer. DOI http://dx.doi.org/10.1007/s00780-012-0201-4.

Chapitres d'ouvrage

• Campi, Luciano . A note on market completeness with American put options. . The Musiela Festschrift. Berlin. 2012.

2011

Articles

• Campi, Luciano ; Cetin, Umut ; Danilova, Albina . Dynamic Markov bridges motivated by models of insider trading. Stochastic Processes and their Applications. Volume 121. n° 3. 2011. pages 534-567. Elsevier. DOI http://dx.doi.org/10.1016/j.spa.2010.11.004.
• Owen, Mark ; Campi, Luciano . Multivariate Utility Maximization with Proportional Transaction Costs. Finance and Stochastics. Volume 15. n° 3. 2011. pages 461-499. Springer. DOI http://dx.doi.org/10.1007/s00780-010-0125-9.

2010

Documents de travail

• Danilova, Albina ; Cetin, Umut ; Campi, Luciano . Explicit construction of a dynamic Bessel bridge of dimension 3. Université Paris Dauphine . 2010 .

2009

Articles

• Campi, Luciano ; Polbennikov, Simon ; Sbuelz, Alessandro . Systematic equity-based credit risk: A CEV model with jump to default. Journal of Economic Dynamics and Control. Volume 33. n° 1. 2009. pages 93-108. Elsevier. DOI http://dx.doi.org/10.1016/j.jedc.2008.03.011.
• Campi, Luciano ; Aïd, René ; Touzi, Nizar ; Nguyen Huu, Adrien . A Structural Risk-Neutral Model of Electricity Prices. International Journal of Theoretical and Applied Finance. Volume 12. n° 7. 2009. pages 925-947. World Scientific. DOI http://dx.doi.org/10.1142/S021902490900552X.

Communications / Conférences

• Campi, Luciano ; Cetin, Umut ; Danilova, Albina . Dynamic Markov Bridges Motivated by Models of Insider Trading. Workshop on Filtering in Mathematical Finance. Chemnitz. Allemagne. 2009.
• Campi, Luciano . Markovian Bridges with Applications to Insider's Trading. Rencontres probabilistes à l'occasion du 60eme anniversaire de Marc Yor. Paris. France. 2009.
• Campi, Luciano . Utility Maximisation with Proportional Transaction Costs. Istanbul Workshop on Mathematical Finance. Istanbul. Turquie. 2009.

2007

Articles

• Campi, Luciano ; Cetin, Umut . Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling. Finance and Stochastics. Volume 11. n° 4. 2007. pages 591-602. Springer. DOI http://dx.doi.org/10.1007/s00780-007-0038-4.

2006

Articles

• Campi, Luciano ; Schachermayer, Walter . A super-replication theorem in Kabanov’s model of transaction costs. Finance and Stochastics. Volume 10. n° 4. 2006. pages 579-596. Springer. DOI http://dx.doi.org/10.1007/s00780-006-0022-4.