Luciano Campi

Publication Activity (10 Years)

Years Active: 2006-2024
Publications (10 Years): 7

Top Topics

Trading Strategies

Nash Equilibria

Top Venues

Math. Oper. Res.

Finance Stochastics

Ann. Oper. Res.

J. Optim. Theory Appl.

Publications

Clémence Alasseur, Luciano Campi, Roxana Dumitrescu, Jia Zeng
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts. Ann. Oper. Res. 336 (1-2) (2024)
Luciano Campi, Markus Fischer
Correlated Equilibria and Mean Field Games: A Simple Model. Math. Oper. Res. 47 (3) (2022)
René Aïd, Luciano Campi, Liangchen Li, Mike Ludkovski
An Impulse-Regime Switching Game Model of Vertical Competition. Dyn. Games Appl. 11 (4) (2021)
René Aïd, Matteo Basei, Giorgia Callegaro, Luciano Campi, Tiziano Vargiolu
Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications. Math. Oper. Res. 45 (1) (2020)
Luciano Campi, Davide De Santis
Nonzero-Sum Stochastic Differential Games Between an Impulse Controller and a Stopper. J. Optim. Theory Appl. 186 (2) (2020)
Giorgia Callegaro, Luciano Campi, Valeria Giusto, Tiziano Vargiolu
Utility indifference pricing and hedging for structured contracts in energy markets. Math. Methods Oper. Res. 85 (2) (2017)
Luciano Campi, Ismail Laachir, Claude Martini
Change of numeraire in the two-marginals martingale transport problem. Finance Stochastics 21 (2) (2017)
René Aïd, Luciano Campi, Nicolas Langrené, Huyên Pham
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension. SIAM J. Financial Math. 5 (1) (2014)
Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe
On the existence of shadow prices. Finance Stochastics 17 (4) (2013)
Luciano Campi, Umut Çetin, Albina Danilova
Equilibrium model with default and dynamic insider information. Finance Stochastics 17 (3) (2013)
Luciano Campi, M. Del Vigna
Weak Insider Trading and Behavioral Finance. SIAM J. Financial Math. 3 (1) (2012)
Giuseppe Benedetti, Luciano Campi
Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment. SIAM J. Control. Optim. 50 (3) (2012)
Luciano Campi, Mark P. Owen
Multivariate utility maximization with proportional transaction costs. Finance Stochastics 15 (3) (2011)
Luciano Campi, Umut Çetin
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling. Finance Stochastics 11 (4) (2007)
Luciano Campi, Walter Schachermayer
A super-replication theorem in Kabanov's model of transaction costs. Finance Stochastics 10 (4) (2006)