Details about Marzia De Donno

Access statistics for papers by Marzia De Donno.

Last updated 2025-01-07. Update your information in the RePEc Author Service.

Short-id: pde967

Working Papers

2025

1. On consistency of optimal portfolio choice for state-dependent exponential utilities
   Papers, arXiv.org

2019

2. Double continuation regions for American and Swing options with negative discount rate in L\'evy models
   Papers, arXiv.org View citations (3)
   See also Journal Article Double continuation regions for American and Swing options with negative discount rate in Lévy models, Mathematical Finance, Wiley Blackwell (2020) View citations (9) (2020)

2013

3. Real Options and American Derivatives: the Double Continuation Region
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (8)
   See also Journal Article Real Options and American Derivatives: The Double Continuation Region, Management Science, INFORMS (2015) View citations (13) (2015)

2011

4. Envelope theorems in Banach lattices
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)

2006

5. A theory of stochastic integration for bond markets
   Papers, arXiv.org View citations (10)

Journal Articles

2024

1. Preferences on discounting under time risk
   Journal of Mathematical Economics, 2024, 113, (C)

2023

2. On representation of preferences à la Debreu
   International Journal of Data Science, 2023, 8, (3), 175-194

2022

3. On the exercise of American quanto options
   The North American Journal of Economics and Finance, 2022, 62, (C) View citations (1)
4. On the relationship between comparisons of risk aversion of different orders
   Journal of Mathematical Economics, 2022, 102, (C) View citations (1)
5. Optimal exercise of American put options near maturity: A new economic perspective
   Review of Derivatives Research, 2022, 25, (1), 23-46 View citations (1)

2020

6. Changes in multiplicative risks and optimal portfolio choice: new interpretations and results
   Decisions in Economics and Finance, 2020, 43, (1), 251-267 View citations (2)
7. Double continuation regions for American and Swing options with negative discount rate in Lévy models
   Mathematical Finance, 2020, 30, (1), 196-227 View citations (9)
   See also Working Paper Double continuation regions for American and Swing options with negative discount rate in L\'evy models, Papers (2019) View citations (3) (2019)
8. Some conditions for the equivalence between risk aversion, prudence and temperance
   Theory and Decision, 2020, 89, (1), 39-60 View citations (3)

2019

9. Risk estimation for short-term financial data through pooling of stable fits
   Financial Markets and Portfolio Management, 2019, 33, (4), 447-470 View citations (1)

2017

10. Reaching nirvana with a defaultable asset?
    Decisions in Economics and Finance, 2017, 40, (1), 31-52 View citations (4)

2015

11. Kim and Omberg Revisited: The Duality Approach
    Journal of Probability and Statistics, 2015, 2015, 1-6 View citations (4)
12. New results on precautionary saving under two risks
    Economics Letters, 2015, 130, (C), 17-20 View citations (6)
13. Real Options and American Derivatives: The Double Continuation Region
    Management Science, 2015, 61, (5), 1094-1107 View citations (13)
    See also Working Paper Real Options and American Derivatives: the Double Continuation Region, Working Papers (2013) View citations (8) (2013)

2012

14. Real options with a double continuation region
    Quantitative Finance, 2012, 12, (3), 465-475 View citations (14)

2011

15. Intertemporal asset pricing and the marginal utility of wealth
    Journal of Mathematical Economics, 2011, 47, (2), 227-244 View citations (1)

2005

16. Super-replication and utility maximization in large financial markets
    Stochastic Processes and their Applications, 2005, 115, (12), 2006-2022 View citations (17)

2004

17. A note on completeness in large financial markets
    Mathematical Finance, 2004, 14, (2), 295-315 View citations (6)
18. On the use of measure-valued strategies in bond markets
    Finance and Stochastics, 2004, 8, (1), 87-109 View citations (6)

Chapters

2004

1. The Term Structure of Interest Rates as a Random Field: a Stochastic Integration Approach
   Chapter 2 in Stochastic Processes And Applications To Mathematical Finance, 2004, pp 27-52 View citations (2)