FULVIO ORTU

Nato l'11 agosto 1960. Laureato in Economia e commercio presso l'Università di Trieste. PhD in Economics presso la University of Chicago. 

Theory of Finance: Asset Pricing and Stochastic Discount Factors. Martingale Approach to Pricing Contingent Claims. Term Structure of Interest Rates. Valuation of Corporate Bonds. Insurance: Pricing and Investment Policies for Non-Traditional Life Insurance Products.

“Envelope Theorems in Banach Lattices and Asset Pricing”, with A. Battauz and M. De Donno, Mathematics and Financial Economics, Vol.9, No. 4, 2015

“Long-Run Risk and the Persistence of Consumption Shocks”, with A Tamoni and C. Tebaldi The Review of Financial Studies Vol. 26, No. 11, 2013

“A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing”, with C. Favero and Junye Li, Computational Statistics and Data Analysis, Vol. 56, No. 11, 2012

“Intertemporal Asset Pricing and the Marginal Utility of Wealth”, with A. Battuz and M. De Donno, Journal of Mathematical Economics, Vol. 47, No. 2, 2011

Battauz A. and  Ortu F. (2007), "Dynamic versus one-period completeness in event-tree security markets", Economic Theory, 30, 191-193;

Baccara M.,  Battauz A. and  Ortu F.(2006), "Effective securities in arbitrage-free markets with bid-ask spreads: a linear programming characterization", Journal of Economic Dynamics and Control, 30, 55-­79.

"Arbitrage, Linear Programming and Martingales in Securities Markets Bid-Ask Spreads", in Decisions in Economics and Finance-A Journal of Applied Mathematics, vol. 24, n. 2, 2001;

"Generic Existence and Robust Non-Existence of Numeraires in Finite-Dimensional Securities Markets" (con B. Girotto), in Mathematical Finance, vol. 10, n. 4, 2000;

"Arbitrage Valuation and Bounds for Sinking-Fund Bonds with Multiple Sinking-Fund Dates" (con A.R. Bacinello), in Applied Mathematical Finance, vol. 6, n. 4, 1999;

"Numeraires, Equivalent Martingale Measures and Completeness in Finite Dimensional Securities Markets" (con B. Girotto), in Journal of Mathematical Economics, vol. 27, n. 3, 1997;

"Valuation of Sinking-Fund Bonds in the Vasicek and CIR Frameworks" (con A.R. Bacinello e P. Stucchi), in Applied Mathematical Finance, vol. 3, n. 4, 1996;

"Existence of Equivalent Martingale Measures in Finite Dimensional Securities Markets" (con B. Girotto), in Journal of Economic Theory, vol. 69, n. 1, 1996;

"Fixed Income Linked Life Insurance Policies with Minimum Guarantees: Pricing Models and Numerical Results" (con A.R. Bacinello), in European Journal of Operational Research, vol. 91, n. 2, 1996;

"Consumption and Portfolio Policies with Incomplete Markets and Short-Sales Constraints in the Finite Dimensional Case: Some Remarks" (con B. Girotto), in Mathematical Finance, vol. 4, n. 1, 1994;

"Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: the 'Lognormal+Vasicek' case" (con A.R. Bacinello), in L. Peccati and M. Viren (eds.), Financial Modeling, Physica-Verlag Publishers, 1994;

"Pricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees" (con A.R. Bacinello), in Insurance: Mathematics and Economics, vol. 12, n. 3, 1993;

"Pricing Guaranteed Securities-Linked Life Insurance under Interest-Rate Risk" (con A.R. Bacinello), in Proceedings of the 3rd AFIR International Colloquium, Rome,1993;

"Viability and Completeness of Financial Markets in the Pricing of Options" (in italiano) (con F. Pressacco), in Essays in Honor of Luciano Daboni, LINT Publ., Trieste, 1990;

"Financial Markets Equilibrium and the Modigliani-Miller Theorem under Default-Risk: Some Remarks" (in italiano) (con B. Girotto), in Proceedings of the 9th AMASES Congress, Levico Terme, Italy, 1985.