Alessandro Doldi

Tenure-track Researcher (RTT)
Department of Mathematics
Università degli Studi di Milano

alessandro.doldi@unimi.it

My research examines how financial risk is measured, shared and priced when several agents interact under uncertainty. I work on systemic and collective risk, cooperation, arbitrage and hedging, using probability, convex analysis and optimization. I also study dynamic models and martingale optimal transport.

Research

Recent publications

First page of Collective completeness and pricing-hedging duality II

Collective completeness and pricing-hedging duality II

A. Doldi, M. Frittelli and M. Maggis

First page of When cooperation is beneficial to all agents

When cooperation is beneficial to all agents

A. Doldi, M. Frittelli and M. Maggis

First page of Collective arbitrage and the value of cooperation

Collective arbitrage and the value of cooperation

F. Biagini, A. Doldi, J.-P. Fouque, M. Frittelli and T. Meyer-Brandis

First page of Collective completeness and pricing-hedging duality

Collective completeness and pricing-hedging duality

A. Doldi, M. Frittelli and M. Maggis

First page of On conditioning and consistency for nonlinear functionals

On conditioning and consistency for nonlinear functionals

E. Berton, A. Doldi and M. Maggis

Complete publication list