Some recent downloadable papers:
- Mulinacci S.,
Pratelli M.: Functional convergence of Snell envelopes: applcations to American Options approximations. Finance and Stochastics vol 3 (3),
311-327, 1998. pdf
- Pratelli M:
An alternative proof of a theorem of Aldous concerning convergence in distributions for martingales. Lecture Notes in Math. Vol. 1686,
334-338, 1999. pdf
- Biagini F., Pratelli M.: Local Risk-minimization and numéraire. Journal of Applied Probability, vol. 36 (4),
1999. pdf
- Biagini F., Guasoni P., Pratelli M.: Mean-variance hedging for Stochastic Volatility models. Mathematical Finance, vol 10 (2),
109-123, 2000. pdf
- Pratelli M.:
Alcuni problemi matematici legati alla gestione ottima di un portafoglio. Bollettino U.M.I. Sez. B. vol 7 (8),
87-109, 2004. pdf
- De Donno M.,
Pratelli M.: On the use of measure-valued strategies in Bond Markets. Finance and Stochastics vol 8 (1),
87-109, 2004. pdf
- Battauz A., Pratelli M.: Optimal Stopping and American Options with discrete dividends and exogenous risk. Insurance: Mathematics and Economics vol 35 (2),
255-265, 2004. pdf
- De Donno M., Guasoni P., Pratelli M.: Super-replication and utility maximization in Large Financial Markets. Stochastic Proc. and Appl. , vol 115 (12),
2006-2022, 2005. pdf
- Pratelli M.:
A Minimax theorem without compactness Hypothesis. Mediterranean Journal of Mathematics vol 2 (1),
103-112, 2005. pdf
- M. De
Donno,
M. Pratelli: A theory of stochastic
integration for bond markets, Annals of Applied Probability, vol 15 (4),
2773-2791, 2005. pdf
- De Donno M., Pratelli M.: Stochastic Integration with respect to a sequence of Semimartingales. Lecture Notes in Mathematics vol 1874,
119-135, 2006. pdf
- De Donno M., Pratelli M.: On a lemma by Ansel and Stricker. Lecture Notes in Mathematics vol. 1899,
411-414, 2007. pdf
- Pratelli M.:
Generalizations of Merton Mutual-fund theorem in infinite-dimensional financial models. Seminar on Stochastic Analysis, Random Fields and Application V,
273-285, 2007. pdf
- Pratelli M.:
A remark on the 1/H-variation of the Fractional Brownian Motion. Lecture Notes in Mathematics col 2006,
215-219, (2011). pdf
- Pratelli M., Trevisan D:
Functions of Bounded Variation on the classical Wiener space and an extended Ocone-Karatzas formula. Stochastic Proc. and Appl., vol. 122 (6)
2383-2399, (2012). pdf
- Musta E., Pratelli M., Trevisan D:
Functional Cramer-Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes. Journal of Multivariate Analysis, vol. 154
135-146, (2017). pdf