Preprints

• B. Acciaio, S. Hou
  Convergence of Adapted Empirical Measures on $\mathbb{R}^d$
  Submitted.

• B. Acciaio, J. Backhoff Veraguas, G. Pammer
  Quantitative Fundamental Theorem of Asset Pricing
  Under revision.

• B. Acciaio, G. Pammer
  A short proof of the characterisation of convex order using the 2-Wasserstein distance
  Preprint.

• B. Acciaio, A. Kratsios, G. Pammer
  Metric Hypertransformers are Universal Adapted Maps
  Under revision.

• B. Acciaio, R. A. Crowell, J. Cvitanić
  Revisiting persistent private information
  Preprint.

• B. Acciaio, Z. Grbac
  Consistency of traded option prices and absence of arbitrage in the presence of stochastic interest rates
  Preprint.

Published and forthcoming

• B. Acciaio, T. Xu
  Conditional COT-GAN for Video Prediction with Kernel Smoothing
  NeurIPS Workshop on Robustness in Sequence Modeling, 2022.

• B. Acciaio, K. Klemmer, D. B. Neill, T. Xu
  SPATE-GAN: Improved Generative Modeling of Dynamic Spatio-Temporal Patterns with an Autoregressive Embedding Loss
  AAAI, 2022.

• B. Acciaio, M. Beiglboeck, G. Pammer
  Weak Transport for Non-Convex Costs and Model-independence in a Fixed-Income Market
  Mathematical Finance 31/4, 1423 - 1453, 2021.

• B. Acciaio, J. Backhoff Veraguas and J. Jia
  Cournot-Nash equilibrium and optimal transport in a dynamic setting
  SIAM Journal on Control and Optimization 59/3, 2273 - 2300, 2021.

• B. Acciaio, A. Cox and M. Huesmann
  Model-independent pricing with insider information: a Skorokhod embedding approach
  Advances in Applied Probability 53/1, 30-56, 2021.

• B. Acciaio, J. Backhoff Veraguas and A. Zalashko
  Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
  Stochastic Processes and their Applications 130/5, 2918-2953, 2020.

• B. Acciaio and J. Guyon
  Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures
  SIAM Journal on Financial Mathematics 11/1, SC-1-SC-13, 2020.

• B. Acciaio, M. Munn, L.K. Wenliang, T. Xu
  COT-GAN: Generating Sequential Data via Causal Optimal Transport
  Advances in Neural Information Processing Systems 33, 8798 - 8809, 2020.

• B. Acciaio, J. Backhoff Veraguas and R. Carmona
  Extended Mean Field Control Problems: stochastic maximum principle and transport perspective
  SIAM journal on Control and Optimization 57/6, 3666-3693, 2019.

• B. Acciaio and M. Larsson
  Semi-static completeness and robust pricing by informed investors
  The Annals of Applied Probability 27/4, 2270-2304, 2017.

• B. Acciaio, M. Larsson and W. Schachermayer
  The space of outcomes of semi-static trading strategies need not be closed
  Finance and Stochastics 21/3, 741-751, 2017.

• B. Acciaio, M. Beiglböck, F. Penkner and W. Schachermayer
  A model-free version of the Fundamental Theorem of Asset Pricing and the Super-Replication Theorem
  Mathematical Finance 26/2, 233-251, 2016.

• B. Acciaio, C. Fontana and K. Kardaras
  Arbitrage of the first kind and filtration enlargements in semimartingale financial models
  Stochastic Processes and their Applications 126/6, 1761-1784, 2016.

• B. Acciaio and I. Penner
  Characterization of non-negative max-continuous local martingales vanishing at infinity
  Electronic Communications in Probability 21, 1-10, 2016.

• B. Acciaio and A. Pratelli
  On the minimization of area among chord-convex Zindler sets
  In: New trends in Shape Optimization, Springer, 1-17, 2015.

• B. Acciaio and G. Svindland
  On the Lower Arbitrage Bound of American Contingent Claims
  Mathematical Finance 24/1, 147–155, 2014.

• B. Acciaio, M. Beiglböck, F. Penkner, W. Schachermayer and J. Temme
  A trajectorial interpretation of Doob’s martingale inequalities
  The Annals of Applied Probability 23/4, 1494-1505, 2013.

• B. Acciaio and V. Goldammer
  Optimal portfolio selection via conditional convex risk measures on $L^p$
  Decisions in Economics and Finance 36/1, 1-21, 2013.

• B. Acciaio and G. Svindland
  Are law-invariant risk functions concave on distributions?
  Dependence Modeling 1/3, 54-64, 2013. DOI: 10.2478/demo-2013-0003

• B. Acciaio, H. Föllmer and I. Penner
  Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
  Finance & Stochastics 16/4, 669-709, 2012.

• B. Acciaio and I. Penner
  Dynamic convex risk measures
  In: Advanced Mathematical Methods for Finance, G. Di Nunno and B. Øksendal (eds.) Springer-Verlag Berlin Heidelberg, Ch. 1, pp. 1-34, 2011.

• B. Acciaio and S. Herzel
  Modelling the default risk in large credit portfolios
  International Journal of Risk Assessment and Management 14/6, 2010.

• B. Acciaio
  Short Note on Inf-Convolution Preserving the Fatou Property
  Annals of Finance 5, 281-287, 2009.

• B. Acciaio and G. Svindland
  Optimal risk sharing with different reference probabilities
  Insurance: Mathematics and Economics 44, 426-433, 2009. Addendum

• B. Acciaio
  Optimal risk sharing with non-monotone monetary functionals
  Finance & Stochastics 11/2, 267–289, 2007.

• B. Acciaio, P. Bordi and E. Stanghellini
  Forecasting corporate default probabilities with Survival Models in Affine Setting
  SIS Proceedings of the 2007 Intermediate Conference on Risk and Prediction.

• B. Acciaio
  Absolutely continuous optimal martingale measures
  Statistics & Decisions 23, 81–100, 2005.

• B. Acciaio and P. Pucci
  Existence of radial solutions for quasi-linear elliptic equations with singular nonlinearities
  Advanced Nonlinear Studies 3, 513–541, 2003.

Theses

• B. Acciaio
  Robust Pricing, Hedging and Risk Management
  Habilitation thesis (Habilitationsschrift), University of Vienna, 2013.

• B. Acciaio
  Two problems related to utility theory under unusual assumptions
  Ph.D. thesis, University of Perugia, 2006.

• B. Acciaio
  Esistenza di stati fondamentali per problemi ellittici quasi-lineari
  Master thesis, University of Perugia, 2002.