3 papers
q-fin.MF2025
When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization
Francesca Biagini, Alessandro Gnoatto, Katharina Oberpriller
We consider the pricing and hedging of counterparty credit risk and funding when there is no possibility to hedge the jump to default of either the bank or the counterparty. This r…
math.PR2025
Convergence of a Deep BSDE solver with jumps
Alessandro Gnoatto, Katharina Oberpriller, Athena Picarelli
We study the error arising in the numerical approximation of FBSDEs and related PIDEs by means of a deep learning-based method. Our results focus on decoupled FBSDEs with jumps and…
math.PR2024
Multi-dimensional fractional Brownian motion in the G-setting
Francesca Biagini, Andrea Mazzon, Katharina Oberpriller
In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index under volatility uncertainty (in short G-fBm). We study the…