1 citations · 2 across the 3 of their papers we have counts for
6 papers
Supplement Liquidity based modeling of asset price bubbles via random matching
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis +1
This is a supplement to the paper "Liquidity based modeling of asset price bubbles via random matching". The supplement is organized as follows. First, we prove Theorem 3.13 in [1]…
Liquidity based modeling of asset price bubbles via random matching
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis +1
In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the…
On a geometric method for the identifiability of forms
Andrea Mazzon
We introduce a new criterion which tests if a given decomposition of a given ternary form of even degree is unique. The criterion is based on the analysis of the Hilbert functi…
Optional projection under equivalent local martingale measures
Francesca Biagini, Andrea Mazzon, Ari-Pekka Perkkiö
Motivation for this paper is to understand the impact of information on asset price bubbles and perceived arbitrage opportunities. This boils down to study optional projections of…
Identifiability for a class of symmetric tensors
Elena Angelini, Luca Chiantini, Andrea Mazzon
We use methods of algebraic geometry to find new, effective methods for detecting the identifiability of symmetric tensors. In particular, for ternary symmetric tensors T of degree…
Financial asset bubbles in banking networks
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis
We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the c…