8 citations · 12 across the 11 of their papers we have counts for
8 papers · 1 filter
Optimal stopping and divestment timing under scenario ambiguity and learning
Andrea Mazzon, Peter Tankov
Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic ag…
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…
Detecting asset price bubbles using deep learning
Francesca Biagini, Lukas Gonon, Andrea Mazzon +1
In this paper we employ deep learning techniques to detect financial asset bubbles by using observed call option prices. The proposed algorithm is widely applicable and model-indep…
Reduced-form framework for multiple ordered default times under model uncertainty
Francesca Biagini, Andrea Mazzon, Katharina Oberpriller
In this paper we introduce a sublinear conditional operator with respect to a family of possibly nondominated probability measures in presence of multiple ordered default times. In…
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…
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…
Liquidity induced asset bubbles via flows of ELMMs
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis
We consider a constructive model for asset price bubbles, where the market price is endogenously determined by the trading activity on the market and the fundamental price $W^F…