8 citations · 12 across the 11 of their papers we have counts for
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math.PR2020
Generalized Feynman-Kac Formula under volatility uncertainty
Bahar Akhtari, Francesca Biagini, Andrea Mazzon +1
In this paper we provide a generalization of a Feynmac-Kac formula under volatility uncertainty in presence of a linear term in the PDE due to discounting. We state our result unde…
math.AG2020★ 1 cited
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…
q-fin.MF2020
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…