2 citations · 3 across the 9 of their papers we have counts for
9 papers
When defaults cannot be hedged: 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…
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…
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…
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…
Non-linear Affine Processes with Jumps
Francesca Biagini, Georg Bollweg, Katharina Oberpriller
We present a probabilistic construction of -valued non-linear affine processes with jumps. Given a set of affine parameters, we define a family of sublinear expec…
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…
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…
Reduced-form setting under model uncertainty with non-linear affine processes
Francesca Biagini, Katharina Oberpriller
In this paper we extend the reduced-form setting under model uncertainty introduced in [5] to include intensities following an affine process under parameter uncertainty, as define…