3 papers
math.ST2026
Identifying the Predictable Drift of a Semimartingale from Marginal Laws
Jakub Marecek, Enrico Biffis, Abigail Langbridge +1
A special semimartingale admits a unique decomposition into a local martingale and a predictable finite-variation part . We consider the identification of wh…
math.OC2020
Optimal portfolio choice with path dependent labor income: the infinite horizon case
Enrico Biffis, Fausto Gozzi, Cecilia Prosdocimi
We consider an infinite horizon portfolio problem with borrowing constraints, in which an agent receives labor income which adjusts to financial market shocks in a path dependent w…
q-fin.PR2015
A pricing formula for delayed claims: Appreciating the past to value the future
Enrico Biffis, Beniamin Goldys, Cecilia Prosdocimi +1
We consider the valuation of contingent claims with delayed dynamics in a Black&Scholes complete market model. We find a pricing formula that can be decomposed into terms reflectin…