4 papers
Robust market-adjusted systemic risk measures
Matteo Burzoni, Marco Frittelli, Federico Zorzi
In this note we consider a system of financial institutions and study systemic risk measures in the presence of a financial market and in a robust setting, namely, where no referen…
Viscosity solutions for controlled McKean--Vlasov jump-diffusions
Matteo Burzoni, Vincenzo Ignazio, A. Max Reppen +1
We study a class of non linear integro-differential equations on the Wasserstein space related to the optimal control of McKean--Vlasov jump-diffusions. We develop an intrinsic not…
Arbitrage-free modeling under Knightian Uncertainty
Matteo Burzoni, Marco Maggis
We study the Fundamental Theorem of Asset Pricing for a general financial market under Knightian Uncertainty. We adopt a functional analytic approach which require neither specific…
On the quasi-sure superhedging duality with frictions
Erhan Bayraktar, Matteo Burzoni
We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modeled through solvency cones as…