7 citations · 14 across the 8 of their papers we have counts for
15 papers
A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems
Matteo Burzoni, Alekos Cecchin, Andrea Cosso
We provide a new version of the Tikhonov theorem for both two-scale forward systems and also two-scale forward-backward systems of stochastic differential equations, which also cov…
Risk Sharing with Deep Neural Networks
Matteo Burzoni, Alessandro Doldi, Enea Monzio Compagnoni
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infima…
Mean field games with absorption and common noise with a model of bank run
Matteo Burzoni, Luciano Campi
We consider a mean field game describing the limit of a stochastic differential game of -players whose state dynamics are subject to idiosyncratic and common noise and that can…
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…
Adjusted Expected Shortfall
Matteo Burzoni, Cosimo Munari, Ruodu Wang
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with diffe…
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…
Robust martingale selection problem and its connections to the no-arbitrage theory
Matteo Burzoni, Mario Sikic
We analyze the martingale selection problem of Rokhlin (2006) in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to th…
Viability and Arbitrage under Knightian Uncertainty
Matteo Burzoni, Frank Riedel, H. Mete Soner
We reconsider the microeconomic foundations of financial economics. Motivated by the importance of Knightian Uncertainty in markets, we present a model that does not carry any prob…
Pointwise Arbitrage Pricing Theory in Discrete Time
Matteo Burzoni, Marco Frittelli, Zhaoxu Hou +2
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded a…
On the properties of the Lambda value at risk: robustness, elicitability and consistency
Matteo Burzoni, Ilaria Peri, Chiara Maria Ruffo
Recently, financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estima…
Arbitrage and Hedging in model-independent markets with frictions
Matteo Burzoni
We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider…
Model-free Superhedging Duality
Matteo Burzoni, Marco Frittelli, Marco Maggis
In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the i…
Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty
Matteo Burzoni, Marco Frittelli, Marco Maggis
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a cl…