9 citations · 14 across the 16 of their papers we have counts for
5 papers · 1 filter
SIG-BSDE for Dynamic Risk Measures
Nacira Agram, Jan Rems, Emanuela Rosazza Gianin
In this paper, we consider dynamic risk measures induced by backward stochastic differential equations (BSDEs). We discuss different examples that come up in the literature, includ…
Geometric BSDEs
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
We introduce Geometric Backward Stochastic Differential Equations (GBSDEs) and two-driver BSDEs, which arise naturally in the geometric dynamics of dynamic return risk measures and…
Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
Emanuela Rosazza Gianin, Marco Zullino
In the context of risk measures, the capital allocation problem is widely studied in the literature where different approaches have been developed, also in connection with cooperat…
Fully-dynamic risk measures: horizon risk, time-consistency, and relations with BSDEs and BSVIEs
Giulia Di Nunno, Emanuela Rosazza Gianin
In a dynamic framework, we identify a new concept associated with the risk of assessing the financial exposure by a measure that is not adequate to the actual time horizon of the p…
Dual Representation of Minimal Supersolutions of Convex BSDEs
Samuel Drapeau, Michael Kupper, Emanuela Rosazza Gianin +1
We give a dual representation of minimal supersolutions of BSDEs with non-bounded, but integrable terminal conditions and under weak requirements on the generator which is allowed…