3 papers
q-fin.MF2026
Collective completeness and pricing-hedging duality II
Alessandro Doldi, Marco Frittelli, Marco Maggis
This paper complements and extends Doldi, Frittelli and Maggis, Collective completeness and pricing-hedging duality, Math. Finan. Econ. 19, 757-784 (2025), by studying collective p…
q-fin.MF2025
Collective completeness and pricing hedging duality
Alessandro Doldi, Marco Frittelli, Marco Maggis
This paper builds on "Collective Arbitrage and the Value of Cooperation" by Biagini et al. (2025, forthcoming in "Finance and Stochastics"), which introduced in discrete time the n…
q-fin.MF2024
On conditioning and consistency for nonlinear functionals
Edoardo Berton, Alessandro Doldi, Marco Maggis
We consider a family of conditional nonlinear expectations defined on the space of bounded random variables and indexed by the class of all the sub-sigma-algebras of a given underl…