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.MF2026
When cooperation is beneficial to all agents
Alessandro Doldi, Marco Frittelli, Marco Maggis
Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality. We derive a necessary and sufficient condition…
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…