3 papers
q-fin.PM2024
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
Katia Colaneri, Daniele Mancinelli, Immacolata Oliva
In this paper, we investigate an optimal investment problem associated with proportional portfolio insurance (PPI) strategies in the presence of jumps in the underlying dynamics. P…
q-fin.PR2019
A unified approach to xVA with CSA discounting and initial margin
Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva
In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults…
math.PR2016
A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
Francesco Cordoni, Luca Di Persio, Immacolata Oliva
We consider a stochastic functional delay differential equation, namely an equation whose evolution depends on its past history as well as on its present state, driven by a pure di…