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q-fin.RM2025
Informative Risk Measures in the Banking Industry: A Proposal based on the Magnitude-Propensity Approach
Michele Bonollo, Martino Grasselli, Gianmarco Mori +1
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measu…
q-fin.MF2025
Strong Solutions and Quantization-Based Numerical Schemes for a Class of Non-Markovian Volatility Models
Martino Grasselli, Gilles Pagès
We investigate a class of non-Markovian processes that hold particular relevance in the realm of mathematical finance. This family encompasses path-dependent volatility models, inc…