2 papers
math.PR2022
Non-linear Affine Processes with Jumps
Francesca Biagini, Georg Bollweg, Katharina Oberpriller
We present a probabilistic construction of -valued non-linear affine processes with jumps. Given a set of affine parameters, we define a family of sublinear expec…
q-fin.MF2016
Liquidity induced asset bubbles via flows of ELMMs
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis
We consider a constructive model for asset price bubbles, where the market price is endogenously determined by the trading activity on the market and the fundamental price $W^F…