19 citations · 53 across the 22 of their papers we have counts for
29 papers
When defaults cannot be hedged: xVA calculations via local risk-minimization
Francesca Biagini, Alessandro Gnoatto, Katharina Oberpriller
We consider the pricing and hedging of counterparty credit risk and funding when there is no possibility to hedge the jump to default of either the bank or the counterparty. This r…
Multi-dimensional fractional Brownian motion in the G-setting
Francesca Biagini, Andrea Mazzon, Katharina Oberpriller
In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index under volatility uncertainty (in short G-fBm). We study the…
Supplement Liquidity based modeling of asset price bubbles via random matching
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis +1
This is a supplement to the paper "Liquidity based modeling of asset price bubbles via random matching". The supplement is organized as follows. First, we prove Theorem 3.13 in [1]…
Collective Arbitrage and the Value of Cooperation
Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque +2
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to coope…
Liquidity based modeling of asset price bubbles via random matching
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis +1
In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the…
Detecting asset price bubbles using deep learning
Francesca Biagini, Lukas Gonon, Andrea Mazzon +1
In this paper we employ deep learning techniques to detect financial asset bubbles by using observed call option prices. The proposed algorithm is widely applicable and model-indep…
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…
Reduced-form framework for multiple ordered default times under model uncertainty
Francesca Biagini, Andrea Mazzon, Katharina Oberpriller
In this paper we introduce a sublinear conditional operator with respect to a family of possibly nondominated probability measures in presence of multiple ordered default times. In…
Neural network approximation for superhedging prices
Francesca Biagini, Lukas Gonon, Thomas Reitsam
This article examines neural network-based approximations for the superhedging price process of a contingent claim in a discrete time market model. First we prove that the -quan…
A dynamic version of the super-replication theorem under proportional transaction costs
Francesca Biagini, Thomas Reitsam
We extend the super-replication theorems of [27] in a dynamic setting, both in the numéraire-based as well as in the numéraire-free setting. For this purpose, we generalize the not…
Generalized Feynman-Kac Formula under volatility uncertainty
Bahar Akhtari, Francesca Biagini, Andrea Mazzon +1
In this paper we provide a generalization of a Feynmac-Kac formula under volatility uncertainty in presence of a linear term in the PDE due to discounting. We state our result unde…
Reduced-form setting under model uncertainty with non-linear affine processes
Francesca Biagini, Katharina Oberpriller
In this paper we extend the reduced-form setting under model uncertainty introduced in [5] to include intensities following an affine process under parameter uncertainty, as define…
Optional projection under equivalent local martingale measures
Francesca Biagini, Andrea Mazzon, Ari-Pekka Perkkiö
Motivation for this paper is to understand the impact of information on asset price bubbles and perceived arbitrage opportunities. This boils down to study optional projections of…
Asset Price Bubbles in market models with proportional transaction costs
Francesca Biagini, Thomas Reitsam
We study asset price bubbles in market models with proportional transaction costs and finite time horizon in the setting of [49]. By following [28], we define the…
Systemic Optimal Risk Transfer Equilibrium
Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque +2
We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann's classical notion of an Equilibrium Risk Exchange. We provide…
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…
Financial asset bubbles in banking networks
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis
We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the c…
On Fairness of Systemic Risk Measures
Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli +1
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk…
Extended Reduced-Form Framework for Non-Life Insurance
Francesca Biagini, Yinglin Zhang
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life i…
Reduced-form framework under model uncertainty
Francesca Biagini, Yinglin Zhang
In this paper we introduce a sublinear conditional expectation with respect to a family of possibly nondominated probability measures on a progressively enlarged filtration. In thi…
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…
Robust Financial Bubbles
Francesca Biagini, Jacopo Mancin
We study the concept of financial bubble in a market model endowed with a set of probability measures, typically mutually singular to each other. In this setting we introduce the n…
Polynomial Diffusion Models for Life Insurance Liabilities
Francesca Biagini, Yinglin Zhang
In this paper we study the pricing and hedging problem of a portfolio of life insurance products under the benchmark approach, where the reference market is modelled as driven by a…
Robust Mean-Variance Hedging via G-Expectation
Francesca Biagini, Jacopo Mancin, Thilo Meyer Brandis
In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related pr…