4 citations · 7 across the 5 of their papers we have counts for
11 papers
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…
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…
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…