19 citations · 53 across the 22 of their papers we have counts for
4 papers · 1 filter
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…