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