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