8 citations · 53 across the 24 of their papers we have counts for
33 papers
Universality and Approximation Rates of Graph Neural Networks with Random Features
Lukas Gonon, Thilo Meyer-Brandis, Niklas Weber
We investigate message-passing graph neural networks with random node features. Random node features are known to enhance the expressiveness of graph neural networks (GNNs) both th…
On McKean-Vlasov SDEs with polynomial drifts for SIS epidemic models
Alexander Kalinin, Thilo Meyer-Brandis, Annika Steibel
We present a tractable class of one-dimensional McKean-Vlasov equations that allow for unique strong solutions and extend the dynamics of various SIS epidemic models that are well-…
Regularity of Solutions of Mean-Field -SDEs
Karl-Wilhelm Georg Bollweg, Thilo Meyer-Brandis
We study regularity properties of the unique solution of a mean-field -SDE. More precisely, we consider a mean-field -SDE with square-integrable random initial condition and…
Computing Systemic Risk Measures with Graph Neural Networks
Lukas Gonon, Thilo Meyer-Brandis, Niklas Weber
This paper investigates systemic risk measures for stochastic financial networks of explicitly modelled bilateral liabilities. We extend the notion of systemic risk measures from B…
Mean-Field SDEs driven by -Brownian Motion
Karl-Wilhelm Georg Bollweg, Thilo Meyer-Brandis
We extend the notion of mean-field SDEs to SDEs driven by -Brownian motion. More precisely, we consider a -SDE where the coefficients depend not only on time and the current…
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…
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs in arbitrary moments
Alexander Kalinin, Thilo Meyer-Brandis, Frank Proske
We deduce stability and pathwise uniqueness for a McKean-Vlasov equation with random coefficients and a multidimensional Brownian motion as driver. Our analysis focuses on a non-Li…
Large Platonic Markets with Delays
Yannick Limmer, Thilo Meyer-Brandis
The objective is to develop a general stochastic approach to delays on financial markets. We suggest such a concept in the context of large platonic markets, which allow infinitely…
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
Alexander Kalinin, Thilo Meyer-Brandis, Frank Proske
We establish stability and pathwise uniqueness of solutions to Wiener noise driven McKean-Vlasov equations with random non-Lipschitz continuous coefficients. In the deterministic c…
Suffocating Fire Sales
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou +1
Fire sales are among the major drivers of market instability in modern financial systems. Due to iterated distressed selling and the associated price impact, initial shocks to some…
McKean-Vlasov equations on infinite-dimensional Hilbert spaces with irregular drift and additive fractional noise
Martin Bauer, Thilo Meyer-Brandis
This paper establishes results on the existence and uniqueness of solutions to McKean-Vlasov equations, also called mean-field stochastic differential equations, in an infinite-dim…
Strong Solutions of Mean-Field SDEs with irregular expectation functional in the drift
Martin Bauer, Thilo Meyer-Brandis
We analyze multi-dimensional mean-field stochastic differential equations where the drift depends on the law in form of a Lebesgue integral with respect to the pushforward measure…
Existence and Regularity of Solutions to Multi-Dimensional Mean-Field Stochastic Differential Equations with Irregular Drift
Martin Bauer, Thilo Meyer-Brandis
We examine existence and uniqueness of strong solutions of multi-dimensional mean-field stochastic differential equations with irregular drift coefficients. Furthermore, we establi…
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…
Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise
David Baños, Martin Bauer, Thilo Meyer-Brandis +1
In this paper we aim at generalizing the results of A. K. Zvonkin and A. Y. Veretennikov on the construction of unique strong solutions of stochastic differential equations with si…
Strong Solutions of Mean-Field Stochastic Differential Equations with irregular drift
Martin Bauer, Thilo Meyer-Brandis, Frank Proske
We investigate existence and uniqueness of strong solutions of mean-field stochastic differential equations with irregular drift coefficients. Our direct construction of strong sol…
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…
Financial Contagion in a Generalized Stochastic Block Model
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou +1
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to unders…
Local risk-minimization with multiple assets under illiquidity with applications in energy markets
Panagiotis Christodoulou, Nils Detering, Thilo Meyer-Brandis
We propose a hedging approach for general contingent claims when liquidity is a concern and trading is subject to transaction cost. Multiple assets with different liquidity levels…
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…