8 citations · 53 across the 24 of their papers we have counts for
12 papers · 1 filter
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…
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…
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…
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…
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…
Strongly Consistent Multivariate Conditional Risk Measures
Hannes Hoffmann, Thilo Meyer-Brandis, Gregor Svindland
We consider families of strongly consistent multivariate conditional risk measures. We show that under strong consistency these families admit a decomposition into a conditional ag…
A Unified Approach to Systemic Risk Measures via Acceptance Sets
Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli +1
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the…