8 citations · 53 across the 24 of their papers we have counts for
3 papers · 1 filter
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…