3 papers
q-fin.MF2016
Robust Financial Bubbles
Francesca Biagini, Jacopo Mancin
We study the concept of financial bubble in a market model endowed with a set of probability measures, typically mutually singular to each other. In this setting we introduce the n…
q-fin.MF2016
Robust Mean-Variance Hedging via G-Expectation
Francesca Biagini, Jacopo Mancin, Thilo Meyer Brandis
In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related pr…
q-fin.MF2015
On the Existence of Martingale Measures in Jump Diffusion Market Models
Jacopo Mancin, Wolfgang J. Runggaldier
In the context of jump-diffusion market models we construct examples that satisfy the weaker no-arbitrage condition of NA1 (NUPBR), but not NFLVR. We show that in these examples th…