3 papers
q-fin.MF2025
Optimal stopping and divestment timing under scenario ambiguity and learning
Andrea Mazzon, Peter Tankov
Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic ag…
math.PR2024
Multi-dimensional fractional Brownian motion in the G-setting
Francesca Biagini, Andrea Mazzon, Katharina Oberpriller
In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index under volatility uncertainty (in short G-fBm). We study the…
q-fin.MF2024
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…