Logo Logo
[höher] Eine Ebene höher
Exportieren als [RSS feed] RSS 1.0 [RSS2 feed] RSS 2.0
Gruppiert nach: Dokumententyp | Veröffentlichungsdatum
Springe zu: 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000
Anzahl der Publikationen: 70

2023

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Oberpriller, Katharina (Dezember 2023): Multi-dimensional fractional Brownian motion in the G-setting.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gonon, Lukas und Walter, Niklas (September 2023): Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Reitsam, Thomas (2023): A dynamic version of the super-replication theorem under proportional transaction costs. In: Stochastic Analysis and Applications, Bd. 41, Nr. 1: S. 80-101

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Bollweg, Georg und Oberpriller, Katharina (2023): Non-linear affine processes with jumps. In: Probability, Uncertainty and Quantitative Risk, Bd. 8, Nr. 2: S. 235-266

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Perkkiö, Ari-Pekka ORCID logoORCID: https://orcid.org/0000-0002-9787-0330 (2023): Optional projection under equivalent local martingale measures. In: Finance and Stochastics, Bd. 27, Nr. 2: S. 435-465 [PDF, 1MB]

Akhtari, Bahar; Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Oberpriller, Katharina (2023): Generalized Feynman–Kac formula under volatility uncertainty. In: Stochastic Processes and their Applications, Bd. 166, 104083

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Oberpriller, Katharina (2023): Liquidity Based Modeling of Asset Price Bubbles via Random Matching. In: SIAM Journal on Financial Mathematics, Bd. 14, Nr. 4: S. 1304-1342

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Oberpriller, Katharina (2023): Reduced-form framework for multiple ordered default times under model uncertainty. In: Stochastic Processes and their Applications, Bd. 156: S. 1-43

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Oberpriller, Katharina (2023): Supplement Liquidity based modeling of asset price bubbles via random matching.

2022

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gonon, Lukas ORCID logoORCID: https://orcid.org/0000-0003-3367-2455; Mazzon, Andrea und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (Oktober 2022): Detecting asset price bubbles using deep learning.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Reitsam, Thomas (2022): Asset price bubbles in markets with transaction costs. In: Frontiers of Mathematical Finance, Bd. 1, Nr. 3: S. 397

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gonon, Lukas und Reitsam, Thomas (2022): Neural network approximation for superhedging prices. In: Mathematical Finance, Bd. 33, Nr. 1: S. 146-184 [PDF, 1MB]

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Zhang, Yinglin (2022): Extended reduced-form framework for non-life insurance. In: Advances in Applied Probability, Bd. 54, Nr. 3: S. 945-973

2021

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Huber, Tobias ORCID logoORCID: https://orcid.org/0000-0002-9894-9710; Jaspersen, Johannes G. ORCID logoORCID: https://orcid.org/0000-0002-3599-8988 und Mazzon, Andrea (2021): Estimating extreme cancellation rates in life insurance. In: Journal of Risk and Insurance, Bd. 88, Nr. 4: S. 971-1000 [PDF, 3MB]

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2021): Systemic optimal risk transfer equilibrium. In: Mathematics and Financial Economics, Bd. 15, Nr. 2: S. 233-274

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Oliva, Immacolata (2021): A Unified Approach to xVA with CSA Discounting and Initial Margin. In: SIAM Journal on Financial Mathematics, Bd. 12, Nr. 3: S. 1013-1053

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Oberpriller, Katharina (2021): Reduced-form setting under model uncertainty with non-linear affine intensities. In: Probability Uncertainty and Quantitative Risk, Bd. 6, Nr. 3: S. 159-188

2020

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Fouque, Jean-Pierre; Frittelli, Marco und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2020): On fairness of systemic risk measures. In: Finance and Stochastics, Bd. 24: S. 513-564 [PDF, 1MB]

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Haertel, Maximilian (2020): General analysis of long-term interest rates. In: International Journal of Theoretical and Applied Finance, Bd. 23, Nr. 1, 2050002

2019

Detering, Nils; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Panagiotou, Konstantinos ORCID logoORCID: https://orcid.org/0000-0003-0572-7252 und Ritter, Daniel (2019): Systemic Risk in Networks. In: Biagini, Francesca; Kauermann, Göran und Meyer-Brandis, Thilo (Hrsg.): Network Science. Cham: Springer. S. 59-77

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Fouque, Jean-Pierre; Frittelli, Marco und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2019): A unified approach to systemic risk measures via acceptance sets. In: Mathematical Finance, Bd. 29, Nr. 1: S. 329-367

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2019): Financial Asset Bubbles in Banking Networks. In: SIAM Journal on Financial Mathematics, Bd. 10, Nr. 2: S. 430-465

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mancin, Jacopo und Brandis, Thilo Meyer (2019): Robust mean-variance hedging via G-expectation. In: Stochastic Processes and Their Applications, Bd. 129, Nr. 4: S. 1287-1325

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Zhang, Yinglin (2019): Reduced-form framework under model uncertainty. In: Annals of Applied Probability, Bd. 29, Nr. 4: S. 2481-2522

2018

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Härtel, Maximilian (2018): Long-Term Yield in an Affine HJM Framework on S-d(+). In: Applied Mathematics and Optimization, Bd. 77, Nr. 3: S. 405-441

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Oksendal, Bernt und Paczka, Krzysztof (2018): Optimal control with delayed information flow of systems driven by G-Brownian motion. In: Probability Uncertainty and Quantitative Risk, Bd. 3

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2018): Liquidity Induced Asset Bubbles via Flows of ELMMs. In: SIAM Journal on Financial Mathematics, Bd. 9, Nr. 2: S. 800-834

2017

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 (2017): Quantitative Network Science (QNetS). CAS Concepts, Bd. 5. München: Ludwig-Maximilians-Universität. [PDF, 849kB]

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Botero, Camila und Schreiber, Irene (2017): Risk-minimization for life insurance liabilities with dependent mortality risk. In: Mathematical Finance, Bd. 27, Nr. 2: S. 505-533

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Mancin, Jacopo (2017): Financial asset price bubbles under model uncertainty. In: Probability, Uncertainty and Quantitative Risk, Bd. 2, Nr. 1, 14

2016

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Groll, Andreas und Widenmann, Jan (2016): Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains. In: Risks, Bd. 4, Nr. 3, 23 [PDF, 521kB]

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Campanino, Massimo (2016): Elements of Probability and Statistics. An Introduction to Probability with de Finetti’s Approach and to Bayesian Statistics. UNITEXT, Bd. 98. : Springer.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Zhang, Yinglin (2016): Polynomial diffusion models for life insurance liabilities. In: Insurance Mathematics & Economics, Bd. 71: S. 114-129

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Rheinländer, Thorsten und Schreiber, Irene (2016): Risk-minimization for life insurance liabilities with basis risk. In: Mathematics and Financial Economics, Bd. 10, Nr. 2: S. 151-178

2015

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Nedelcu, Sorin (2015): The Formation of Financial Bubbles in Defaultable Markets. In: SIAM Journal on Financial Mathematics, Bd. 6, Nr. 1: S. 530-558

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Bregman, Julia und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2015): Electricity futures price modeling with Lévy term structure models. In: International Journal of Theoretical and Applied Finance, Bd. 18, Nr. 01, 1550003

2014

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Svindland, Gregor (2014): The Mathematical Concept of Measuring Risk. In: Klüppelberg, Claudia; Straub, Daniel und Welpe, Isabell M. (Hrsg.): Risk - A Multidisciplinary Introduction. Cham: Springer. S. 133-150

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Härtel, Maximilian (2014): Behavior of Long-Term Yields in a Lévy Term Structure. In: International Journal of Theoretical and Applied Finance, Bd. 17, Nr. 03, 1450016

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Föllmer, Hans und Nedelcu, Sorin (2014): Shifting martingale measures and the birth of a bubble as a submartingale. In: Finance and Stochastics, Bd. 18, Nr. 2: S. 297-326

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Cretarola, Alessandra und Platen, Eckhard (2014): Local risk-minimization under the benchmark approach. In: Mathematics and Financial Economics, Bd. 8, Nr. 2: S. 109-134

2013

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Schreiber, Irene (2013): Risk-Minimization for Life Insurance Liabilities. In: SIAM Journal on Financial Mathematics, Bd. 4, Nr. 1: S. 243-264

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Fink, Holger und Klüppelberg, Claudia (2013): A fractional credit model with long range dependent default rate. In: Stochastic Processes and their Applications, Bd. 123, Nr. 4: S. 1319-1347

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 (2013): Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets. Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, Schweiz, Mai 2011. Dalang, Robert C.; Dozzi, Marco und Russo, Francesco (Hrsg.): In: Seminar on Stochastic Analysis, Random Fields and Applications VII, Basel: Birkhäuser. S. 285-304

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Rheinländer, Thorsten und Widenmann, Jan (2013): Hedging mortality claims with longevity bonds. In: ASTIN Bulletin, Bd. 43, Nr. 2: S. 123-157

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Groll, Andreas und Widenmann, Jan (2013): Intensity-based premium evaluation for unemployment insurance products. In: Insurance: Mathematics and Economics, Bd. 53, Nr. 1: S. 302-316

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Rost, Daniel (2013): Money out of nothing? Prinzipien und Grundlagen der Finanzmathematik. In: Mitteilungen der deutschen Mathematiker-Vereinigung, Bd. 21, Nr. 1: S. 18-22

2012

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Cretarola, Alessandra (2012): Local Risk-Minimization for Defaultable Claims with Recovery Process. In: Applied Mathematics & Optimization, Bd. 65, Nr. 3: S. 293-314

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Widenmann, Jan (2012): Pricing of unemployement insurance products with doubly stochastic Markov chains. In: International Journal of Theoretical and Applied Finance, Bd. 15, Nr. 04: S. 1250025

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Øksendal, Bernt (2012): Insider trading equilibrium in a market with memory. In: Mathematics and Financial Economics, Bd. 6, Nr. 3: S. 229-247

2011

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Fuschini, Serena und Klüppelberg, Claudia (2011): Credit Contagion in a Long Range Dependent Macroeconomic Factor Model. In: Di Nunno, Giulia und Øksendal, Bernt (Hrsg.): Advanced Mathematical Methods for Finance. Heidelberg: Springer. S. 105-132

2010

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 (2010): Second Fundamental Theorem of Asset Pricing. 4. R - XYZ. In: Cont, Rama (Hrsg.): Encyclopedia of Quantitative Finance. Chichester [u.a.]: Wiley. S. 1623-1628

2009

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Ulmer, Sascha (2009): Asymptotics for Operational Risk Quantified with Expected Shortfall. In: ASTIN Bulletin, Bd. 39, Nr. 2: S. 735-752

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Cretarola, Alessandra (2009): Local risk minimization for defaultable markets. In: Mathematical Finance, Bd. 19, Nr. 4: S. 669-689

2008

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Bregman, Yuliya und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2008): Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation. In: Journal of Applied Probability, Bd. 45, Nr. 3: S. 831-845

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Campanino, Massimo und Fuschini, Serena (2008): Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2. In: Stochastics, Bd. 80, Nr. 5: S. 407-426

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt (2008): Forward integrals and an Itô formula for fractional Brownian motion. In: Infinite Dimensional Analysis, Quantum Probability and Related Topics, Bd. 11, Nr. 02: S. 157-177

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Øksendal, Bernt und Zhang, Tusheng (2008): Stochastic Calculus for Fractional Brownian Motion and Applications. London: Springer.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Bregman, Yuliya und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2008): Pricing of catastrophe insurance options written on a loss index with reestimation. In: Insurance: Mathematics and Economics, Bd. 43, Nr. 2: S. 214-222

2007

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Cretarola, Alessandra (2007): Quadratic Hedging Methods for Defaultable Claims. In: Applied Mathematics and Optimization, Bd. 56, Nr. 3: S. 425-443

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Björk, Tomas (2007): On the timing option in a futures contract. In: Mathematical Finance, Bd. 17, Nr. 2: S. 267-283

2006

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Campanino, M (2006): Elementi di probabilita e statistica. Milano: Springer.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt (2006): Minimal variance hedging for insider trading. In: International Journal of Theoretical and Applied Finance, Bd. 09, Nr. 08: S. 1351-1375

2005

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt (2005): A General Stochastic Calculus Approach to Insider Trading. In: Applied Mathematics and Optimization, Bd. 52, Nr. 2: S. 167-181

2004

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Øksendal, Bernt; Sulem, Agnès und Wallner, Naomi (2004): An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion. In: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences, Bd. 460, Nr. 2041: S. 347-372

2003

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt (2003): Minimal variance hedging for fractional Brownian motion. In: Methods and Applications of Analysis, Bd. 10, Nr. 3: 347 - 362

2002

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Øksendal, Bernt und Sulem, Agnès (2002): A stochastic maximum principle for processes driven by fractional Brownian motion. In: Stochastic Processes and their Applications, Bd. 100, Nr. 1-2: S. 233-253

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 (2002): Mean-variance hedging for interest rate models with stochastic volatility. In: Decisions in Economics and Finance, Bd. 25, Nr. 1: S. 1-17

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Guasoni, Paolo (2002): Mean–variance hedging with random volatility jumps. In: Stochastic Analysis and Applications, Bd. 20, Nr. 3: S. 471-494

2001

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 (2001): A Quadratic Approach To Interest Rates Models In Incomplete Markets. Workshop of the Mathematical Finance Research Project, Konstanz, Deutschland, 5. – 7. Oktober 2000. Kohlmann, Michael und Tang, Shanjian (Hrsg.): In: Mathematical Finance. Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000, Basel: Birkhäuser. S. 89-98

2000

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Guasoni, Paolo und Pratelli, Maurizio (2000): Mean‐Variance Hedging for Stochastic Volatility Models. In: Mathematical Finance, Bd. 10, Nr. 2: S. 109-123

Diese Liste wurde am Sat Dec 21 19:08:59 2024 CET erstellt.

Open Access LMU verwendet EPrints 3, das an der School of Electronics and Computer Science der Universität Southampton entwickelt wurde.
Impressum − Datenschutz