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Gruppiert nach: Dokumententyp | Veröffentlichungsdatum
Springe zu: Zeitschriftenartikel | Paper
Anzahl der Publikationen: 11

Zeitschriftenartikel

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): Liquidity Based Modeling of Asset Price Bubbles via Random Matching. In: SIAM Journal on Financial Mathematics, Bd. 14, Nr. 4: S. 1304-1342

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 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]

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; 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; 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

Mazzon, Andrea und Pascucci, Andrea (2017): The forward smile in local–stochastic volatility models. In: The Journal of Computational Finance, Bd. 20, Nr. 3: S. 1-29

Paper

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; 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.

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.

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