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A unified approach to systemic risk measures via acceptance sets

Biagini, Francesca; Fouque, Jean‐Pierre; Frittelli, Marco - In: Mathematical Finance 29 (2018) 1, pp. 329-367

Persistent link: https://www.econbiz.de/10012095142

Neural network approximation for superhedging prices

Biagini, Francesca; Gonon, Lukas; Reitsam, Thomas - In: Mathematical Finance 33 (2022) 1, pp. 146-184

This article examines neural network‐based approximations for the superhedging price process of a contingent claim in a discrete time market model. First we prove that the α‐quantile hedging price converges to the superhedging price at time 0 for α tending to 1, and show that the...

Persistent link: https://www.econbiz.de/10014503712

ON THE TIMING OPTION IN A FUTURES CONTRACT

Biagini, Francesca; Björk, Tomas - In: Mathematical Finance 17 (2007) 2, pp. 267-283

Persistent link: https://www.econbiz.de/10005193415

The limits of leverage

Guasoni, Paolo; Mayerhofer, Eberhard - In: Mathematical Finance 29 (2018) 1, pp. 249-284

Persistent link: https://www.econbiz.de/10012095144

Who should sell stocks?

Guasoni, Paolo; Liu, Ren; Muhle‐Karbe, Johannes - In: Mathematical Finance 29 (2018) 2, pp. 448-482

Persistent link: https://www.econbiz.de/10012095151

Nonlinear price impact and portfolio choice

Guasoni, Paolo; Weber, Marko Hans - In: Mathematical Finance 30 (2020) 2, pp. 341-376

Persistent link: https://www.econbiz.de/10012192411

Shortfall aversion

Guasoni, Paolo; Huberman, Gur; Ren, Dan - In: Mathematical Finance 30 (2020) 3, pp. 869-920

Persistent link: https://www.econbiz.de/10012283186

Young, timid, and risk takers

Guasoni, Paolo; Nagy, Lóránt; Rásonyi, Miklós - In: Mathematical Finance 31 (2021) 4, pp. 1332-1356

Persistent link: https://www.econbiz.de/10012636237

NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

Guasoni, Paolo - In: Mathematical Finance 16 (2006) 3, pp. 569-582

Persistent link: https://www.econbiz.de/10005655236