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Mean-variance hedging for stochastic volatility models
Biagini, Francesca; Guasoni, Paolo; Pratelli, Maurizio - In: Mathematical finance : an international journal of … 10 (2000) 2, pp. 109-123
Persistent link: https://www.econbiz.de/10002177187
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Functional convergence of Snell envelopes : application to American options approximations
Mulinacci, Sabrina - In: Finance and stochastics 2 (1998) 3, pp. 311-327
Persistent link: https://www.econbiz.de/10001243268
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On the use of measure-valued strategies in bond markets
De Donno, Marzia; Pratelli, Maurizio - In: Finance and stochastics 8 (2004) 1, pp. 87-109
Persistent link: https://www.econbiz.de/10001910737
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Mean-variance hedging for interest rate models with stochastic volatility
Biagini, Francesca - In: Decisions in economics and finance : DEF ; a journal of … 25 (2002) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10001681437
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Risk minimization under transaction costs
Guasoni, Paolo - In: Finance and stochastics 6 (2002) 1, pp. 91-113
Persistent link: https://www.econbiz.de/10001643757
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Asymmetric information in fads models
Guasoni, Paolo - In: Finance and stochastics 10 (2006) 2, pp. 159-177
Persistent link: https://www.econbiz.de/10003334913
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No arbitrage under transaction costs, with fractional Brownian motion and beyond
Guasoni, Paolo - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 569-582
Persistent link: https://www.econbiz.de/10003338701
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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
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Estimating extreme cancellation rates in life insurance
Biagini, Francesca; Huber, Tobias; Jaspersen, Johannes G.; … - In: Journal of Risk and Insurance 88 (2021) 4, pp. 971-1000
Persistent link: https://www.econbiz.de/10012538179
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On the timing option in a futures contract
Biagini, Francesca; Björk, Tomas - 2005
The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the...
Persistent link: https://www.econbiz.de/10010281316