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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

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

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

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

Persistent link: https://www.econbiz.de/10011507634

Shifting martingale measures and the birth of a bubble as a submartingale

Biagini, Francesca; Föllmer, Hans; Nedelcu, Sorin - In: Finance and stochastics 18 (2014) 2, pp. 297-326

Persistent link: https://www.econbiz.de/10010340747

Risk-minimization for life insurance liabilities with dependent mortality risk

Biagini, Francesca; Botero, Camila; Schreiber, Irene - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 505-533

Persistent link: https://www.econbiz.de/10011752521

Electricity futures price modeling with Lévy term structure models

Biagini, Francesca; Bregman, Julia; Meyer-Brandis, Thilo - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011403170

Pricing of unemployment insurance products with doubly stochastic Markov chains

Biagini, Francesca; Widenmann, Jan - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10009624472

Credit contagion in a long range dependent macroeconomic factor model

Biagini, Francesca; Fuschini, Serena; Klüppelberg, Claudia - In: Advanced mathematical methods for finance, (pp. 105-132). 2011

Persistent link: https://www.econbiz.de/10008991320

Behavior of long-term yields in a Lévy term structure

Biagini, Francesca; Härtel, Maximilian - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10010364765