Zobrazeno 1 - 10
of 48
pro vyhledávání: '"Mazzon, Andrea"'
Autor:
Mazzon, Andrea, Tankov, Peter
Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic agent whose future revenues depend on the realization of a scenario from
Externí odkaz:
http://arxiv.org/abs/2408.09349
In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index $H \in (0, 1)$ under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about stochasti
Externí odkaz:
http://arxiv.org/abs/2312.12139
In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the liquidity based model of [25]. To this scope, we extend the Markov con
Externí odkaz:
http://arxiv.org/abs/2210.13804
In this paper we employ deep learning techniques to detect financial asset bubbles by using observed call option prices. The proposed algorithm is widely applicable and model-independent. We test the accuracy of our methodology in numerical experimen
Externí odkaz:
http://arxiv.org/abs/2210.01726
In this paper we introduce a sublinear conditional operator with respect to a family of possibly nondominated probability measures in presence of multiple ordered default times. In this way we generalize the results of [5], where a reduced-form frame
Externí odkaz:
http://arxiv.org/abs/2108.04047
In this paper we provide a generalization of a Feynmac-Kac formula under volatility uncertainty in presence of a linear term in the PDE due to discounting. We state our result under different hypothesis with respect to the derivation given by Hu, Ji,
Externí odkaz:
http://arxiv.org/abs/2012.08163
Autor:
Mazzon, Andrea
We introduce a new criterion which tests if a given decomposition of a given ternary form $T$ of even degree is unique. The criterion is based on the analysis of the Hilbert function of the projective set of points $Z$ associated to the decomposition
Externí odkaz:
http://arxiv.org/abs/2007.09962
Motivation for this paper is to understand the impact of information on asset price bubbles and perceived arbitrage opportunities. This boils down to study optional projections of $\mathbb{G}$-adapted strict local martingales into a smaller filtratio
Externí odkaz:
http://arxiv.org/abs/2003.09940
Publikováno v:
In Stochastic Processes and their Applications December 2023 166
We use methods of algebraic geometry to find new, effective methods for detecting the identifiability of symmetric tensors. In particular, for ternary symmetric tensors T of degree 7, we use the analysis of the Hilbert function of a finite projective
Externí odkaz:
http://arxiv.org/abs/1811.01865