- Optional projection under equivalent local martingale measures
Biagini, F. , Mazzon, A. , Perkkiö, A.-P. ,
Finance & Stochastics, 27(2), 435-465, 2023 [arXiv] - Detecting asset price bubbles using deep learning
Biagini, F. , Gonon, L. , Mazzon, A. , Meyer-Brandis, T. ,
Preprint, 2022 [arXiv] - Non-linear Affine Processes with Jumps
Biagini, F. , Bollweg, G. , Oberpriller, K. ,
Preprint, 2022 [arXiv] - Neural network approximation for superhedging prices
Biagini, F. , Gonon, L. , Reitsam, T. ,
To appear in Mathematical Finance, 2022 [arXiv] - Supplement to “Liquidity based modeling of asset price bubbles via random matching”
Biagini, F. , Mazzon, A. , Meyer-Brandis, T. , Oberpriller, K. ,
Preprint, 2022 (PDF, 370 KB) - Reduced-form framework for multiple default times under model uncertainty
Biagini, F. , Mazzon, A. , Oberpriller, K. ,
Stochastic Processes and Their Applications, 156, 1-43, 2022. [arXiv] - Generalized Feynman-Kac Formula under volatility uncertainty
Akhtari, B. , Biagini, F. , Mazzon, A. , Oberpriller, K. ,
To appear in Stochastic Processes and Their Applications, DOI 10.1016/j.spa.2022.12.003, 2022 [arXiv] - Asset Price Bubbles in market models with proportional transaction costs
Biagini, F. , Reitsam, T. ,
Accepted on Frontiers of Mathematical Finance, 2022 [arXiv] - Liquidity based modeling of asset price bubbles via random matching
Biagini, F. , Mazzon, A. , Meyer-Brandis, T. , Oberpriller, K. ,
Preprint, 2022 [arXiv] - Systemic Optimal Risk Transfer Equilibrium
Biagini, F. , Doldi, A. , Fouque, J.P. , Frittelli, M. , Meyer-Brandis, T. ,
Mathematics and Financial Economics, 15(2), 2021 [arXiv] - Extended Reduced-Form Framework for Life and Non-Life Insurance
Biagini, F. , Zhang , Y. ,
To appear in the Journal of Applied Probability, 2021 [arXiv] - A unified approach to xVA with CSA discounting and initial margin
Biagini, F. , Gnoatto, A. , Oliva, I. ,
To appear in the SIAM Journal on Financial Mathematics, 12(3), 1013-1053, 2021 [arXiv] - Estimating Extreme Cancellation Rates in Life Insurance
Biagini, F. , Huber, T. , Jaspersen, J.G. , Mazzon, A. ,
Journal of Risk and Insurance, 88(4): 971-1000, 2021 (PDF, 3,363 KB) - Reduced-form setting under model uncertainty with non-linear affine intensities
Biagini, F. , Oberpriller, K. ,
Probability, Uncertainty and Quantitative Risk, 6 (3), 2021 [arXiv] - A dynamic version of the super-replication theorem under proportional transaction costs
Biagini, F. , Reitsam, T. ,
Stochastic Analysis and Applications, 1-22, 2021 [arXiv] - On Fairness of Systemic Risk Measures
Biagini, F. , Fouque, J. P. , Frittelli, M. , Meyer-Brandis, T. ,
Finance & Stochastics, 24(2), 513-564, 2020 [arXiv] - The long-term swap rate and a general analysis of long-term interest rates
Biagini, F. , Gnoatto, A. , Haertel, M. ,
International Journal of Applied and Theoretical Finance, 23(1), 2020 [arXiv] - Reduced-form framework under model uncertainty
Biagini, F. , Zhang , Y. ,
The Annals of Applied Probability, 29(4):2481-2522, 2019 [arXiv] - A unified approach to systemic risk measures via acceptance sets
Biagini, F. , Fouque, J.P. , Frittelli, M. , Meyer-Brandis, T. ,
Mathematical Finance, 29 (1), 329-367, 2019 [arXiv] - Financial asset bubbles in banking networks
Biagini, F. , Mazzon, A. , Meyer-Brandis, T. ,
SIAM Journal on Financial Mathematics, 10(2), 430-465, 2019 [arXiv] - Robust Mean-Variance Hedging via G-Expectation
Biagini, F. , Mancin, J. , Meyer-Brandis, T. ,
Stochastic Processes and their Applications, 129(4), 1287-1325, 2019. [arXiv] - Optimal control with delayed information flow of systems driven by G-Brownian motion
Biagini, F. , Meyer-Brandis, T. , Øksendal, B. , Paczka, K. ,
Probability, Uncertainty and Quantitative Risk, 3(4), 2018 [arXiv] - Liquidity induced asset bubbles via flows of ELMMs
Biagini, F. , Mazzon, A. , Meyer-Brandis, T. ,
SIAM Journal on Financial Mathematics, 9(2), 800-834, 2018 [arXiv] - Affine HJM framework on S^+_d and long-term yield
Biagini, F. , Gnoatto, A. , Haertel, M. ,
Applied Mathematics and Optimization 77(3), 405-441, 2018 [arXiv] - Financial Asset Price Bubbles under Model Uncertainty
Biagini, F. , Mancin, J. ,
Probability, Uncertainty and Quantitative Risk, 2017 (14) (PDF, 456 KB) - Risk-minimization for life insurance liabilities with dependent mortality risk
Biagini, F. , Botero, C. , Schreiber, I. ,
Mathematical Finance, 27 (2), 505-533, 2017 (PDF, 844 KB) - Elements of Probability and Statistics: An Introduction to Probability with de Finettis Approach and to Bayesian Statistics
Biagini, F. , Campanino, M. ,
Springer, 2016 (link to book page) - Polynomial Diffusion Models for Life Insurance Liabilities
Biagini, F. , Zhang , Y. ,
Insurance: Mathematics and Economics, Vol. 71, Page 114–129, 2016 [arXiv] - Risk-minimization for life insurance liabilities with basis risk
Biagini, F. , Rheinländer, T. , Schreiber, I. ,
Mathematics and Financial Economics, Vol. 10, Issue 2, Page 151-178, 2016 (PDF, 521 KB) - Risk minimization for insurance products via F-doubly stochastic Markov chains
Biagini, F. , Groll, A. , Widenmann, J. ,
Risks, Volume 4, Issue 3, Article number 23, 2016 (PDF, 394 KB) - The formation of financial bubbles in defaultable markets
Biagini, F. , Nedelcu, S. ,
SIAM Journal on Financial Mathematics, Vol. 6, Issue 1, Page 530-558, 2015 (PDF, 486 KB) - Electricity futures price modeling with Lévy term structure models
Biagini, F. , Bregman, Y. , Meyer-Brandis, T. ,
International Journal of Theoretical and Applied Finance 18 (1), 2015 (PDF, 437 KB) - The Mathematical Concept of Measuring Risk
Biagini, F. , Meyer-Brandis, T. , Svindland, G. ,
Risk - A Multidisciplinary Introduction, Klüppelberg C., Straub D. and Welpe I.M. (Eds.), Springer, 2014 (Link to book webpage) - Local risk-minimization via the benchmark approach
Biagini, F. , Cretarola, A. , Platen, E. ,
Mathematics and Financial Economics: Volume 8, Issue 2, Page 109-134, 2014 (PDF, 525 KB) - Shifting martingale measures and the slow birth of a bubble as a submartingale
Biagini, F. , Föllmer, H. , Nedelcu, S. ,
Finance and Stochastics: Volume 18, Issue 2, Page 297-326, 2014 (PDF, 408 KB) - Behavior of Long-Term Yields in a Lévy Term Structure
Biagini, F. , Haertel, M. ,
International Journal of Theoretical and Applied Finance, Volume 17, Issue 3, 1-24, 2014 (PDF, 369 KB) - Risk-minimization for life insurance liabilities
Biagini, F. , Schreiber, I. ,
SIAM Journal on Financial Mathematics 4, 243 - 264, 2013 (PDF, 487 KB) - A fractional credit model with long range dependent default rate
Biagini, F. , Fink, H. , Klueppelberg, C. ,
Stochastic Processes and their Applications 123, 1319 - 1347, 2013 (PDF, 253 KB) - Evaluating hybrid products: the interplay between financial and insurance markets
Biagini, F. ,
in Stochastic analysis, random fields and applications VII, Progress in Probability 67, R. Dalang, M. Dozzi, F. Russo (Editors), Springer, 2013 (PDF, 257 KB) - Hedging mortality claims with longevity bonds
Biagini, F. , Rheinländer, T. , Widenmann, J. ,
ASTIN Bulletin, 43(2), 123-157, 2013 (PDF, 1,273 KB) - Intensity-based premium evaluation for unemployment insurance products
Biagini, F. , Groll, A. , Widenmann, J. ,
Insurance: Mathematics and Economics 53, 302–316, 2013 (PDF, 9,954 KB) - Local risk-minimization with recovery process
Biagini, F. , Cretarola, A. ,
Applied Mathematics & Optimization 65(3), 293-314, 2012 (PDF, 473 KB) - Pricing of unemployement insurance products with doubly stochastic Markov chains
Biagini, F. , Widenmann, J. ,
International Journal of Theoretical and Applied Finance 15(4), 1-32, 2012 (PDF, 410 KB) - Insider trading equilibrium in a market with memory
Biagini, F. , Hu, Y. , Meyer-Brandis, T. , Øksendal, B. ,
Mathematics and Financial Economics 6(3), 229-247, 2012 (PDF, 514 KB) - Credit contagion in a long range dependent macroeconomic factor model
Biagini, F. , Fuschini, S. , Klueppelberg, C. ,
Advanced Mathematical Methods in Finance, 105-132, Springer, Berlin, 2011 (PDF, 241 KB) - The second fundamental asset pricing theorem
Biagini, F. ,
Encyclopedia of Quantitative Finance, Cont R. (Ed.) John Wiley & Sons Ltd. Chichester, UK, 1623-1628, 2010 (PDF, 155 KB) - Money out of nothing? - Prinzipien und Grundlagen der Finanzmathematik
Biagini, F. , Rost, D. ,
Beiträge zum Mathematikunterricht 2010, WTM Verlag, Münster, 41-48, 2010 (PDF, 94 KB) - Local risk minimization for defaultable markets
Biagini, F. , Cretarola, A. ,
Mathematical Finance 19(4), 669-689, 2009 (PDF, 334 KB) - Asymptotics for operational risk quantified with expected shortfall
Biagini, F. , Ulmer, S. ,
ASTIN Bulletin 39, 735-752, 2009 (PDF, 257 KB) - Discrete approximations for stochastic integrals with respect to fractional Brownian motion with Hurst index H > 1/2
Biagini, F. , Campanino, M. , Fuschini, S. ,
Stochastics 80(5), 407-426, 2008 (PDF, 235 KB) - Pricing of catastrophe insurance options under immediate loss reestimation
Biagini, F. , Bregman, Y. , Meyer-Brandis, T. ,
Journal of Applied Probability 45(3), 831-845, 2008 (PDF, 224 KB) - Pricing of catastrophe insurance options written on a loss index with reestimation
Biagini, F. , Bregman, Y. , Meyer-Brandis, T. ,
Insurance: Mathematics and Economics 43(2), 214-222, 2008 (PDF, 287 KB) - Stochastic Calculus for Fractional Brownian Motion and Applications
Biagini, F. , Hu, Y. , Øksendal, B. , Zhang, T. ,
Springer, Berlin, 2008 (Link to book page) - Forward integrals and an Ito formula for fractional Brownian motion
Biagini, F. , Øksendal, B. ,
Infinite Dimensional Analysis, Quantum Probability and Related Topics 11(2), 157-177, 2008 (PDF, 142 KB) - Quadratic hedging methods for defaultable claims
Biagini, F. , Cretarola, A. ,
Applied Mathematics and Optimization 56(3), 425-443, 2007 (PDF, 172 KB) - On the timing option in a futures contract
Biagini, F. , Bjoerk, T. ,
Mathematical Finance 17(2), 267-283, 2007 (PDF, 128 KB) - Minimal variance hedging for insider trading
Biagini, F. , Øksendal, B. ,
International Journal of Theoretical and Applied Finance 9(8), 1351-1375, 2006 (PDF, 322 KB) - Elementi di probabilita e statistica
Biagini, F. , Campanino, M. ,
Springer, Berlin, 2005 (Link to book page) - A general stochastic calculus approach to insider trading
Biagini, F. , Øksendal, B. ,
Applied Mathematics and Optimization 52(2), 167-181, 2005 (PDF, 190 KB) - An introduction to White noise theory and Malliavin calculus for fractional Brownian motion
Biagini, F. , Øksendal, B. , Sulem, A. , Wallner, N. ,
The Proceedings of the Royal Society 460, 347-372, 2004 (PDF, 288 KB) - Minimal variance hedging for fractional Brownian motion
Biagini, F. , Øksendal, B. ,
Methods and Applications of Analysis 10(3), 347-362, 2003 (PDF, 135 KB) - A stochastic maximum principle for processes driven by fractional Brownian motion
Biagini, F. , Hu, Y. , Øksendal, B. , Sulem, A. ,
Stochastic Processes and their Applications 100(1), 233-253, 2002 (PDF, 134 KB) - Mean-variance hedging for interest rate models with stochastic volatility
Biagini, F. ,
Decisions in Economics and Finance 25(1), 1-17, 2002 (PDF, 129 KB) - Mean-variance hedging with random volatility jumps
Biagini, F. , Guasoni, P. ,
Stochastic Analysis and Applications 20(3), 471-494, 2002 (PDF, 243 KB) - A quadratic approach for interest rates models in incomplete markets
Biagini, F. ,
Proceedings of Workshop on Mathematical Finance, Konstanz, Germany, 2001 (PDF, 182 KB) - Mean-variance hedging for stochastic volatility models
Biagini, F. , Guasoni, P. , Pratelli, M. ,
Mathematical Finance 10(2), 109-123, 2000 (PDF, 255 KB) - Local Risk Minimization and Numéraire
Biagini, F. , Pratelli, M. ,
Journal of Applied Probability 36 (4),1-14, 1999 (PDF, 181 KB)
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