Prof. Dr. Francesca Biagini

For current teaching events see Teaching

• 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)

For more Publications & Preprints see Publications