no code implementations • 27 Nov 2023 • Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis, Katharina Oberpriller
This is a supplement to the paper "Liquidity based modeling of asset price bubbles via random matching".
no code implementations • 9 Dec 2022 • Katharina Oberpriller, Moritz Ritter, Thorsten Schmidt
In this setting, we describe conditional dependence by means of copulas and illustrate how the ${Q}\mathscr{P}$-evaluation can be used for the pricing of hybrid insurance products.
no code implementations • 25 Oct 2022 • Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis, Katharina Oberpriller
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].
no code implementations • 27 Jul 2022 • Benedikt Geuchen, Katharina Oberpriller, Thorsten Schmidt
In this work we consider one-dimensional generalized affine processes under the paradigm of Knightian uncertainty (so-called non-linear generalized affine models).
no code implementations • 9 Aug 2021 • Francesca Biagini, Andrea Mazzon, Katharina Oberpriller
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.
