Now showing items 1-2 of 2

  • Biagini, Francesca; Mancin, Jacopo (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
    We study the concept of financial bubbles in a market model endowed with a set P of probability measures, typically mutually singular to each other. In this setting, we investigate a dynamic version of robust superreplication, ...
  • Biagini, Francesca; Mancin, Jacopo; Brandis, Thilo Meyer (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
    In this paper we study mean–variance hedging under the -expectation framework. Our analysis is carried out by exploiting the -martingale representation theorem and the related probabilistic tools, in a continuous financial ...