Francesca Biagini

According to our database, Francesca Biagini authored at least 9 papers between 2013 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models.

Francesca Biagini, Lukas Gonon, Niklas Walter

SIAM J. Financial Math., 2024

Universal randomised signatures for generative time series modelling.

Francesca Biagini, Lukas Gonon, Niklas Walter

CoRR, 2024

2023

Liquidity Based Modeling of Asset Price Bubbles via Random Matching.

Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis, Katharina Oberpriller

SIAM J. Financial Math., December, 2023

2021

A Unified Approach to xVA with CSA Discounting and Initial Margin.

Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva

SIAM J. Financial Math., 2021

2019

Financial Asset Bubbles in Banking Networks.

Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis

SIAM J. Financial Math., 2019

2018

Liquidity Induced Asset Bubbles via Flows of ELMMs.

Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis

SIAM J. Financial Math., 2018

2015

The Formation of Financial Bubbles in Defaultable Markets.

Francesca Biagini, Sorin Nedelcu

SIAM J. Financial Math., 2015

2014

Shifting martingale measures and the birth of a bubble as a submartingale.

Francesca Biagini, Hans Föllmer, Sorin Nedelcu

Finance Stochastics, 2014

2013

Risk-Minimization for Life Insurance Liabilities.

Francesca Biagini, Irene Schreiber

SIAM J. Financial Math., 2013