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 • 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 • 4 Oct 2022 • Francesca Biagini, Lukas Gonon, Andrea Mazzon, Thilo Meyer-Brandis
In this paper we employ deep learning techniques to detect financial asset bubbles by using observed call option prices.
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.
