关注
francesca biagini
francesca biagini
Professor Mathematics, University of Munich
在 math.lmu.de 的电子邮件经过验证
标题
引用次数
引用次数
年份
Stochastic calculus for fractional Brownian motion and applications
F Biagini, Y Hu, B Øksendal, T Zhang
Springer Science & Business Media, 2008
12342008
A general stochastic calculus approach to insider trading
F Biagini, B Øksendal
Applied Mathematics and Optimization 52 (2), 167-181, 2005
1632005
An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
F Biagini, B Øksendal, A Sulem, N Wallner
Proceedings of the Royal Society of London. Series A: Mathematical, Physical …, 2004
1462004
A unified approach to systemic risk measures via acceptance sets
F Biagini, JP Fouque, M Frittelli, T Meyer‐Brandis
Mathematical Finance 29 (1), 329-367, 2019
1362019
Mean‐variance hedging for stochastic volatility models
F Biagini, P Guasoni, M Pratelli
Mathematical Finance 10 (2), 109-123, 2000
992000
A stochastic maximum principle for processes driven by fractional Brownian motion
F Biagini, Y Hu, B Øksendal, A Sulem
Stochastic processes and their applications 100 (1-2), 233-253, 2002
842002
Pricing of catastrophe insurance options written on a loss index with reestimation
F Biagini, Y Bregman, T Meyer-Brandis
Insurance: Mathematics and Economics 43 (2), 214-222, 2008
512008
Shifting martingale measures and the birth of a bubble as a submartingale
F Biagini, H Föllmer, S Nedelcu
Finance and Stochastics 18 (2), 297-326, 2014
492014
Minimal variance hedging for insider trading
F Biagini, B Øksendal
International Journal of Theoretical and Applied Finance 9 (08), 1351-1375, 2006
472006
Local risk minimization for defaultable markets
F Biagini, A Cretarola
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009
462009
Quadratic hedging methods for defaultable claims
F Biagini, A Cretarola
Applied Mathematics and Optimization 56 (3), 425-443, 2007
452007
Local risk-minimization for defaultable claims with recovery process
F Biagini, A Cretarola
Applied Mathematics & Optimization 65 (3), 293-314, 2012
362012
Minimal variance hedging for fractional Brownian motion
F Biagini, B Øksendal
Methods and applications of analysis 10 (3), 347-362, 2003
302003
Asymptotics for operational risk quantified with expected shortfall
F Biagini, S Ulmer
ASTIN Bulletin: The Journal of the IAA 39 (2), 735-752, 2009
282009
Stochastic calculus for fBm and applications, Probability and its application
F Biagini, Y Hu, B Øksendal, T Zhang
Springer, Berlin, 2008
282008
Local risk minimization and numéraire
F Biagini, M Pratelli
Journal of Applied Probability 36 (4), 1126-1139, 1999
281999
On fairness of systemic risk measures
F Biagini, JP Fouque, M Frittelli, T Meyer-Brandis
arXiv preprint arXiv:1803.09898, 2018
272018
Hedging mortality claims with longevity bonds
F Biagini, T Rheinländer, J Widenmann
ASTIN Bulletin: The Journal of the IAA 43 (2), 123-157, 2013
262013
A fractional credit model with long range dependent default rate
F Biagini, H Fink, C Klüppelberg
Stochastic Processes and their Applications 123 (4), 1319-1347, 2013
262013
Polynomial diffusion models for life insurance liabilities
F Biagini, Y Zhang
Insurance: Mathematics and Economics 71, 114-129, 2016
252016
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