arXiv subjects

Jacopo Mancin

Publications and source records attributed to Jacopo Mancin.

3 recordsLinked to original sources

arXiv2016

Robust Mean-Variance Hedging via G-Expectation

In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a contin- uous financial market with two assets, where the discounted risky one is modeled as a symmetric G-martingale. By tackling progressively larger classes of contingent claims, we are able to explicitly compute the optimal strategy under general assumptions on the form of the contingent claim.

q-fin.MF↗

arXiv2016

Robust Financial Bubbles

We study the concept of financial bubble in a market model endowed with a set of probability measures, typically mutually singular to each other. In this setting we introduce the notions of robust bubble and robust fundamental value in a consistent way with the existing literature in the case a unique prior exists. The notion of no dominance is also investigated under the uncertainty framework. Finally, we provide concrete examples illustrating our results.

q-fin.MF↗

arXiv2015

On the Existence of Martingale Measures in Jump Diffusion Market Models

In the context of jump-diffusion market models we construct examples that satisfy the weaker no-arbitrage condition of NA1 (NUPBR), but not NFLVR. We show that in these examples the only candidate for the density process of an equivalent local martingale measure is a supermartingale that is not a martingale, not even a local martingale. This candidate is given by the supermartingale deflator resulting from the inverse of the discounted growth optimal portfolio. In particular, we con- sider an example with constraints on the portfolio that go beyond the standard ones for admissibility.

q-fin.MF↗