4 papers in the archive (2023–2026), average empirical rigor 1.8/10, average math complexity 8.4/10. Quadrant mix: Lab Rats ×4.
Works mostly in Options & Derivatives Pricing, Factor Investing & Asset Pricing, Risk Management & Tail Risk, Market Simulation & Agent-Based Models.
Frequent co-authors: Alessandro Doldi (4), Marco Maggis (2), Emanuela Rosazza Gianin (1), Francesca Biagini (1), Jean-Pierre Fouque (1), Thilo Meyer-Brandis (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
Shortfall systemic (multivariate) risk measures $ρ$ defined through an $N$-dimensional multivariate utility function $U$ and random allocations can be represented as classical (one dimensional) shortfall risk measures associated to an explicitly determined $1$-dimensional function constructed from $
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to cooperate through exchanges. We accordingly establish versions of the fundamental theorem of asset pricing and of the pricing
Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality. We derive a necessary and sufficient condition for the existence of (possibly zero-sum) exchanges among agents that strictly increase their indirect utilities and cha
This paper builds on “Collective Arbitrage and the Value of Cooperation” by Biagini et al. (2025, forthcoming in “Finance and Stochastics”), which introduced in discrete time the notions of collective arbitrage and super-replication in a multi-agent market framework, where agents may operate in seve