Search Results - person:"Hillairet, Caroline"

Optimal stopping contract for Public Private Partnerships under moral hazard

Hajjej, Ishak; Hillairet, Caroline; Mnif, Mohamed - In: Frontiers of mathematical finance : FMF 1 (2022) 4, pp. 539-573

Persistent link: https://www.econbiz.de/10015373949

Ramsey rule with forward/backward utility for long-term yield curves modeling

El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 375-414

Persistent link: https://www.econbiz.de/10013380575

Cyber-contagion model with network structure applied to insurance

Hillairet, Caroline; Lopez, Olivier; D' Oultremont, Louise - In: Insurance / Mathematics & economics 107 (2022), pp. 88-101

Persistent link: https://www.econbiz.de/10013471189

Multivariate Hawkes process for cyber insurance

Bessy-Roland, Yannick; Boumezoued, Alexandre; … - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 1, pp. 14-39

Persistent link: https://www.econbiz.de/10012505588

Propagation of cyber incidents in an insurance portfolio : counting processes combined with compartmental epidemiological models

Hillairet, Caroline; Lopez, Olivier - In: Scandinavian actuarial journal 2021 (2021) 8, pp. 671-694

Persistent link: https://www.econbiz.de/10012653667

Consistent utility of investment and consumption : a forward/backward SPDE viewpoint

El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - 2017

Persistent link: https://www.econbiz.de/10012200208

Pricing formulae for derivatives in insurance using the Malliavin calculus

Hillairet, Caroline; Jiao, Ying; Réveillac, Anthony - 2017

Persistent link: https://www.econbiz.de/10012200216

Trading against disorderly liquidation of a large position under asymmetric information and market impact

Hillairet, Caroline; Hyndman, Cody; Jiao, Ying; Wang, Renjie - 2017

Persistent link: https://www.econbiz.de/10012200243

Shapes of implied volatility with positive mass at zero

De Marco, Stefano; Hillairet, Caroline; Jacquier, A. - 2017

Persistent link: https://www.econbiz.de/10012200251

Trading Against Disorderly Liquidation of a Large Position Under Asymmetric Information and Market Impact

Hillairet, Caroline - 2016

We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective...

Persistent link: https://www.econbiz.de/10012981705