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Shapes of implied volatility with positive mass at zero
De Marco, Stefano; Hillairet, Caroline; Jacquier, A. - 2017
Persistent link: https://www.econbiz.de/10012200251
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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
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Pricing formulae for derivatives in insurance using the Malliavin calculus
Hillairet, Caroline; Jiao, Ying; Réveillac, Anthony - 2017
Persistent link: https://www.econbiz.de/10012200216
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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