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Existence of equilibrium with discontinuous prices, asymmetric information, and nontrivial initial sigma-fields

Hillairet, Caroline - In: Mathematical finance : an international journal of … 15 (2005) 1, pp. 99-117

Persistent link: https://www.econbiz.de/10002583035

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

Affine long term yield curves : an application of the Ramsey rule with progressive utility

El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Journal of financial engineering 1 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010508124

Portfolio optimization with insider's initial information and counterparty risk

Hillairet, Caroline; Jiao, Ying - In: Finance and stochastics 19 (2015) 1, pp. 109-134

Persistent link: https://www.econbiz.de/10011417122

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

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

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

Measuring mortality heterogeneity with multi-state models and interval-censored data

Boumezoued, Alexandre; El Karoui, Nicole; Loisel, Stéphane - In: Insurance / Mathematics & economics 72 (2017), pp. 67-82

Persistent link: https://www.econbiz.de/10011691580

Cause-of-death mortality : what can be learned from population dynamics?

Boumezoued, Alexandre; Labit Hardy, Héloïse; El … - In: Insurance / Mathematics & economics 78 (2018), pp. 301-315

Persistent link: https://www.econbiz.de/10011825311