125 citations
- Centre de Recherche en Économie et StatistiqueFR43 papers
- Centre for Research in Engineering Surface TechnologyIE16 papers
- École Nationale de la Statistique et de l'Analyse de l'InformationFR14 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Center for Responsible TravelUS9 papers
- Criteo (France)FR6 papers
- Université Paris Dauphine-PSLFR6 papers
- Centre Inria de SaclayFR4 papers
- École PolytechniqueFR4 papers
- HEC ParisFR4 papers
- Centre de Recherche en Mathématiques de la DécisionFR3 papers
- Columbia UniversityUS3 papers
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q-fin.CP2026
Stochastic Policy Gradient Methods in the Uncertain Volatility Model
Lokman A Abbas-Turki, Jean-François Chassagneux, Jean-Philippe Lemor +2
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becom…
q-fin.CP2017
Pricing formulae for derivatives in insurance using the Malliavin calculus
Caroline Hillairet, Ying Jiao, Anthony Réveillac
In this paper we provide a valuation formula for different classes of actuarial and financial contracts which depend on a general loss process, by using the Malliavin calculus. In…
q-fin.CP2014★ 3 cited
Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Nicole El Karoui, Caroline Hillairet, Mohamed Mrad
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule th…