1 citations · 1 across the 4 of their papers we have counts for
6 papers
Continuous-time modeling and bootstrap for Schnieper's reserving
Nicolas Baradel
We revisit Schnieper's model, which decomposes incurred but not reported (IBNR) reserves into two components: reserves for newly reported claims (true IBNR) and reserves for change…
Constrained deep learning for pricing and hedging european options in incomplete markets
Nicolas Baradel
In incomplete financial markets, pricing and hedging European options lack a unique no-arbitrage solution due to unhedgeable risks. This paper introduces a constrained deep learnin…
Optimal control under unknown intensity with Bayesian learning
Nicolas Baradel, Quentin Cormier
We investigate an optimal control problem motivated by neuroscience, where the dynamics is driven by a Poisson process with a controlled stochastic intensity and an unknown paramet…
Optimal control under uncertainty: Application to the issue of CAT bonds
Nicolas Baradel
We propose a general framework for studying optimal issue of CAT bonds in the presence of uncertainty on the parameters. In particular, the intensity of arrival of natural disaster…
Optimal inventory management and order book modeling
Nicolas Baradel, Bruno Bouchard, David Evangelista +1
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) fir…
Optimal control under uncertainty and Bayesian parameters adjustments
N. Baradel, B. Bouchard, Ngoc Minh Dang
We propose a general framework for studying optimal impulse control problem in the presence of uncertainty on the parameters. Given a prior on the distribution of the unknown param…