activity
20162026
most citedOptimal control under uncertainty: Application to the issue of CAT bonds

1 citations · 1 across the 4 of their papers we have counts for

collaborators
Showing 2018Show all

2 papers · 1 filter

math.OC2018★ 1 cited

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…

q-fin.TR2018

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…