123 citations · 123 across the 1 of their papers we have counts for
2 papers
q-fin.PR2020
A random forest based approach for predicting spreads in the primary catastrophe bond market
Despoina Makariou, Pauline Barrieu, Yining Chen
We introduce a random forest approach to enable spreads' prediction in the primary catastrophe bond market. We investigate whether all information provided to investors in the offe…
math.PR2007★ 123 cited
Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures
Pauline Barrieu, Nicole El Karoui
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes howev…