123 citations · 123 across the 2 of their papers we have counts for
4 papers
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…
Assessing Financial Model Risk
Pauline Barrieu, Giacomo Scandolo
Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model…
Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
Pauline Barrieu, Nicole El Karoui
In this paper, we study the stability and convergence of some general quadratic semimartingales. Motivated by financial applications, we study simultaneously the semimartingale and…
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…