123 citations · 171 across the 4 of their papers we have counts for
5 papers
What happens after a default: the conditional density approach
Nicole El Karoui, Monique Jeanblanc, Ying Jiao
We present a general model for default time, making precise the role of the intensity process, and showing that this process allows for a knowledge of the conditional distribution…
Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
Nicole El Karoui, Asma Meziou
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class as…
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…
Maturity randomization for stochastic control problems
Bruno Bouchard, Nicole El Karoui, Nizar Touzi
We study a maturity randomization technique for approximating optimal control problems. The algorithm is based on a sequence of control problems with random terminal horizon which…
Measuring and hedging financial risks in dynamical world
Nicole El Karoui
Financial markets have developed a lot of strategies to control risks induced by market fluctuations. Mathematics has emerged as the leading discipline to address fundamental quest…