123 citations · 236 across the 8 of their papers we have counts for
8 papers
Quickest detection in practice in presence of seasonality: An illustration with call center data
Patrick J. Laub, Nicole El Karoui, Stéphane Loisel +1
In this chapter, we explain how quickest detection algorithms can be useful for risk management in presence of seasonality. We investigate the problem of detecting fast enough case…
Quadratic Exponential Semimartingales and Application to BSDEs with jumps
Nicole El Karoui, Anis Matoussi, Armand Ngoupeyou
In this paper, we study a class of Quadratic Backward Stochastic Differential Equations (QBSDE in short) with jumps and unbounded terminal condition. We extend the class of quadrat…
Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework
Nicole El Karoui, Xiaolu Tan
We give a brief presentation of the capacity theory and show how it derives naturally a measurable selection theorem following the approach of Dellacherie (1972). Then we present t…
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…