123 citations · 171 across the 4 of their papers we have counts for
4 papers · 1 filter
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…
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…