3 citations · 5 across the 7 of their papers we have counts for
7 papers
Multivariate Self-Exciting Processes with Dependencies
Caroline Hillairet, Thomas Peyrat, Anthony Réveillac
This paper introduces the class of multidimensional self-exciting processes with dependencies (MSPD), which is a unifying writing for a large class of processes: counting, loss, in…
Poisson imbedding meets the Clark-Ocone formula
Caroline Hillairet, Thomas Peyrat, Anthony Réveillac
In this paper we develop a representation formula of Clark-Ocone type for any integrable Poisson functionals, which extends the Poisson imbedding for point processes. This represen…
The value of the information in the Moral Hazard setting
Ishak Hajjej, Caroline Hillairet, Mohamed Mnif
This article studies the problem of evaluating the information that a Principal lacks when establishing an incentive contract with an Agent whose effort is not observable. The Prin…
Explicit correlations for the Hawkes processes
Caroline Hillairet, Anthony Reveillac
In this paper we fill a gap in the literature by providing exact and explicit expressions for the correlation of general Hawkes processes together with its intensity process. Our m…
Trading against disorderly liquidation of a large position under asymmetric information and market impact
Caroline Hillairet, Cody Hyndman, Ying Jiao +1
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquida…
Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
Nicole El Karoui, Mohamed Mrad, Caroline Hillairet
The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and…