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المؤلفون: Ying Jiao, Caroline Hillairet, Monique Jeanblanc
Resource Type: eBook.
الموضوعات: Credit--Management, Arbitrage--Mathematical models, Stochastic analysis, Options (Finance)--Prices
Categories: MATHEMATICS / Probability & Statistics / Stochastic Processes, MATHEMATICS / Applied, BUSINESS & ECONOMICS / Finance / Financial Risk Management
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2Report
المؤلفون: Karoui, El, Caroline, Hillairet, Mohamed, Mrad
المساهمون: Laboratoire de Probabilités, Statistique et Modélisation (LPSM (UMR_8001)), Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS)-Université Paris Cité (UPCité), Centre de Recherche en Economie et Statistique Bruz (CREST), Ecole Nationale de la Statistique et de l'Analyse de l'Information Bruz (ENSAI), Laboratoire Analyse, Géométrie et Applications (LAGA), Université Paris 8 Vincennes-Saint-Denis (UP8)-Centre National de la Recherche Scientifique (CNRS)-Université Sorbonne Paris Nord
المصدر: https://hal.science/hal-03919186 ; 2022.
Relation: hal-03919186; https://hal.science/hal-03919186; https://hal.science/hal-03919186/document; https://hal.science/hal-03919186/file/BiRevealedDefaultableFinal.pdf
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المصدر: Insurance: Mathematics and Economics. 107:88-101
مصطلحات موضوعية: Statistics and Probability, Economics and Econometrics, Statistics, Probability and Uncertainty
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4Academic Journal
المؤلفون: El Karoui, Nicole, Hillairet, Caroline, Mrad, Mohamed, Karoui, El, Caroline, Hillairet, Mohamed, Mrad
المساهمون: Laboratoire de Probabilités, Statistique et Modélisation (LPSM (UMR_8001)), Université Paris Diderot - Paris 7 (UPD7)-Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS), Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP), École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), Laboratoire Analyse, Géométrie et Applications (LAGA), Université Paris 8 Vincennes-Saint-Denis (UP8)-Université Paris 13 (UP13)-Institut Galilée-Centre National de la Recherche Scientifique (CNRS)
المصدر: ISSN: 1593-8883.
مصطلحات موضوعية: SDEs, stochastic utility with consumtion, Long term Yield curve, consistent stochastic utilities, forward utilities, Forward/backward portfolio optimization, Market-consistent progressive utility of investment and consumption, Marginal indifference pricing, Yields curves, Ramsey rule, stochastic flows, Utility SPDE, Long run rates, Forward/backward portfolio optimization JEL 2018: C54, C61, D52, E43, G12, 60H15, 91B18, 91B70, 91G10, 91G30, JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C54 - Quantitative Policy Modeling, JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic Analysis, JEL: D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D52 - Incomplete Markets, JEL: E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]
Relation: info:eu-repo/semantics/altIdentifier/arxiv/1404.1895; hal-00974815; https://hal.science/hal-00974815; https://hal.science/hal-00974815v3/document; https://hal.science/hal-00974815v3/file/RamseySubmitDEFNov20.pdf; ARXIV: 1404.1895
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المؤلفون: Nicole El Karoui, Caroline Hillairet, Mohamed Mrad
المصدر: Decisions in Economics and Finance. 45:375-414
مصطلحات موضوعية: General Economics, Econometrics and Finance, Finance
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المؤلفون: Karoui, El, Caroline, Hillairet, Mohamed, Mrad
المساهمون: Mrad, Mohamed
وصف الملف: application/pdf
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المؤلفون: Alain Monfort, Jean Michel Beacco, Catherine Lubochinsky, Caroline Hillairet, Marie Brière, Sylvain Benoit
المصدر: Journal of Asset Management. 20:413-420
مصطلحات موضوعية: Finance, Information Systems and Management, business.industry, Strategy and Management, media_common.quotation_subject, Economics, Business and International Management, business, Financial services, Risk management, Interest rate, media_common
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المؤلفون: Olivier Lopez, Caroline Hillairet
المساهمون: Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP), École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), Laboratoire de Probabilités, Statistiques et Modélisations (LPSM (UMR_8001)), Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS)-Université de Paris (UP), Laboratoire de Statistique Théorique et Appliquée (LSTA), Université Pierre et Marie Curie - Paris 6 (UPMC)-Centre National de la Recherche Scientifique (CNRS)
مصطلحات موضوعية: Statistics and Probability, Economics and Econometrics, emerging risks, Computer science, risk theory, compartmental epidemiological models, [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], 01 natural sciences, 010104 statistics & probability, compartmental epi- demiological models, Response strategy, [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST], 0502 economics and business, Confidence bounds, Cyber-Insurance, Cyber insurance, 0101 mathematics, Event (probability theory), 050208 finance, 05 social sciences, Gaussian approximation, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], Risk analysis (engineering), Cyber-attack, Portfolio, Statistics, Probability and Uncertainty, Insurance portfolio, counting processes
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المساهمون: R&D, Milliman, Paris, Milliman, École Nationale de la Statistique et de l'Administration Économique (ENSAE Paris)
مصطلحات موضوعية: Statistics and Probability, Economics and Econometrics, Multivariate statistics, Computer science, Internal model, Inference, Cyber risk, Data breach, computer.software_genre, 01 natural sciences, Clustering, 010104 statistics & probability, Joint probability distribution, [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST], 0502 economics and business, Cyber-Insurance, 0101 mathematics, Data breaches, Cluster analysis, Hawkes process, 050208 finance, 05 social sciences, Prediction and uncertainty, Data mining, Statistics, Probability and Uncertainty, computer, Quantile
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10Academic Journal
المؤلفون: Default Threshold, Caroline Hillairet, Ying Jiao
المساهمون: The Pennsylvania State University CiteSeerX Archives
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.393.5008; http://hal.inria.fr/docs/00/66/31/36/PDF/ProceedingHammametGiesecke.pdf
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11Academic Journal
المؤلفون: Caroline Hillairet, Ying Jiao
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: asymmetric information, enlargement of filtrations, default threshold, risk neutral probability measures, pricing of credit derivatives
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.406.5701; http://hal.archives-ouvertes.fr/docs/00/45/74/56/PDF/pricing.pdf
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12Academic Journal
المساهمون: The Pennsylvania State University CiteSeerX Archives
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.389.7; http://www.gillesteyssiere.net/Conferences/workshop_2008/DetectionInitie25nov08.pdf
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13Report
المؤلفون: El Karoui, Nicole, Hillairet, Caroline, Mrad, Mohamed, Karoui, El, Caroline, Hillairet, Mohamed, Mrad
المساهمون: Laboratoire de Probabilités, Statistiques et Modélisations (LPSM (UMR_8001)), Université Paris Diderot - Paris 7 (UPD7)-Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS), Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP), École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), Laboratoire Analyse, Géométrie et Applications (LAGA), Université Paris 8 Vincennes-Saint-Denis (UP8)-Centre National de la Recherche Scientifique (CNRS)-Institut Galilée-Université Paris 13 (UP13)
المصدر: https://hal.archives-ouvertes.fr/hal-00974815 ; 2014.
مصطلحات موضوعية: SDEs, stochastic utility with consumtion, Long term Yield curve, consistent stochastic utilities, forward utilities, Forward/backward portfolio optimization, Market-consistent progressive utility of investment and consumption, Marginal indifference pricing, Yields curves, Ramsey rule, stochastic flows, Utility SPDE, Long run rates, Forward/backward portfolio optimization JEL 2018: C54, C61, D52, E43, G12, 60H15, 91B18, 91B70, 91G10, 91G30, JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C54 - Quantitative Policy Modeling, JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic Analysis, JEL: D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D52 - Incomplete Markets, JEL: E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]
Relation: info:eu-repo/semantics/altIdentifier/arxiv/1404.1895; hal-00974815; https://hal.archives-ouvertes.fr/hal-00974815; https://hal.archives-ouvertes.fr/hal-00974815v3/document; https://hal.archives-ouvertes.fr/hal-00974815v3/file/RamseySubmitDEFNov20.pdf; ARXIV: 1404.1895
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المؤلفون: Caroline Hillairet, Cody B. Hyndman, Ying Jiao, Renjie Wang
المصدر: ESAIM: Proceedings and Surveys, Vol 56, Pp 42-71 (2017)
مصطلحات موضوعية: Capital market line, Financial economics, Monetary economics, computer.software_genre, 01 natural sciences, Hedge fund, FOS: Economics and business, 010104 statistics & probability, Information asymmetry, Portfolio Management (q-fin.PM), Order (exchange), 91G10, 93E20, 93E11, 91G60, 60G35, 0502 economics and business, QA1-939, FOS: Mathematics, Market price, Asset (economics), 0101 mathematics, Algorithmic trading, Quantitative Finance - Portfolio Management, T57-57.97, 050208 finance, Quantitative Finance - Trading and Market Microstructure, Applied mathematics. Quantitative methods, business.industry, 05 social sciences, Probability (math.PR), Mathematical Finance (q-fin.MF), Trading and Market Microstructure (q-fin.TR), Quantitative Finance - Mathematical Finance, Position (finance), Business, Portfolio optimization, Market impact, computer, Mathematics - Probability, Mathematics
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المؤلفون: Antoine Jacquier, Stefano De Marco, Caroline Hillairet
المساهمون: Engineering & Physical Science Research Council (EPSRC)
المصدر: SIAM Journal on Financial Mathematics. 8:709-737
مصطلحات موضوعية: Mathematics, Interdisciplinary Applications, Stochastic modelling, Social Sciences, atomic distribution, absorption at zero, Computational Finance (q-fin.CP), DEFAULT, Implied volatility, 01 natural sciences, STOCHASTIC VOLATILITY, EXTREME STRIKES, FOS: Economics and business, 010104 statistics & probability, Quantitative Finance - Computational Finance, Business & Economics, 0102 Applied Mathematics, 0502 economics and business, Statistical physics, 0101 mathematics, heavy-tailed distribution, SMILE, 91G20, 65C50, Mathematics, CEV model, Numerical Analysis, Science & Technology, 050208 finance, Stochastic volatility, smile asymptotics, Applied Mathematics, 05 social sciences, ASYMPTOTICS, Zero (complex analysis), Social Sciences, Mathematical Methods, Business, Finance, MODEL, Moment (mathematics), Heavy-tailed distribution, Constant elasticity of variance model, Physical Sciences, Pricing of Securities (q-fin.PR), mass at zero, Constant (mathematics), Quantitative Finance - Pricing of Securities, Mathematical Methods In Social Sciences, Finance
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المؤلفون: Caroline Hillairet, Yahia Salhi, Nicole El Karoui, Stéphane Loisel
المساهمون: Centre de Mathématiques Appliquées (CMAP), Université de Versailles Saint-Quentin-en-Yvelines (UVSQ)-École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP), École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon
المصدر: Revue d'économie financière
Revue d'économie financière, Association d'économie financière 2019, N°133 (1), pp.129. ⟨10.3917/ecofi.133.0129⟩مصطلحات موضوعية: [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], 010104 statistics & probability, 050208 finance, 0502 economics and business, 05 social sciences, General Medicine, 0101 mathematics, [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO]Humanities and Social Sciences/Economics and Finance, 01 natural sciences, ComputingMilieux_MISCELLANEOUS
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المؤلفون: Caroline Hillairet, Mohamed Mrad, Nicole El Karoui
المصدر: Springer Proceedings in Mathematics & Statistics ISBN: 9783030222840
مصطلحات موضوعية: 050208 finance, 05 social sciences, Aggregate (data warehouse), Pareto principle, Discount points, 01 natural sciences, Term (time), 010104 statistics & probability, Pareto optimal, 8. Economic growth, 0502 economics and business, Econometrics, Economics, Yield curve, 0101 mathematics, Marginal utility
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المؤلفون: Caroline Hillairet, Anthony Réveillac, Ying Jiao
المصدر: Probability, Uncertainty and Quantitative Risk, Vol 3, Iss 1, Pp 1-19 (2018)
مصطلحات موضوعية: 050208 finance, Insurance derivatives, Counting process, Stochastic process, Risk measure, Malliavin calculus, 05 social sciences, Pricing formulae, 01 natural sciences, lcsh:QA75.5-76.95, Cox process, Cox processes, 010104 statistics & probability, Expected shortfall, 0502 economics and business, Cash flow, lcsh:Electronic computers. Computer science, lcsh:Probabilities. Mathematical statistics, 0101 mathematics, lcsh:QA273-280, Mathematical economics, Value at risk, Mathematics
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19eBook
المؤلفون: Caroline Hillairet, Ying Jiao
Resource Type: eBook.
الموضوعات: Investments, Stocks, Portfolio management, Investment analysis
Categories: BUSINESS & ECONOMICS / Econometrics
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المؤلفون: Ishak Hajjej, Mohamed Mnif, Caroline Hillairet, Monique Pontier
المساهمون: Ecole Nationale d'Ingénieurs de Tunis (ENIT), Université de Tunis El Manar (UTM), École Nationale de la Statistique et de l'Administration Économique (ENSAE Paris), Institut de Mathématiques de Toulouse UMR5219 (IMT), Institut National des Sciences Appliquées - Toulouse (INSA Toulouse), Institut National des Sciences Appliquées (INSA)-Institut National des Sciences Appliquées (INSA)-Université Toulouse 1 Capitole (UT1), Université Fédérale Toulouse Midi-Pyrénées-Université Fédérale Toulouse Midi-Pyrénées-Université Toulouse - Jean Jaurès (UT2J)-Université Toulouse III - Paul Sabatier (UT3), Université Fédérale Toulouse Midi-Pyrénées-Centre National de la Recherche Scientifique (CNRS), Université Toulouse Capitole (UT Capitole), Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National des Sciences Appliquées - Toulouse (INSA Toulouse), Institut National des Sciences Appliquées (INSA)-Université de Toulouse (UT)-Institut National des Sciences Appliquées (INSA)-Université Toulouse - Jean Jaurès (UT2J), Université de Toulouse (UT)-Université Toulouse III - Paul Sabatier (UT3), Université de Toulouse (UT)-Centre National de la Recherche Scientifique (CNRS), Laboratoire de statistique et probabilités, École Nationale de la Statistique et de l'Administration Économique ( ENSAE ParisTech ), Laboratoire d'Économie et de Gestion Industrielle [Tunis] ( LEGI ), Ecole Polytechnique de Tunisie, Institut de Mathématiques de Toulouse UMR5219 ( IMT ), Université Toulouse 1 Capitole ( UT1 ) -Université Toulouse - Jean Jaurès ( UT2J ) -Université Toulouse III - Paul Sabatier ( UPS ), Université Fédérale Toulouse Midi-Pyrénées-Université Fédérale Toulouse Midi-Pyrénées-PRES Université de Toulouse-Institut National des Sciences Appliquées - Toulouse ( INSA Toulouse ), Institut National des Sciences Appliquées ( INSA ) -Institut National des Sciences Appliquées ( INSA ) -Centre National de la Recherche Scientifique ( CNRS )
المصدر: Stochastics: An International Journal of Probability and Stochastic Processes
Stochastics: An International Journal of Probability and Stochastic Processes, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2017, 89 (6-7), pp.1015-1038
Stochastics: An International Journal of Probability and Stochastic Processes, 2017, 89 (6-7), pp.1015-1038مصطلحات موضوعية: Statistics and Probability, 050208 finance, Actuarial science, Moral hazard, 05 social sciences, Public entity, Public administration, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], InformationSystems_GENERAL, Public–private partnership, Optimization and Control (math.OC), Modeling and Simulation, General partnership, 0502 economics and business, FOS: Mathematics, Business, 050207 economics, [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR], Mathematics - Optimization and Control, ComputingMilieux_MISCELLANEOUS
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