Items where Author is "El Karoui, Nicole"

Article

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2013) Monotone stability of quadratic semimartingales with applications to general quadratic BSDEs. Annals of Probability, 41 (3B). pp. 1831-1863. ISSN 0091-1798

Barrieu, Pauline ORCID: 0000-0001-9473-263X, Bensusan, Harry, El Karoui, Nicole, Hillairet, Caroline, Loisel, Stephane, Ravanelli, Claudia and Salhi, Yahia (2012) Understanding, modelling and managing longevity risk: key issues and main challenges. Scandinavian Actuarial Journal, 3. pp. 203-231. ISSN 0346-1238

Barrieu, Pauline ORCID: 0000-0001-9473-263X, Cazanave, Nicolas and El Karoui, Nicole (2008) Closedness results for BMO semi-martingales and application to quadratic BSDE's. Comptes Rendus Mathématique, 346 (15-16). pp. 881-886. ISSN 1631-073X

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2005) Inf-convolution of risk measures and optimal risk transfer. Finance and Stochastics, 9 (2). pp. 269-298. ISSN 0949-2984

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2004) Optimal risk transfer. Finance, 25. pp. 31-47. ISSN 0752-6180

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2003) Structuration optimale de produits dérivés et diversification en présence de sources de risque non-négociables. Comptes Rendus Mathematiques, 336 (6). pp. 493-498. ISSN 1631-073X

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2002) Reinsuring climatic risk using optimally designed weather bonds. The Geneva Papers on Risk and Insurance Theory, 27 (2). pp. 87-113. ISSN 0926-4957

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2002) Optimal design of derivatives in illiquid markets. Quantitative Finance, 2 (3). pp. 181-188. ISSN 1469-7688

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2002) Optimal design of weather derivatives. Algo research quarterly, 5. pp. 79-92. ISSN 1488-0539

Book Section

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2008) Pricing, hedging and optimally designing derivatives via minimization of risk measures. In: Carmona, René, (ed.) Indifference Pricing: Theory and Applications. Princeton University Press, Princeton, USA.

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2005) Dynamic financial risk management. In: Aspects des Mathématiques Financières. Technique et documentation (Firm). ISBN 2743008873

Barrieu, Pauline ORCID: 0000-0001-9473-263X and El Karoui, Nicole (2004) Optimal derivatives design under dynamic risk measures. In: Yin, George and Zhang, Qing, (eds.) Mathematics of Finance. Contemporary mathematics (351). American Mathematical Society, Providence, USA, pp. 13-26. ISBN 9780821834121