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Group by: Creators | Item Type
Jump to: B | D | G | R
Number of items at this level: 27.

B

Barrieu, P. and El Karoui, N. (2008) Dynamic financial risk management. In: Yor, Marc, (ed.) Aspects of Mathematical Finance. Springer-Verlag, Paris, France, pp. 23-36. ISBN 9783540752585

Barrieu, Pauline (2008) Micro-assurance et derives climatiques. In: L'Art du Management. Les Echos, Paris, France. ISBN 9782842111816

Barrieu, Pauline and Bellamy, N. (2005) Impact of a market crisis on real options. In: Kyprianou, Andreas E., Schoutens, Wim and Wilmott, Paul, (eds.) Exotic Option Pricing and Advanced Lévy Models. Wiley Finance, London, UK. ISBN 9780470016848

Barrieu, Pauline, Bellamy, Nadine and Sahut, Jean-Michel (2012) Assessing the costs of protection in a context of switching stochastic regimes. Applied Mathematical Finance, 19 (6). pp. 495-511. ISSN 1350-486X

Barrieu, Pauline, 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 and Desgagne, Bernard Sinclair (2009) Economic policy when models disagree. Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment, 4. Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment, London, UK.

Barrieu, Pauline and Dischel, Robert S. (2001) Weather hedging at the hot air gas company. Erivativesreview.com .

Barrieu, Pauline 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 and El Karoui, Nicole (2004) Optimal risk transfer. Finance, 25 . pp. 31-47. ISSN 0752-6180

Barrieu, Pauline 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 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

Barrieu, Pauline and Fehr, Max (2011) Integrated EUA and CER price modeling and application for spread option pricing. Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment working papers, 40. Centre for Climate Change Economics and Policy and Grantham Research Institute on Climate Change and the Environment, London, UK.

Barrieu, Pauline and Fehr, Max (2014) Market-consistent modeling for cap-and-trade schemes and application to option pricing. Operations Research, 62 (2). pp. 234-249. ISSN 0030-364X

Barrieu, Pauline and Louberge, Henri (2013) Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints. Insurance: Mathematics and Economics, 52 (2). pp. 135-144. ISSN 0167-6687

Barrieu, Pauline and Scaillet, Olivier (2010) A primer on weather derivatives. In: Filar, Jerzy A. and Haurie, Alain, (eds.) Uncertainty and Environmental Decision Making: a Handbook of Research and Best Practice. International series in operations research & management science(138). Springer, pp. 155-176. ISBN 9781441911285

Barrieu, Pauline and Schoutens, Wim (2006) Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process. Journal of Computational and Applied Mathematics, 186 (1). pp. 300-323. ISSN 0377-0427

Barrieu, Pauline and Veraart, Luitgard A.M. (2014) Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models. Scandinavian Actuarial Journal . ISSN 0346-1238 (In Press)

Baurdoux, Erik J. (2007) Fluctuation theory and stochastic games for spectrally negative Lévy processes. PhD thesis, Universiteit Utrecht.

Baurdoux, Erik J. (2009) Last exit before an exponential time for spectrally negative Lévy processes. Journal of Applied Probability, 46 (2). pp. 542-588. ISSN 0021-9002

Baurdoux, Erik J. (2009) Some excursion calculations for reflected Lévy processes. Alea: Latin American Journal of Probability and Mathematical Statistics, 6 . pp. 149-162. ISSN 1980-0436

Baurdoux, Erik J. and Kyprianou, Andreas E. (2008) The McKean stochastic game driven by a spectrally negative Lévy process. Electronic Journal of Probability, 13 . pp. 173-197. ISSN 1083-6489

Baurdoux, Erik J. and Kyprianou, Andreas E. (2009) The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Theory of Probability and Its Applications, 53 (3). pp. 481-499. ISSN 0040-585X

Baurdoux, Erik J. and Kyprianou, Andreas E. (2008) The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Teoriya Veroyatnostei I Ee Primeneniya, 53 (3). pp. 588-609. ISSN 0040-361X

D

Dischel, Robert S. and Barrieu, Pauline (2002) Financial weather contracts and their application in risk management. In: Dischel, Robert S., (ed.) Climate Risk and the Weather Market: Financial Risk Management With Weather Hedges. Risk Books, London, UK, pp. 25-42. ISBN 9781899332526

G

Giammarino, Flavia and Barrieu, Pauline (2013) Indifference pricing with uncertainty averse preferences. Journal of Mathematical Economics, 49 (1). pp. 2-15. ISSN 0304-4068

Giammarino, Flavia and Barrieu, Pauline (2009) A semiparametric model for the systematic factors of portfolio credit risk premia. Journal of Empirical Finance, 16 (4). pp. 655-670. ISSN 0927-5398

R

Rheinlander, Thorsten and Sexton , Jenny (2011) Hedging derivatives. Advanced Series on Statistical Science and Applied Probability , 15 . World Scientific Publishing, London, UK. ISBN 9789814338790

This list was generated on Wed Oct 22 14:10:15 2014 BST.