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Pricing formulae for derivatives in insurance using the Malliavin calculus
Hillairet, Caroline; Jiao, Ying; Réveillac, Anthony - 2017
Persistent link: https://www.econbiz.de/10012200216
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Market-consistent modeling for cap-and-trade schemes and application to option pricing
Barrieu, Pauline; Fehr, Max - In: Operations research 62 (2014) 2, pp. 234-249
Persistent link: https://www.econbiz.de/10010361477
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Arbitrage pricing and hedging of interest rate claims with state variables
El Karoui, Nicole; Myneni, Ravi; Viswanathan, R. - 1992
Persistent link: https://www.econbiz.de/10000875959
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Gaussian and Poisson approximation : applications to CDOs tranche pricing
El Karoui, Nicole; Jiao, Ying; Kurtz, David - In: The journal of computational finance 12 (2008/09) 2, pp. 31-58
Persistent link: https://www.econbiz.de/10009534632
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Dynamic asset pricing theory with uncertain time-horizon
Blanchet-Scalliet, Christophette; El Karoui, Nicole; … - In: Journal of economic dynamics & control 29 (2005) 10, pp. 1737-1764
Persistent link: https://www.econbiz.de/10003128383
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A probabilistic approach to the valuation of general floating-rate notes with an application to interest rate swaps
El Karoui, Nicole - In: Advances in futures and options research : a research annual 7 (1994), pp. 47-64
Persistent link: https://www.econbiz.de/10001193405