Caroline Hillairet

Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

Palaiseau Cedex, 91128

France

SCHOLARLY PAPERS

2

DOWNLOADS

105

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Trading Against Disorderly Liquidation of a Large Position Under Asymmetric Information and Market Impact

Number of pages: 33 Posted: 08 Oct 2016
Caroline Hillairet, Cody Blaine Hyndman, Ying Jiao and Renjie Wang
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Concordia University, Quebec - Department of Mathematics and Statistics, Universit ?e Claude Bernard-Lyon 1, Institut de Science Financier et d’Assurances and Concordia University, Quebec - Department of Mathematics & Statistics
Downloads 63 (436,751)

Abstract:

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disorderly liquidation, asymmetric information, market impact, portfolio optimization, optimal trading, Monte-Carlo method

2.

Shapes of Implied Volatility with Positive Mass at Zero

Number of pages: 23 Posted: 04 Oct 2013 Last Revised: 29 Aug 2016
Stefano De Marco, Caroline Hillairet and Antoine (Jack) Jacquier
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees, Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Imperial College London
Downloads 42 (521,222)
Citation 4

Abstract:

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Atomic distribution, heavy-tailed distribution, Implied Volatility, smile asymptotics, absorption at zero, CEV model