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Co-authors
(46)
Tomasz R. Bielecki
26
Marek Rutkowski
25
Marc Yor
17
Marc Chesney
13
Stephane Crepey (Stéphane Crépey)
8
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Authors
Monique Jeanblanc
Monique Jeanblanc,Université de Evry Val d'Essonne,Mathematical & Quantitative Methods,Financial Economics,Control & Optimization
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Monique Jeanblanc
Université de Evry Val d'Essonne
Publications:
93
|
Citations:
804
Fields:
Mathematical & Quantitative Methods
,
Financial Economics
,
Control & Optimization
View FAQ about top research areas and Fields of study
Collaborated with
46 co-authors
from 1997 to 2012
|
Cited by
625 authors
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Annual
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Publications
(93)
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VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
T. R. BIELECKI
,
S. CRÉPEY
,
M. JEANBLANC
,
B. ZARGARI
Published in 2012.
On arbitrages arising with honest times
Claudio Fontana
,
Monique Jeanblanc
,
Shiqi Song
Published in 2012.
Default times, no-arbitrage conditions and changes of probability measures
Delia Coculescu
,
Monique Jeanblanc
,
Ashkan Nikeghbali
Published in 2012.
Hedging of a credit default swaption in the CIR default intensity model
(
Citations: 2
)
Tomasz R. Bielecki
,
Monique Jeanblanc
,
Marek Rutkowski
Journal:
Finance and Stochastics
, pp. 1-32, 2011
Random times with given survival probability and their F -martingale decomposition formula
Monique Jeanblanc
,
Shiqi Song
Journal:
Stochastic Processes and Their Applications - STOCH PROC APPL
, vol. 121, no. 6, pp. 1389-1410, 2011
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Citations
(804 times by 525 publications)
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
(
Citations: 2
)
Rüdiger Frey
,
Thorsten Schmidt
Journal:
Finance and Stochastics
, pp. 1-29, 2012
Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
I. Duarte
,
D. Pinheiro
,
A. A. Pinto
,
S. R. Pliska
Journal:
Optimization
, vol. ahead-of-p, no. ahead-of-p, pp. 1-24, 2012
Delta-hedging correlation risk?
Areski Cousin
,
Stéphane Crépey
,
Yu Hang Kan
Journal:
Review of Derivatives Research
, pp. 1-32, 2012
A Dynkin game with asymmetric information
Jukka Lempa
,
Pekka Matomäki
Journal:
Stochastics An International Journal of Probability and Stochastic Processes
, vol. ahead-of-p, no. ahead-of-p, pp. 1-26, 2012
Stochastic volatility models including open, close, high and low prices
Enrique Ter Horst
,
Abel Rodriguez
,
Henryk Gzyl
,
German Molina
Journal:
Quantitative Finance - QUANT FINANC
, vol. 12, no. 2, pp. 199-212, 2012
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