Monique Jeanblanc

Université d'Évry - Departement de Mathematiques

rue du pere Jarlan

F-91025 Evry Cedex

France

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 18,711

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14

CROSSREF CITATIONS

32

Scholarly Papers (11)

1.

Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis

Number of pages: 31 Posted: 07 Nov 2015
Vivien Brunel, Stéphane Crépey and Monique Jeanblanc
Société Générale, Université d'Évry - Equipe d'Analyse et Probabilites and Université d'Évry - Departement de Mathematiques
Downloads 639 (42,885)

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Expected Credit Loss (ECL), IFRS 9, Credit Value Adjustment (CVA), counterparty risk

2.

Reduced Form Modelling for Credit Risk

Number of pages: 25 Posted: 19 Oct 2007 Last Revised: 02 Aug 2009
Monique Jeanblanc and Yann Lecam
Université d'Évry - Departement de Mathematiques and Evry University
Downloads 305 (104,605)
Citation 10

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credit derivatives, intensity, hazard process, credit default swap

3.

Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales

Swiss Finance Institute Research Paper No. 11-62
Number of pages: 44 Posted: 24 Dec 2011 Last Revised: 13 Jun 2012
Université d'Évry - Departement de Mathematiques, Georgian American University, Polytechnic University of Turin and ETH Zurich
Downloads 143 (214,072)
Citation 9

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mean-variance hedging, stochastic control, backward stochastic differential equations, semimartingales, mathematical finance, variance-optimal martingale measure

4.

Progressive Enlargement of Filtrations with Initial Times

Number of pages: 21 Posted: 30 Jul 2007 Last Revised: 18 Nov 2008
Monique Jeanblanc and Yann Lecam
Université d'Évry - Departement de Mathematiques and Evry University
Downloads 97 (284,463)
Citation 1

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semi-martingales decomposition, filtration enlargement, initial time, credit risk

5.

Immersion Property and Credit Risk Modeling

Number of pages: 31 Posted: 18 Dec 2007 Last Revised: 18 Nov 2008
Yann Lecam and Monique Jeanblanc
Evry University and Université d'Évry - Departement de Mathematiques
Downloads 94 (290,295)

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credit derivatives, intensity, hazard process, hedging, completness, credit default swap

6.

Partial Information and Default Hazard Process

Number of pages: 20 Posted: 28 Jan 2004
Monique Jeanblanc and Stoyan Valchev
Université d'Évry - Departement de Mathematiques and University of Zurich - Swiss Banking Institute (ISB)
Downloads 82 (316,085)
Citation 4

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Credit risk, information, hazard process of default time, default probability

7.
Downloads 25 (518,045)
Citation 4

Conic Martingales from Stochastic Integrals

Number of pages: 34 Posted: 23 Mar 2016 Last Revised: 17 May 2017
Frédéric D. Vrins and Monique Jeanblanc
Louvain Finance Center (LFIN), UC Louvain and Université d'Évry - Departement de Mathematiques
Downloads 24 (540,245)
Citation 2

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bounded martingale, stochastic differential equation, diffusion process, stochastic survival probability

Conic Martingales from Stochastic Integrals

Mathematical Finance, Vol. 28, Issue 2, pp. 516-535, 2018
Number of pages: 20 Posted: 16 Mar 2018
Monique Jeanblanc and Frédéric D. Vrins
Université d'Évry - Departement de Mathematiques and Louvain Finance Center (LFIN), UC Louvain
Downloads 1 (716,745)
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bounded martingale, diffusion process, stochastic differential equation, stochastic survival probability

8.

Defaultable Options in a Markovian Intensity Model of Credit Risk

Mathematical Finance, Vol. 18, Issue 4, pp. 493-518, October 2008
Number of pages: 26 Posted: 19 Sep 2008
Illinois Institute of Technology, Université d'Évry - Equipe d'Analyse et Probabilites, Université d'Évry - Departement de Mathematiques and Politechnika Warszawska
Downloads 1 (683,253)
Citation 3
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9.

Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy

Mathematics of Operations Research, Vol. 29, No. 3, pp. 649-671, August 2004, Cass Business School Research Paper
Posted: 09 Aug 2005
Monique Jeanblanc, Peter Lakner and Ashay Kadam
Université d'Évry - Departement de Mathematiques, New York University (NYU) - Department of Information, Operations, and Management Sciences and IIM Udaipur

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Bankruptcy, Optimal Stopping

10.

On Models of Default Risk

Mathematical Finance, Vol. 10, No. 2, April 2000
Posted: 17 Mar 2001
Robert J. Elliott, Monique Jeanblanc and Marc Yor
University of Calgary - Haskayne School of Business, Université d'Évry - Departement de Mathematiques and Universite Paris

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11.

Optimization of Consumption with Labor Income

Finance and Stochastics, Vol. 2, No. 4, 1998
Posted: 26 Aug 1998
Nicole El Karoui and Monique Jeanblanc
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Université d'Évry - Departement de Mathematiques

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