Monique Jeanblanc

Université d'Évry - Departement de Mathematiques

rue du pere Jarlan

F-91025 Evry Cedex

France

  • Université d'Évry - Departement de Mathematiques

    • Email
    • Tel: 33 (0) 1 69 47 02 05/ 02 01
    • Fax: 33 (0) 1 69 47 02 18
SCHOLARLY PAPERS

9

DOWNLOADS
Rank 45,914

SSRN RANKINGS

Top 45,914

in Total Papers Downloads

2,163

TOTAL CITATIONS
Rank 30,744

SSRN RANKINGS

Top 30,744

in Total Papers Citations

42

Scholarly Papers (9)

Actions:
Email selected abstracts
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 1,101 (40,203)

Abstract:

Loading...

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 469 (122,639)
Citation 10

Abstract:

Loading...

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
Monique Jeanblanc, Michael Mania, Marina Santacroce and Martin Schweizer
Université d'Évry - Departement de Mathematiques, Georgian American University, Polytechnic University of Turin and ETH Zurich
Downloads 181 (329,323)
Citation 22

Abstract:

Loading...

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

4.

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 130 (432,977)

Abstract:

Loading...

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

5.

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 129 (435,527)
Citation 2

Abstract:

Loading...

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

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 105 (508,100)
Citation 6

Abstract:

Loading...

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

7.

Conic Martingales from Stochastic Integrals

Number of pages: 34 Posted: 23 Mar 2016 Last Revised: 17 May 2017
Frédéric D. Vrins and Monique Jeanblanc
LFIN/LIDAM, UCLouvain and Université d'Évry - Departement de Mathematiques
Downloads 48 (772,991)
Citation 2

Abstract:

Loading...

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

8.

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 Goa Institute of Management

Abstract:

Loading...

Bankruptcy, Optimal Stopping

9.

Optimization of Consumption with Labor Income

Posted: 26 Aug 1998
Nicole El Karoui and Monique Jeanblanc
École Polytechnique, Paris - Centre de Mathematiques Appliquees and Université d'Évry - Departement de Mathematiques

Abstract:

Loading...

Other Papers (1)

Total Downloads: 32
Actions:
Email selected abstracts
1.

Anticipated Default Stopping Time with Jump Diffusion Process

Number of pages: 21 Posted: 31 Dec 2014 Last Revised: 21 Dec 2021
Binh Dao and Monique Jeanblanc
Hanoi University - Faculty of Management and Tourism and Université d'Évry - Departement de Mathematiques
Downloads 32 (376,599)

Abstract:

Loading...

Anticipated default time, jump diffusion, structural model, zero coupon bond.