Monique Jeanblanc

Université d'Évry - Departement de Mathematiques

rue du pere Jarlan

F-91025 Evry Cedex

France

  • Université d'Évry - Departement de Mathematiques

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SCHOLARLY PAPERS

9

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18

CROSSREF CITATIONS

11

Scholarly Papers (9)

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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 992 (35,915)

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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 384 (120,254)
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
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 159 (284,860)
Citation 14

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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 117 (361,219)
Citation 2

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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 114 (367,939)

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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 96 (413,712)
Citation 6

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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 31 (696,054)
Citation 2

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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

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Bankruptcy, Optimal Stopping

9.

Optimization of Consumption with Labor Income

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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Other Papers (1)

Total Downloads: 26
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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 26 (376,599)

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