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Preprints
- Working papers (back to the top)
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| 2010 |
Valuation
and Hedging of CDS Counterparty Exposure in a
Markov
Copula Model
T. R. Bielecki ; _S. Crépey , M. Jeanblanc B. Zargari
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Pricing
and filtering in
a two-dimensional dividend switching model
P.
Gapeev, M. Jeanblanc
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Portfolio
optimization in defaultable
markets under incomplete information
G.
Callegaro, M. Jeanblanc, W. Runggaldier
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Default
times with given survival probability and
theirF-martingale decomposition formula.
Jeanblanc,
M. and Song, S.
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Explicit
Model of Default time with given Survival Probability
Jeanblanc,
M. and Song, S.
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Robust
utility maximization from terminal wealth and
consumption considering a discontinuous filtration
M.
Jeanblanc, A. Matoussi et
A. Ngoupeyou
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.Utility
maximisation for Jump diffusion
models. The case of complete and partial information
M.
Jeanblanc,
S. Rolland et V. Lacoste
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Pricing
of contingent claims in a
two-dimensional model with random
dividends
P. Gapeev et M. Jeanblanc
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| 2009 |
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Constructing
random
times with given survival processes and applications to valuation of
credit
derivatives. P.
Gapeev, M. Jeanblanc, L. Li and M. Rutkowski
Contemporary Quantitative
Finance, C.
Chiarella and A. Novikov, eds.,
Springer-Verlag,
Berlin Heidelberg New York, 2010
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Counterparty Risk on a CDS in a Markov Chain Copula Model
with
Joint Defaults
S. Crépey, M. Jeanblanc, B. Zargari
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What happens after a default: the conditional density
approach
N. ElKaroui, M. Jeanblanc, Y. Jiao
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Hedging of Credit
Default Swaptions
T.. Bielecki, M Jeanblanc, M. Rutkowski
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Default times, non arbitrage conditions and change of
probability measures
D. Coculescu, M. Jeanblanc, A. Nikeghbali
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Up and Down credit Risk
T.R. Bielecki, S.
Crépey, M. Jeanblanc and M. Rutkowski
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2008
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Reduced form modelling for credit risk
M. Jeanblanc et Y. Le Cam (2008)
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Valuation and Hedging of
Defaultable Game Options in a Hazard Process Model
TT .R.
Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski Submitted
(Long Preprint Version, Dec 23 2007).
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Immersion Property and Credit Risk Modelling
M. Jeanblanc et Y. Le Cam (2007)
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Convertible bonds in a defaultable diffusion model
T.R. Bielecki, S.
Crépey, M. Jeanblanc et M. Rutkowski
Submitted (this version, Dec 23 2007)
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Pricing and trading credit default swaps in a
hazard process model
T.R. Bielecki, M.
Jeanblanc et M. Rutkowski
Submitted (2007)
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Progressive enlargement of filtration with initial times
M. Jeanblanc, Y. Le Cam
Submitted (2008) SPA
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Defaultable
Game options in a Markovian Intensity Model
T.R. Bielecki, S. Crépey, M. Jeanblanc et M. Rutkowski
Submitted (2007)
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Defaultable
Game options in a hazard process model
T.R. Bielecki, S. Crépey, M. Jeanblanc et M. Rutkowski
Submitted (2007)
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Valuation
of default sensitive claims under imperfect information
D. Coculescu, H.
Geman et M. Jeanblanc
Finance and Stochastics 2008
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Valuation
of basket credit derivatives in the credit migration environment
T.R. Bielecki, S.
Crépey, M. Jeanblanc et M. Rutkowski
Handbook of financial Engineering, J. Birge and V. Linetsky eds.,
Elsevier, 2006, forthcoming.
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Double
Exponential Jump Diffusion Process: A Structural Model of endogenous
default barrier with roll-over debt structure.
B. Dao et M.
Jeanblanc (2005) Submitted
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Arbitrage
Pricing of Defaultable game options with applications to
Convertible Securities.
T.R. Bielecki, S. Crépey, M.
Jeanblanc et M. Rutkowski (2006) Quantitative Finance
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Hedging
defaultable derivatives via utility theory.
G. Bernis et M. Jeanblanc (2002). Submitted.
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2007(back to the top)
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Optimal
investment and consumption decisions when time horizon is uncertain.
C. Blanchet-Scalliet, N. El Karoui, M. Jeanblanc, et L. Martellini
(2008):
Journal of Mathematical Economics
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Valuation of basket
credit derivatives in the credit migration environment
T.R.
Bielecki, S. Crépey, M. Jeanblanc et M. Rutkowski
Handbook of financial Engineering, J. Birge and V. Linetsky eds.,
Elsevier, 2006, forthcoming.
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Default-risky Bond Prices with Jumps, Liquidity Risk and
Heterogeneous Investors
M.
Jeanblanc et S. Valchev . To appear in Review of Financial
Studies (2007)
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Hedging of Basket Credit
Derivatives in CDS Market.
T.R.
Bielecki, M. Jeanblanc et M. Rutkowski, Journal of Credit Risk 3,
91-132 (2007)
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Minimal martingale
measures for exponential Lévy processes
M. Jeanblanc, S. Kloeppel, Y. Miyahara
Annals of Applied probabilities, Volume 17, Number 5/6, 1615-1638 (2007)
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On the Starting and
Stopping Problem.
S.
Hamadène et M. Jeanblanc (2007):
Mathematics of Operations Research, 32, 182-192
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2006 (back to the top)
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Hedging
of Credit Derivatives in Models with Totally Unexpected Default
T.R. Bielecki, M.
Jeanblanc, M. Rutkowski
Stochastic processes and applications to mathematical finance, Akahori,
J. Ogawa, S. and Watanabe S. Edt, p. 35-100 Proceedings of
the 5th Ritsumeikan International conference, World
Scientific (2006)
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Completeness of a Reduced-Form Credit
Risk Model with Discontinuous Asset Prices
T.R. Bielecki, M. Jeanblanc, M. Rutkowski
Stochastic Models 22 (2006)
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2005 (back to the top)
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PDE
approach to valuation and hedging of credit derivatives
T.R. Bielecki, M.
Jeanblanc et M. Rutkowski
Quantitative finance 5,
257-270 (2005).
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Partial
Information and Hazard Process.
M. Jeanblanc et S. Valchev
International Journal of Theoretical and Applied Finance 8, 807-838
(2005).
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Indifference prices in Indifference Pricing, Theory and
Applications,
T.R. Bielecki et M. Jeanblanc
Financial Engineering, Princeton University Press. R. Carmona editor
2005
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Optimal
portfolio management with American capital garantee.
N. El Karoui, M. Jeanblanc, et V. Lacoste
Journal of Control and Dynamic Theory 29, 449-468 (2005) .
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Completeness
of a General Semi-martingale Market under Constrained Trading.
T.R. Bielecki, M.
Jeanblanc, M. Rutkowski
Stochastic finance, Proceedings of International Lisbon Conference,
Shiryaev, A.N., Grossinho, M.R., Oliveira, P.E. and Esquivel, M.L.
Editors, Springer p 83-107 (2005)
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Default risk
T. Bielecki , M. Jeanblanc et M.
Rutkowski.
(180 pages) Chaire Unesco, Tunis 2005
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2004 (back to the top)
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Pricing
American currency options in exponential Lévy model.
M. Chesney et M. Jeanblanc
Applied Math. Fin. 11, 207-225 (2004)
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Hazard
rate for credit risk and hedging defaultable contingent claims.
C. Blanchet-Scalliet et M. Jeanblanc
Finance and Stochastics 8, 145-159 (2004).
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Hedging of defaultable
claims
T.R. Bielecki, M. Jeanblanc et M. Rutkowski
Paris-Princeton Series, 126 pages, Lecture notes in mathematical
finance, Springer. 2004
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Optimal
Bankruptcy Time and Consumption/Investment Policies on an Infinite
Horizon with a Continuous Debt Repayment until Bankruptcy
M. Jeanblanc, P.
Lakner and A. Kadam,
Mathematics of Operations Research 29, 649-671 (2004).
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Environment
and financial markets
W. Szatzschneider,
M. Jeanblanc, T. Kwiatkowska:
Computational Science-ICCS-2004. 4th-International
Conference proceedings.
Editors M. Bubak, G.D van-Albada, P.M.A Sloot, J.J Dongarra,
Lecture Notes in
Comput.Sci. Vol.3039. 2004: Vol.4, pages 787-94
Springer-Verlag, Berlin, Germany
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2003 (back to the top)
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Pricing and Hedging of Credit Risk: Replication and
Mean-Variance Approaches (I).
T. R. Bielecki, M. Jeanblanc, M. Rutkowski:
p. 37-53 Mathematics of Finance, proceedings of an AMS-IMS-SIAM Joint
summer Research conference on Mathematical finance, Utah conference
proceedings, Yin, G. and Zhang, Q. Edtrs (2003)
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Pricing
and Hedging of Credit Risk: Replication and Mean-Variance Approaches
(II).
T. R. Bielecki, M. Jeanblanc, M. Rutkowski
p. 54-64. Mathematics of Finance, proceedings of an AMS-IMS-SIAM Joint
summer Research conference on Mathematical finance, Utah conference
proceedings, Yin, G. and Zhang, Q. Edtrs (2003)
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Exotic options
M. Jeanblanc
(50 pages) Bucarest 2003.
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Stochastic
Methods in Credit Risk Modelling.
T. R. Bielecki, M. Jeanblanc et M.
Rutkowski
Stochastic
Methods in Finance:
Lectures given at the C.I.M.E.-E.M.S. Summer School held in
Bressanone/Brixen, Italy, July 6-12, 2003.
Lecture
notes in Mathematics 1856, p.27-128, Springer (2004).
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Modelling and Hedging of credit risk.
M.Jeanblanc et M.
Rutkowski. p.385-416, In
Credit derivatives, the definite guide, Application networks, Risk
book, (2003).
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2002 (back to the top)
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Environment
and finance : why we should make the environment a part of financial
markets.
M. Jeanblanc et W. Szatzchneider
Revista Mexicana de Economia y Finanzas 1, 131-142 (2002).
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A
Rating-based Model for Credit Derivatives.
R. Douady et M. Jeanblanc
European Investment Review 1, 17-29 (2002).
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Self
Similar processes with independent increments associated with Lévy and
Bessel processes.
M. Jeanblanc, J. Pitman, et M. Yor
Stochastic Processes and Applications 100, p. 223-232 (2002).
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A
complete market model with Poisson and Brownian components,
M. Jeanblanc et N. Privault
Proceedings of the Ascona '99 Seminar on Stochastic Analysis, Random
Fields and Applications, R. C. Dalang, M. Dozzi, F. Russo editors, pp.
189-204, Progress in Probability 52, Birkhauser (2002).
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2001 (back to the top)
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A
survey on mathematical finance: hedging, investment, insurance,
incomplete markets
M. Jeanblanc
(100 pages). Hong-Kong City University. 2001.
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Marchés incomplets.
M. Jeanblanc.
Publié dans Finance contemporaine, Analyse, évaluation et applications,
Chapitre 5, p 52-65, Economica (2001).
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2000 (back to the top)
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Information et
risque de défaut
C. Blanchet-Scalliet et M.
Jeanblanc,
Journal de la société française de Statistiques 141, p. 87-103 (2000).
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Some
models on default risk.
R.J. Elliott, M. Jeanblanc et M. Yor
Mathematical Finance 10, p. 179-196 (2000).
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Incomplete
markets with jumps.
N. Bellamy et M. Jeanblanc
Finance and Stochastics 4, p. 209-222 (2000).
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Default
risk and hazard process,
M. Jeanblanc and M. Rutkowski
Congrès Bachelier 2000, pp. 281-312, Lecture notes in mathematics,
Springer (2000).
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Modeling
default risk: Mathematical tools.
M. Jeanblanc and Rutkowski, M.
(100 pages) Fixed Income and Credit risk modeling and Management, New
York University, Stern scholl of business, Statistics and operations
research department, Workshop, May 5, 2000.
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Financial
markets,
R. A. Dana et M. Jeanblanc,
Encyclopedia of life support systems, (2000)
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1999 (back to the top)
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Options
exotiques
N. El Karoui et M. Jeanblanc
Finance, Septembre, p. 49-67 (1999) .
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Models
for default risk: An overview.
M. Jeanblanc and M. Rutkowski
Shanghai summer school August 1999. Mathematical finance: theory and
practise, Yong J. and Cont R. editors, Higher education press.
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Default risk modeling.
M. Jeanblanc
Ecole d'été INRIA-EDF, Mai 1999.
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1998 (back to the top)
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Incomplete
markets and Informed agents
R.J. Elliott et M.
Jeanblanc
Mathematical Method of Operations Research 50, p. 475-492 (1998).
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Optimization
of consumption with labor income
N. El Karoui, et M.
Jeanblanc-Picqué
Finance and Stochastics 2, p. 409-440 (1998) .
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Robustness
of the Black and Scholes Formula,
N. El Karoui, M. Jeanblanc-Picqué, et S. Shreve
Mathematical Finance 8, p. 93-126 (1998).
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Incomplete markets
with jumps and Informed agents,
R.J. Elliott et M. Jeanblanc
Mathématiques financières, INRIA, 18-19 mai 1998.
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1997 (back to the top)
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Feynman-Kac
formula and decompositions of Brownian paths
M. Jeanblanc, J.
Pitman, et M. Yor
Computational and Applied Mathematics 16, p. 27-52 (1997).
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Some
combinations of Asian, Parisian and Barrier Options,
M. Chesney, H. Geman, M. Jeanblanc-Picqué, et M. Yor
Mathematics of Derivative securities, Publication of Newton Institute,
M. Demptser and S. Pliska Eds., Cambridge University Press, p. 61-87
(1997) .
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Brownian
excursion and Parisian Barrier options,
M. Chesney, M. Jeanblanc-Picqué, et M. Yor
Adv. Appl. Prob. 29, p. 165-184 (1997) .
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Parisian
Barrier options : a Discussion
M. Chesney, J.
Cornwall, M. Jeanblanc-Picqué, G. Kentwell, M. Yor,
Risk Magazine, January, p. 77-79 (1997).
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Arbitrage et
équilibre en temps continu,
M. Jeanblanc-Picqué et R.A. Dana,
Encyclopédie des marchés financiers (Economica), p 86-111. (1997)
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before
1996 (back
to the top)
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Optimization of the flow of dividends,
M. Jeanblanc-Picqué, et A.N. Shiryaev
(in
Russian), Uspekhi Mathem. Naut. 50
p. 25-46 (1995).
Traduit dans Russian Math. Surveys
50/2 p. 257-277 (1995).
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An
application of impulse control theory to target zone problem.
M. Jeanblanc-Picqué
Proceedings 16th IFIP Conference on System Modelling and Optimisation.
Lecture notes in control and information sciences (1994).
Springer-Verlag.
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Impulse
Control Method and Exchange Rate
M. Jeanblanc-Picqué
Mathematical Finance 3, p. 161-178 (1993).
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Bounds
for options.
N. El Karoui, M. Jeanblanc-Picqué, R. Viswanathan
Proceedings US French Workshop on Applied Stochastic Analysis. Rutgers
(1991). Lecture notes in control and information sciences. N 117. pp.
224-237. Springer-Verlag.
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Martingale
measures and partially observable diffusions,
N. El Karoui, et M. Jeanblanc-Picqué
Stochastic Analysis and Applications 9, p. 32-65 (1991).
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Optimal
portfolio for a small investor in a market with discontinuous prices,
M. Jeanblanc-Picqué et M. Pontier
Applied mathematics and optimization 22, p. 287-310 (1990).
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Robustness
of Black-Scholes formula.
N. El Karoui, M. Jeanblanc-Picqué, R. Viswanathan
HEC 1990 International Conference in Finance. Session Option Pricing.
Vol 2 (1990).
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Existence
of an optimal markovian filter for the control under partial
observations,
N. El Karoui, D. Hu Nguyen, et M. Jeanblanc-Picqué
SIAM J. Control and optimization 26, p. 1025-1061 (1989).
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Contrôle de
processus de Markov,
N. El Karoui, et M. Jeanblanc-Picqué
Séminaire de probabilités, XXII, Lecture notes in mathematics 1321,
Springer, p. 508-541 (1988).
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Compactification
methods in the control of degenerate diffusions: existence of an
optimal control,
N. El Karoui, D. Hu Nguyen, et M. Jeanblanc-Picqué
Stochastics 20, p. 169-219 (1987)
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Existence d'un
filtre markovien optimal en contrôle partiellement observable,
N. El Karoui, D. Hu Nguyen, et M. Jeanblanc-Picqué,
Comptes Rendus de l’Académie des Sciences 303, p. 31-34 (1986).
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