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| Publications |
| Preprints |
2007 |
2006 |
2005 | 2004 |
2003 |
2002 |
2001 |
2000 |
1999 |
1998 |
1997 |
1996- |
Certains articles sont disponibles en version pdf. Cliquez sur
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Some of these papers are available in pdf version. Click on
the title.
| Preprints
- Working papers (back
to the
top) |
| 2010 |
|
Valuation
and Hedging of CDS Counterparty Exposure in a |
| Pricing
and filtering in
a two-dimensional dividend switching model P. Gapeev, M. Jeanblanc |
| Portfolio
optimization in defaultable
markets under incomplete information G. Callegaro, M. Jeanblanc, W. Runggaldier |
| Robust
utility maximization from terminal wealth and
consumption considering a discontinuous filtration M. Jeanblanc, A. Matoussi et A. Ngoupeyou |
| Explicit
Model of Default time with given Survival Probability Jeanblanc, M. and Song, S |
| Utility
maximisation for Jump diffusion
models. The case of complete and partial information M. Jeanblanc, S. Rolland et V. Lacoste |
| Prricing
of contingent claims in a
two-dimensional model with random
dividends P. Gapeev et M. Jeanblanc |
| Default
times with given survival probability and
theirF-martingale decomposition formula. Jeanblanc, M. and Song, S |
| 2009 |
| 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 |
| Counterparty
Risk on a CDS in a Markov Chain Copula Model with Joint Defaults S. Crépey, M. Jeanblanc, B. Zargari (2009) |
| What
happens after a default: the conditional density approach N. ElKaroui, M. Jeanblanc, Y. Jiao (2009) |
| Default times,
non arbitrage conditions
and change of probability measures D. Coculescu, M. Jeanblanc, A. Nikeghbali (2008) |
| Up and
down credit risk T. Bielecki, S. Crepey, M. Jeanblanc, M. Rutkowski (2008) |
| Hedging of Credit Default Swaptions T. Bielecki, M. Jeanblanc, M. Rutkowski (2008) |
|
2008(back
to the
top)
|
| Immersion
Property and Credit Risk Modelling M. Jeanblanc et Y. Le Cam (2007) SPA |
| Reduced
form modelling for credit risk M. Jeanblanc et Y. Le Cam (2007) |
| |
| Valuation and Hedging of Defaultable Game Options in a Hazard Process Model T .R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski Submitted (Long Preprint Version, Dec 23 2007). |
| Convertible
bonds in a defaultable diffusion model
T.R. Bielecki, S. Crépey, M. Jeanblanc et M. Rutkowski Submitted (this version, Dec 23 2007) |
| Pricing
and trading credit default swaps in a hazard process model
T.R. Bielecki, M. Jeanblanc et M. Rutkowski Soumis (2007) |
| Progressive
enlargement of filtration with initial times M. Jeanblanc, Y. Le Cam Soumis (2007) |
| Defaultable
Game Options in a Markovian Intensity Model T.R. Bielecki, S. Crépey, M. Jeanblanc et M. Rutkowski New Updated Version of the paper forthcoming under the same title in Mathematical Finance, Dec 23 2007. |
| Defaultable
Game Options in a Hazard
Process Model T.R. Bielecki, S. Crépey, M. Jeanblanc, M. Rutkowski Soumis (2006) |
| |
| Double
Exponential Jump Diffusion Process: A
Structural Model of endogenous default barrier with roll-over debt
structure. B. Dao et M. Jeanblanc (2005) Submitted |
| Arbitrage
Pricing
of Defaultable game options with
applications to Convertible Securities. T.R. Bielecki, S. Crépey, M. Jeanblanc et M. Rutkowski (2007) Quantitative Finance |
| Hedging
defaultable derivatives via utility theory. G. Bernis et M. Jeanblanc (2002). Soumis. |
| 2007(back to the top) |
| Optimal
investment and consumption decisions when time horizon is uncertain. C. Blanchet-Scalliet, N. El Karoui, M. Jeanblanc, et L. Martellini (2007): Journal of Mathematical Economics |
| Valuation
of default sensitive
claims under imperfect information D. Coculescu, H. Geman et M. Jeanblanc Finance and Stochastics |
| 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. |
| Default-risky
Bond Prices with Jumps,
Liquidity Risk and Heterogeneous Investors M. Jeanblanc et S. Valchev . To appear in Review of Financial Studies (2007) |
| Hedging
of Basket Credit Derivatives in CDS Market. T.R. Bielecki, M. Jeanblanc et M. Rutkowski, Journal of Credit Risk 3, 91-132 (2007) |
| 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) |
| On
the Starting and Stopping Problem. S. Hamadène et M. Jeanblanc (2007): Mathematics of Operations Research, 32, 182-192 |
| 2006 (back to the top) |
|
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) |
| Completeness of a Reduced-Form
Credit Risk Model with Discontinuous Asset Prices T.R. Bielecki, M. Jeanblanc, M. Rutkowski Stochastic Models 22 (2006) |
| 2005 (back to the top) |
| PDE
approach to valuation and
hedging of credit derivatives T.R. Bielecki, M. Jeanblanc et M. Rutkowski Quantitative finance 5, 257-270 (2005). |
| Partial
Information and Hazard Process. M. Jeanblanc et S. Valchev International Journal of Theoretical and Applied Finance 8, 807-838 (2005). |
| Indifference
prices in Indifference Pricing, Theory
and Applications, T.R. Bielecki et M. Jeanblanc Financial Engineering, Princeton University Press. R. Carmona editor 2005 |
| 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) . |
| 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) |
| Default
risk T. Bielecki , M. Jeanblanc et M. Rutkowski. (180 pages) Chaire Unesco, Tunis 2005 |
|
2004 (back to the top) |
| Pricing
American currency options in
exponential Lévy model. M. Chesney et M. Jeanblanc Applied Math. Fin. 11, 207-225 (2004) |
| Hazard
rate for credit risk and
hedging defaultable contingent claims. C. Blanchet-Scalliet et M. Jeanblanc Finance and Stochastics 8, 145-159 (2004). |
|
Hedging
of defaultable claims |
| 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). |
| 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 |
| 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) |
| 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) |
| Exotic
options M. Jeanblanc (50 pages) Bucarest 2003. |
| 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). |
|
Modelling and Hedging of credit risk. |
|
2002 (back to the top) |
| 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). |
| A
Rating-based Model for Credit Derivatives. R. Douady et M. Jeanblanc European Investment Review 1, 17-29 (2002). |
| 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). |
| 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). |
|
|
| 2001 (back to the top) |
| A
survey on mathematical finance: hedging, investment,
insurance, incomplete markets M. Jeanblanc (100 pages). Hong-Kong City University. 2001. |
| Marchés
incomplets. M. Jeanblanc. Finance contemporaine. Analyse, évaluation et applications, Chapitre 5, p 52-65, Economica (2001). |
| 2000 (back to the top) |
| Information
et risque de défaut C. Blanchet-Scalliet et M. Jeanblanc, Journal de la société française de Statistiques 141, p. 87-103 (2000). |
| Some
models on default risk. R.J. Elliott, M. Jeanblanc et M. Yor Mathematical Finance 10, p. 179-196 (2000). |
| Incomplete
markets with jumps. N. Bellamy et M. Jeanblanc Finance and Stochastics 4, p. 209-222 (2000). |
| Default
risk and hazard process, M. Jeanblanc and M. Rutkowski Congrès Bachelier 2000, pp. 281-312, Lecture notes in mathematics, Springer (2000). |
| 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. |
| Financial
markets, R. A. Dana et M. Jeanblanc, Encyclopedia of life support systems, (2000) |
| 1999 (back to the top) |
|
Options
exotiques |
| 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. |
| Default
risk modeling. M. Jeanblanc Ecole d'été INRIA-EDF, Mai 1999. |
| 1998 (back to the top) |
| Incomplete
markets and Informed agents R.J. Elliott et M. Jeanblanc Mathematical Method of Operations Research 50, p. 475-492 (1998). |
| Optimization
of consumption with labor
income N. El Karoui, et M. Jeanblanc-Picqué Finance and Stochastics 2, p. 409-440 (1998) . |
| Robustness
of the Black and Scholes Formula,
N. El Karoui, M. Jeanblanc-Picqué, et S. Shreve Mathematical Finance 8, p. 93-126 (1998). |
| Incomplete
markets with jumps and Informed agents, R.J. Elliott et M. Jeanblanc Mathématiques financières, INRIA, 18-19 mai 1998. |
| 1997 (back to the top) |
| Feynman-Kac
formula and
decompositions of Brownian paths M. Jeanblanc, J. Pitman, et M. Yor Computational and Applied Mathematics 16, p. 27-52 (1997). |
| 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) . |
| Brownian
excursion and
Parisian Barrier options, M. Chesney, M. Jeanblanc-Picqué, et M. Yor Adv. Appl. Prob. 29, p. 165-184 (1997) . |
| Parisian
Barrier options : a Discussion M. Chesney, J. Cornwall, M. Jeanblanc-Picqué, G. Kentwell, M. Yor, Risk Magazine, January, p. 77-79 (1997). |
| Arbitrage
et équilibre en temps continu, M. Jeanblanc-Picqué et R.A. Dana, Encyclopédie des marchés financiers (Economica), p 86-111. (1997) |
| before 1996 (back to the top) |
|
Optimization
of the flow of dividends, |
| 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. |
| Impulse
Control Method and Exchange Rate
M. Jeanblanc-Picqué Mathematical Finance 3, p. 161-178 (1993). |
| 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. |
| Martingale
measures and partially
observable diffusions, N. El Karoui, et M. Jeanblanc-Picqué Stochastic Analysis and Applications 9, p. 32-65 (1991). |
| 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). |
| 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). |
| 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). |
| 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). |
| 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) |
| |
| 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). |