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51

Hedging of a credit default swaption in the CIR default intensity model

Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski

Journal:

Finance and Stochastics

Year:

2011

Language:

english

File:

PDF, 974 KB

english, 2011

52

Optimization of consumption with labor income

Nicole El Karoui, Monique Jeanblanc-Picqué

Journal:

Finance and Stochastics

Year:

1998

Language:

english

File:

PDF, 305 KB

english, 1998

53

Default-risky bond prices with jumps, liquidity risk and incomplete information

Monique Jeanblanc, Stoyan Valchev

Journal:

Decisions in Economics and Finance

Year:

2007

Language:

english

File:

PDF, 265 KB

english, 2007

54

An explicit model of default time with given survival probability

Monique Jeanblanc, Shiqi Song

Journal:

Stochastic Processes and their Applications

Year:

2011

Language:

english

File:

PDF, 356 KB

english, 2011

55

[Lecture Notes in Mathematics] Paris-Princeton Lectures on Mathematical Finance 2010 Volume 2003 || The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices

Cousin, Areski, Crépey, Stéphane, Guéant, Olivier, Hobson, David, Jeanblanc, Monique, Lasry, Jean-Michel, Laurent, Jean-Paul, Lions, Pierre-Louis, Tankov, Peter

Year:

2011

Language:

english

File:

PDF, 806 KB

english, 2011

56

Portfolio optimization in a defaultable market under incomplete information

Giorgia Callegaro, Monique Jeanblanc, Wolfgang J. Runggaldier

Journal:

Decisions in Economics and Finance

Year:

2012

Language:

english

File:

PDF, 389 KB

english, 2012

57

Marc Yor: A beautiful mind has disappeared

Geman, Helyette, Jeanblanc, Monique

Journal:

Stochastic Processes and their Applications

Year:

2014

Language:

english

File:

PDF, 135 KB

english, 2014

58

BSDEs with Singular Terminal Condition and a Control Problem with Constraints

Ankirchner, Stefan, Jeanblanc, Monique, Kruse, Thomas

Journal:

SIAM Journal on Control and Optimization

Year:

2014

Language:

english

File:

PDF, 308 KB

english, 2014

59

Optimality and Risk - Modern Trends in Mathematical Finance || Immersion Property and Credit Risk Modelling

Jeanblanc, Monique

Year:

2010

Language:

english

File:

PDF, 512 KB

english, 2010

60

Martingale representation property in progressively enlarged filtrations

Jeanblanc, Monique, Song, Shiqi

Journal:

Stochastic Processes and their Applications

Year:

2015

Language:

english

File:

PDF, 516 KB

english, 2015

61

Minimal$f^{q}\text{-Martingale}$Measures for Exponential Lévy Processes

Monique Jeanblanc, Susanne Klöppel and Yoshio Miyahara

Journal:

The Annals of Applied Probability

Year:

2007

Language:

english

File:

PDF, 1.70 MB

english, 2007

62

Pricing and Trading Credit Default Swaps in a Hazard Process Model

Tomasz R. Bielecki, Monique Jeanblanc and Marek Rutkowski

Journal:

The Annals of Applied Probability

Year:

2008

Language:

english

File:

PDF, 2.29 MB

english, 2008

63

MEAN-VARIANCE HEDGING VIA STOCHASTIC CONTROL AND BSDES FOR GENERAL SEMIMARTINGALES

Monique Jeanblanc, Michael Mania, Marina Santacroce and Martin Schweizer

Journal:

The Annals of Applied Probability

Year:

2012

Language:

english

File:

PDF, 2.61 MB

english, 2012

64

[Lecture Notes in Mathematics] Paris-Princeton Lectures on Mathematical Finance 2003 Volume 1847 || Hedging of Defaultable Claims

Bielecki, Tomasz R., Björk, Tomas, Jeanblanc, Monique, Rutkowski, Marek, Scheinkman, José A., Xiong, Wei, Carmona, René A., Çinlar, Erhan, Ekeland, Ivar, Jouini, Elyes, Scheinkman, José A., Touzi, Niz

Year:

2004

Language:

english

File:

PDF, 1.15 MB

english, 2004

65

Controlling the Occupation Time of an Exponential Martingale

Ankirchner, Stefan, Blanchet-Scalliet, Christophette, Jeanblanc, Monique

Journal:

Applied Mathematics & Optimization

Year:

2016

Language:

english

File:

PDF, 472 KB

english, 2016

66

Carthaginian enlargement of filtrations

Callegaro, Giorgia, Jeanblanc, Monique, Zargari, Behnaz

Journal:

ESAIM Probability and Statistics

Year:

2013

Language:

english

File:

PDF, 280 KB

english, 2013

67

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

Jeanblanc, Monique, Lakner, Peter, Kadam, Ashay

Journal:

Mathematics of Operations Research

Year:

2004

Language:

english

File:

PDF, 278 KB

english, 2004

68

Optimization problem under change of regime of interest rate

Iftimie, Bogdan, Jeanblanc, Monique, Lim, Thomas

Journal:

Stochastics and Dynamics

Year:

2015

Language:

english

File:

PDF, 763 KB

english, 2015

69

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

Monique Jeanblanc, Peter Lakner and Ashay Kadam

Journal:

Mathematics of Operations Research

Year:

2004

Language:

english

File:

PDF, 2.44 MB

english, 2004

70

Mean-variance hedging via stochastic control and BSDEs for general semimartingales

Jeanblanc, Monique, Mania, Michael, Santacroce, Marina, Schweizer, Martin

Journal:

The Annals of Applied Probability

Year:

2012

Language:

english

File:

PDF, 445 KB

english, 2012

71

Brownian Excursions and Parisian Barrier Options

Chesney, Marc, Jeanblanc-Picqué, Monique, Yor, Marc

Journal:

Advances in Applied Probability

Year:

1997

Language:

english

File:

PDF, 1.57 MB

english, 1997

72

Conic martingales from stochastic integrals

Jeanblanc, Monique, Vrins, Frédéric

Journal:

Mathematical Finance

Year:

2017

Language:

english

File:

PDF, 699 KB

english, 2017

73

Dynamics of multivariate default system in random environment

El Karoui, Nicole, Jeanblanc, Monique, Jiao, Ying

Journal:

Stochastic Processes and their Applications

Year:

2017

Language:

english

File:

PDF, 496 KB

english, 2017

74

[Lecture Notes in Mathematics] Paris-Princeton Lectures on Mathematical Finance 2003 Volume 1847 || Heterogeneous Beliefs, Speculation and Trading in Financial Markets

Bielecki, Tomasz R., Björk, Tomas, Jeanblanc, Monique, Rutkowski, Marek, Scheinkman, José A., Xiong, Wei, Carmona, René A., Çinlar, Erhan, Ekeland, Ivar, Jouini, Elyes, Scheinkman, José A., Touzi, Niz

Year:

2004

Language:

english

File:

PDF, 318 KB

english, 2004

75

[SpringerBriefs in Quantitative Finance] Enlargement of Filtration with Finance in View || Immersion

Aksamit, Anna, Jeanblanc, Monique

Year:

2017

Language:

english

File:

PDF, 220 KB

english, 2017

76

[SpringerBriefs in Quantitative Finance] Enlargement of Filtration with Finance in View || Compensators of Random Times

Aksamit, Anna, Jeanblanc, Monique

Year:

2017

Language:

english

File:

PDF, 287 KB

english, 2017

77

[SpringerBriefs in Quantitative Finance] Enlargement of Filtration with Finance in View || Initial Enlargement

Aksamit, Anna, Jeanblanc, Monique

Year:

2017

Language:

english

File:

PDF, 407 KB

english, 2017

78

[SpringerBriefs in Quantitative Finance] Enlargement of Filtration with Finance in View || Progressive Enlargement

Aksamit, Anna, Jeanblanc, Monique

Year:

2017

Language:

english

File:

PDF, 443 KB

english, 2017

79

[SpringerBriefs in Quantitative Finance] Enlargement of Filtration with Finance in View || Stochastic Processes

Aksamit, Anna, Jeanblanc, Monique

Year:

2017

Language:

english

File:

PDF, 317 KB

english, 2017

80

An enlargement of filtration formula with applications to multiple non-ordered default times

Jeanblanc, Monique, Li, Libo, Song, Shiqi

Journal:

Finance and Stochastics

Year:

2018

Language:

english

File:

PDF, 1.03 MB

english, 2018

81

[Lecture Notes in Mathematics] Paris-Princeton Lectures on Mathematical Finance 2003 Volume 1847 || On the Geometry of Interest Rate Models

Bielecki, Tomasz R., Björk, Tomas, Jeanblanc, Monique, Rutkowski, Marek, Scheinkman, José A., Xiong, Wei, Carmona, René A., Çinlar, Erhan, Ekeland, Ivar, Jouini, Elyes, Scheinkman, José A., Touzi, Niz

Year:

2004

Language:

english

File:

PDF, 572 KB

english, 2004

82

Enlargement of filtrations

Crépey, Stéphane, Jeanblanc, Monique, Nikeghbali, Ashkan, Crépey, Stéphane, Jeanblanc, Monique, Nikeghbali, Ashkan

Journal:

ESAIM: Proceedings and Surveys

Year:

2017

Language:

english

File:

PDF, 64 KB

english, 2017

83

Integral representations of martingales for progressive enlargements of filtrations

Aksamit, Anna, Jeanblanc, Monique, Rutkowski, Marek

Journal:

Stochastic Processes and their Applications

Year:

2018

Language:

english

File:

PDF, 454 KB

english, 2018

84

Defaultable Game Options in a Hazard Process Model

Bielecki, Tomasz R., Crépey, Stéphane, Jeanblanc, Monique, Rutkowski, Marek

Journal:

Journal of Applied Mathematics and Stochastic Analysis

Year:

2009

Language:

english

File:

PDF, 1.99 MB

english, 2009

85

Trading against disorderly liquidation of a large position under asymmetric information and market impact

Hillairet, Caroline, Hyndman, Cody, Jiao, Ying, Wang, Renjie, Crépey, Stéphane, Jeanblanc, Monique, Nikeghbali, Ashkan

Journal:

ESAIM: Proceedings and Surveys

Year:

2017

Language:

english

File:

PDF, 593 KB

english, 2017

86

Martingale representation processes and applications in the market viability under information flow expansion

Song, Shiqi, Crépey, Stéphane, Jeanblanc, Monique, Nikeghbali, Ashkan

Journal:

ESAIM: Proceedings and Surveys

Year:

2017

Language:

english

File:

PDF, 497 KB

english, 2017

87

Les débuts de la théorie du grossissement de filtrations

Jeulin, T., Crépey, Stéphane, Jeanblanc, Monique, Nikeghbali, Ashkan

Journal:

ESAIM: Proceedings and Surveys

Year:

2017

Language:

french

File:

PDF, 195 KB

french, 2017

88

Conic Martingales from Stochastic Integrals

Vrins, Frrddric D., Jeanblanc, Monique

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 949 KB

english, 2016

89

Some existence results for advanced backward stochastic differential equations with a jump time

Jeanblanc, Monique, Lim, Thomas, Agram, Nacira, Crépey, Stéphane, Jeanblanc, Monique, Nikeghbali, Ashkan

Journal:

ESAIM: Proceedings and Surveys

Year:

2017

Language:

english

File:

PDF, 594 KB

english, 2017

90

SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions

Brigo, Damiano, Jeanblanc, Monique, Vrins, Frédéric

Journal:

Stochastic Processes and their Applications

Year:

2019

File:

PDF, 821 KB

2019

91

Credit Default Swaps in Two-Dimensional Models with Various Information Flows

Gapeev, Pavel V., Jeanblanc, Monique

Journal:

International Journal of Theoretical and Applied Finance

Year:

2020

File:

PDF, 671 KB

2020

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