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1

[Lecture Notes in Mathematics] Paris-Princeton Lectures on Mathematical Finance 2010 Volume 2003 || Mean Field Games and Applications

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, 622 KB

english, 2011

2

Options Prices in Incomplete Markets

Jacod, Jean, Protter, Philip, Crépey, Stéphane, Jeanblanc, Monique, Nikeghbali, Ashkan

Journal:

ESAIM: Proceedings and Surveys

Year:

2017

Language:

english

File:

PDF, 413 KB

english, 2017

3

Robustness of the Black and Scholes Formula

Nicole El Karoui, Monique Jeanblanc-Picquè, Steven E. Shreve

Journal:

Mathematical Finance

Year:

1998

Language:

english

File:

PDF, 268 KB

english, 1998

4

Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis

Brunel, Vivien, Crepey, Stephane, Jeanblanc, Monique

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 379 KB

english, 2015

5

On Models of Default Risk

R. J. Elliott, M. Jeanblanc, M. Yor

Journal:

Mathematical Finance

Year:

2000

Language:

english

File:

PDF, 285 KB

english, 2000

6

UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH

JEANBLANC, MONIQUE, MASTROLIA, THIBAUT, POSSAMAÏ, DYLAN, RÉVEILLAC, ANTHONY

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 599 KB

english, 2015

7

[Peking University Series in Mathematics] Arbitrage, Credit and Informational Risks Volume 5 || On the Existence of Martingale Measures in Jump Diffusion Market Models

Hillairet, Caroline, Jeanblanc, Monique, Jiao, Ying

Year:

2014

Language:

english

File:

PDF, 282 KB

english, 2014

8

No-arbitrage up to random horizon for quasi-left-continuous models

Aksamit, Anna, Choulli, Tahir, Deng, Jun, Jeanblanc, Monique

Journal:

Finance and Stochastics

Year:

2017

Language:

english

File:

PDF, 1021 KB

english, 2017

9

Optimal investment decisions when time-horizon is uncertain

Christophette Blanchet-Scalliet, Nicole El Karoui, Monique Jeanblanc, Lionel Martellini

Journal:

Journal of Mathematical Economics

Year:

2008

Language:

english

File:

PDF, 492 KB

english, 2008

10

Random times with given survival probability and their -martingale decomposition formula

Monique Jeanblanc, Shiqi Song

Journal:

Stochastic Processes and their Applications

Year:

2011

Language:

english

File:

PDF, 333 KB

english, 2011

11

Self-similar processes with independent increments associated with Lévy and Bessel processes

M. Jeanblanc, J. Pitman, M. Yor

Journal:

Stochastic Processes and their Applications

Year:

2002

Language:

english

File:

PDF, 118 KB

english, 2002

12

Optimal portfolio for a small investor in a market model with discontinuous prices

Monique Jeanblanc-Picqué, Monique Pontier

Journal:

Applied Mathematics & Optimization

Year:

1990

Language:

english

File:

PDF, 1.06 MB

english, 1990

13

Incompleteness of markets driven by a mixed diffusion

N. Bellamy, M. Jeanblanc

Journal:

Finance and Stochastics

Year:

2000

Language:

english

File:

PDF, 110 KB

english, 2000

14

Brownian Excursions and Parisian Barrier Options

Marc Chesney, Monique Jeanblanc-Picqué and Marc Yor

Journal:

Advances in Applied Probability

Year:

1997

Language:

english

File:

PDF, 1.37 MB

english, 1997

15

Existence of an Optimal Markovian Filter for the Control under Partial Observations

El Karoui, Nicole, Nguyen, Du′ Huù, Jeanblanc-Picqué, Monique

Journal:

SIAM Journal on Control and Optimization

Year:

1988

Language:

english

File:

PDF, 3.95 MB

english, 1988

16

INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA

CRÉPEY, S., JEANBLANC, M., WU, D.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2013

Language:

english

File:

PDF, 676 KB

english, 2013

17

Pricing American currency options in an exponential Lévy model

Chesney, Marc, Jeanblanc, M.

Journal:

Applied Mathematical Finance

Year:

2004

Language:

english

File:

PDF, 339 KB

english, 2004

18

Mécanismes épigénétiques et troubles de l’usage d’alcool : une cible thérapeutique intéressante?

Legastelois, Rémi, Jeanblanc, Jérôme, Vilpoux, Catherine, Bourguet, Erika, Naassila, Mickael

Journal:

Biologie Aujourd hui

Year:

2017

Language:

english

File:

PDF, 1.10 MB

english, 2017

19

Animal models of binge drinking, current challenges to improve face validity

Jeanblanc, Jérôme, Rolland, Benjamin, Gierski, Fabien, Martinetti, Margaret P., Naassila, Mickael

Journal:

Neuroscience & Biobehavioral Reviews

Year:

2018

Language:

english

File:

PDF, 663 KB

english, 2018

20

Grossissements de filtrations : grossissements initiaux et progressifs

Yor, Marc, Crépey, Stéphane, Jeanblanc, Monique, Nikeghbali, Ashkan

Journal:

ESAIM: Proceedings and Surveys

Year:

2017

Language:

french

File:

PDF, 370 KB

french, 2017

21

What happens after a default: The conditional density approach

Nicole El Karoui, Monique Jeanblanc, Ying Jiao

Journal:

Stochastic Processes and their Applications

Year:

2010

Language:

english

File:

PDF, 464 KB

english, 2010

22

Incomplete markets with jumps and informed agents

Robert J. Elliott, Monique Jeanblanc

Journal:

Mathematical Methods of Operations Research

Year:

1999

Language:

english

File:

PDF, 140 KB

english, 1999

23

Valuation of default-sensitive claims under imperfect information

Delia Coculescu, Hélyette Geman, Monique Jeanblanc

Journal:

Finance and Stochastics

Year:

2008

Language:

english

File:

PDF, 915 KB

english, 2008

24

Progressive enlargement of filtrations with initial times

Monique Jeanblanc, Yann Le Cam

Journal:

Stochastic Processes and their Applications

Year:

2009

Language:

english

File:

PDF, 843 KB

english, 2009

25

Impulse Control Method and Exchange Rate

Monique Jeanblanc-Picqué

Journal:

Mathematical Finance

Year:

1993

Language:

english

File:

PDF, 587 KB

english, 1993

26

DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK

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

Journal:

Mathematical Finance

Year:

2008

Language:

english

File:

PDF, 226 KB

english, 2008

27

Compactification methods in the control of degenerate diffusions: existence of an optimal control

Nicole el, Karoui, Du'hŪŪ, Nguyen, Monique, Jeanblanc-Picqué

Journal:

Year:

1987

Language:

english

File:

PDF, 1.53 MB

english, 1987

28

Default times, no-arbitrage conditions and changes of probability measures

Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali

Journal:

Finance and Stochastics

Year:

2012

Language:

english

File:

PDF, 713 KB

english, 2012

29

VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL

BIELECKI, T. R., CRÉPEY, S., JEANBLANC, M., ZARGARI, B.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 756 KB

english, 2012

30

Évaluations d’actions en santé publique dans le champ de la prévention : rôle de la Haute Autorité de santé, bilan et perspectives

Dessaigne, A., Jeanblanc, G., Scemama, O., Rumeau Pichon, C.

Journal:

Revue d'Épidémiologie et de Santé Publique

Year:

2013

Language:

french

File:

PDF, 266 KB

french, 2013

31

On arbitrages arising with honest times

Fontana, Claudio, Jeanblanc, Monique, Song, Shiqi

Journal:

Finance and Stochastics

Year:

2014

Language:

english

File:

PDF, 967 KB

english, 2014

32

Arbitrage pricing of defaultable game options with applications to convertible bonds

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

Journal:

Quantitative Finance

Year:

2008

Language:

english

File:

PDF, 261 KB

english, 2008

33

Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices

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

Journal:

Stochastic Models

Year:

2006

Language:

english

File:

PDF, 209 KB

english, 2006

34

Up and down credit risk

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

Journal:

Quantitative Finance

Year:

2010

Language:

english

File:

PDF, 1.18 MB

english, 2010

35

[IEEE Proceedings of the 45th IEEE Conference on Decision and Control - San Diego, CA, USA (2006.12.13-2006.12.15)] Proceedings of the 45th IEEE Conference on Decision and Control - Arbitrage Pricing of Convertible Securities with Credit Risk

Bielecki, Tomasz R., Crepey, Stephane, Jeanblanc, Monique, Rutkowski, Marek

Year:

2006

Language:

english

File:

PDF, 147 KB

english, 2006

36

PDE approach to valuation and hedging of credit derivatives

Bielecki, Tomasz R., Jeanblanc *, Monique, Rutkowski, Marek

Journal:

Quantitative Finance

Year:

2005

Language:

english

File:

PDF, 261 KB

english, 2005

37

PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS

GAPEEV, PAVEL V., JEANBLANC, MONIQUE

Journal:

International Journal of Theoretical and Applied Finance

Year:

2009

Language:

english

File:

PDF, 216 KB

english, 2009

38

PARTIAL INFORMATION AND HAZARD PROCESS

JEANBLANC, MONIQUE, VALCHEV, STOYAN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2005

Language:

english

File:

PDF, 684 KB

english, 2005

39

PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL

GAPEEV, PAVEL V., JEANBLANC, MONIQUE

Journal:

International Journal of Theoretical and Applied Finance

Year:

2010

Language:

english

File:

PDF, 231 KB

english, 2010

40

ROLE OF INFORMATION IN PRICING DEFAULT-SENSITIVE CONTINGENT CLAIMS

JEANBLANC, MONIQUE, LENIEC, MARTA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 301 KB

english, 2015

41

Optimization of the flow of dividends

Jeanblanc-Picqué, M, Shiryaev, A N

Journal:

Russian Mathematical Surveys

Year:

1995

Language:

english

File:

PDF, 169 KB

english, 1995

42

On the Starting and Stopping Problem: Application in Reversible Investments

Hamadène, Said, Jeanblanc, Monique

Journal:

Mathematics of Operations Research

Year:

2007

Language:

english

File:

PDF, 219 KB

english, 2007

43

On the Starting and Stopping Problem: Application in Reversible Investments

Said Hamadène and Monique Jeanblanc

Journal:

Mathematics of Operations Research

Year:

2007

Language:

english

File:

PDF, 1.39 MB

english, 2007

44

[Peking University Series in Mathematics] Arbitrage, Credit and Informational Risks Volume 5 || A Note on BSDEs with Singular Driver Coefficients

Hillairet, Caroline, Jeanblanc, Monique, Jiao, Ying

Year:

2014

Language:

english

File:

PDF, 260 KB

english, 2014

45

Rôle de la sensibilisation aux effets stimulants de l’alcool dans l’addiction et implication de la plasticité synaptique hippocampique

Naassila, M., Coune, F., Jeanblanc, J., Gonzales Marin, M.D.C.

Journal:

European Psychiatry

Year:

2015

Language:

french

File:

PDF, 78 KB

french, 2015

46

Density Approach in Modeling Successive Defaults

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

Journal:

SIAM Journal on Financial Mathematics

Year:

2015

Language:

english

File:

PDF, 330 KB

english, 2015

47

[Peking University Series in Mathematics] Arbitrage, Credit and Informational Risks Volume 5 || Arbitrages in a Progressive Enlargement Setting

Hillairet, Caroline, Jeanblanc, Monique, Jiao, Ying

Year:

2014

Language:

english

File:

PDF, 348 KB

english, 2014

48

[Peking University Series in Mathematics] Arbitrage, Credit and Informational Risks Volume 5 || A Portfolio Optimization Problem with Two Prices Generated by Two Information Flows

Hillairet, Caroline, Jeanblanc, Monique, Jiao, Ying

Year:

2014

Language:

english

File:

PDF, 247 KB

english, 2014

49

[Peking University Series in Mathematics] Arbitrage, Credit and Informational Risks Volume 5 || A Systematic Approach to Constructing Market Models with Arbitrage

Hillairet, Caroline, Jeanblanc, Monique, Jiao, Ying

Year:

2014

Language:

english

File:

PDF, 192 KB

english, 2014

50

[Peking University Series in Mathematics] Arbitrage, Credit and Informational Risks Volume 5 || Option Pricing under Stochastic Volatility, Jumps and Cost of Information

Hillairet, Caroline, Jeanblanc, Monique, Jiao, Ying

Year:

2014

Language:

english

File:

PDF, 292 KB

english, 2014

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