Monique Jeanblanc

According to our database1, Monique Jeanblanc authored at least 23 papers between 1993 and 2020.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

Online presence:

On csauthors.net:

Bibliography

2020
Characteristics and Constructions of Default Times.
SIAM J. Financial Math., 2020

2019
Adaptive Robust Control under Model Uncertainty.
SIAM J. Control. Optim., 2019

Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices.
Finance Stochastics, 2019

2018
An enlargement of filtration formula with applications to multiple non-ordered default times.
Finance Stochastics, 2018

No-arbitrage under a class of honest times.
Finance Stochastics, 2018

2017
No-arbitrage up to random horizon for quasi-left-continuous models.
Finance Stochastics, 2017

2015
Financial Markets Modeling.
Proceedings of the Encyclopedia of Systems and Control, 2015

Density Approach in Modeling Successive Defaults.
SIAM J. Financial Math., 2015

2014
BSDEs with Singular Terminal Condition and a Control Problem with Constraints.
SIAM J. Control. Optim., 2014

On arbitrages arising with honest times.
Finance Stochastics, 2014

2012
Default times, no-arbitrage conditions and changes of probability measures.
Finance Stochastics, 2012

2011
Hedging of a credit default swaption in the CIR default intensity model.
Finance Stochastics, 2011

2010
Valuation of default-sensitive claims under imperfect information (Publisher's Erratum).
Finance Stochastics, 2010

2008
Valuation of default-sensitive claims under imperfect information.
Finance Stochastics, 2008

2007
On the Starting and Stopping Problem: Application in Reversible Investments.
Math. Oper. Res., 2007

2006
Arbitrage Pricing of Convertible Securities with Credit Risk.
Proceedings of the 45th IEEE Conference on Decision and Control, 2006

2004
Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy.
Math. Oper. Res., 2004

Hazard rate for credit risk and hedging defaultable contingent claims.
Finance Stochastics, 2004

Environment and Financial Markets.
Proceedings of the Computational Science, 2004

2000
Incompleteness of markets driven by a mixed diffusion.
Finance Stochastics, 2000

1999
Incomplete markets with jumps and informed agents.
Math. Methods Oper. Res., 1999

1998
Optimization of consumption with labor income.
Finance Stochastics, 1998

1993
An application of impulse control method to target zone problem.
Proceedings of the System Modelling and Optimization: Proceedings of the 16th IFIP-TC7 Conference, 1993


  Loading...