Stéphane Crépey

According to our database, Stéphane Crépey authored at least 11 papers between 2003 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

An Explicit Scheme for Pathwise XVA Computations.

Lokman A. Abbas-Turki, Stéphane Crépey, Botao Li, Bouazza Saadeddine

CoRR, 2024

2022

Anomaly Detection in Financial Time Series by Principal Component Analysis and Neural Networks.

Stéphane Crépey, Noureddine Lehdili, Nisrine Madhar, Maud Thomas

Algorithms, 2022

2021

Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints.

Marc Chataigner, Areski Cousin, Stéphane Crépey, Matthew F. Dixon, Djibril Gueye

SIAM J. Financial Math., 2021

2020

When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments.

Stéphane Crépey, Wissal Sabbagh, Shiqi Song

SIAM J. Financial Math., 2020

Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion.

Stéphane Crépey, Gersende Fort, Emmanuel Gobet, Uladzislau Stazhynski

SIAM/ASA J. Uncertain. Quantification, 2020

2018

Multivariate Shortfall Risk Allocation and Systemic Risk.

Yannick Armenti, Stéphane Crépey, Samuel Drapeau, Antonis Papapantoleon

SIAM J. Financial Math., 2018

2017

Central Clearing Valuation Adjustment.

Yannick Armenti, Stéphane Crépey

SIAM J. Financial Math., 2017

2016

Counterparty risk and funding: immersion and beyond.

Stéphane Crépey, Shiqi Song

Finance Stochastics, 2016

2014

Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model.

Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson

J. Optim. Theory Appl., 2014

2006

Arbitrage Pricing of Convertible Securities with Credit Risk.

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

Proceedings of the 45th IEEE Conference on Decision and Control, 2006

2003

Calibration of the Local Volatility in a Generalized Black-Scholes Model Using Tikhonov Regularization.

Stéphane Crépey

SIAM J. Math. Anal., 2003