Calibration of the Local Volatility in a Generalized Black-Scholes Model Using Tikhonov Regularization. - Stéphane Crépey (SIAM J. Math. Anal., 2003)

Arbitrage Pricing of Convertible Securities with Credit Risk. - Tomasz R. Bielecki; Stéphane Crépey; Monique Jeanblanc; Marek Rutkowski (CDC, 2006)

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)

Counterparty risk and funding: immersion and beyond. - Stéphane Crépey; Shiqi Song (Finance Stochastics, 2016)

Central Clearing Valuation Adjustment. - Yannick Armenti; Stéphane Crépey (SIAM J. Financial Math., 2017)

Multivariate Shortfall Risk Allocation and Systemic Risk. - Yannick Armenti; Stéphane Crépey; Samuel Drapeau; Antonis Papapantoleon (SIAM J. Financial Math., 2018)

Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion. - Stéphane Crépey; Gersende Fort; Emmanuel Gobet; Uladzislau Stazhynski (SIAM/ASA J. Uncertain. Quantification, 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)

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)

Anomaly Detection in Financial Time Series by Principal Component Analysis and Neural Networks. - Stéphane Crépey; Noureddine Lehdili; Nisrine Madhar; Maud Thomas (Algorithms, 2022)

An Explicit Scheme for Pathwise XVA Computations. - Lokman A. Abbas-Turki; Stéphane Crépey; Botao Li; Bouazza Saadeddine (CoRR, 2024)