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Crépey, Stéphane - Département de Mathématiques, Université d'Evry
Markov Chain Models of Portfolio Credit Risk Tomasz R. Bielecki
DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
Delta-hedging Vega Risk? Stephane Crepey
Doubly Reflected BSDEs with Call Protection and their Approximation
VALUATION OF BASKET CREDIT DERIVATIVES IN THE CREDIT MIGRATIONS ENVIRONMENT
Pricing Convertible Bonds with Call Protection Stphane Crpey , Abdallah Rahal
COMPUTATIONAL FINANCE Stphane CRPEY, vry University, France
Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model
Dynamic Modeling of Portfolio Credit Risk with Common Tomasz R. Bielecki1,
Delta-hedging Correlation Risk? Areski Cousin1
UP AND DOWN CREDIT RISK Tomasz R. Bielecki
About the Pricing Equations in Finance Stphane Crpey
Reected and Doubly Reected BSDEs with Jumps: A Priori Estimates and Comparison
COLE POLYTECHNIQUE pour obtenir le grade de
DEFAULTABLE GAME OPTIONS IN A HAZARD PROCESS MODEL
INSTITUTE OF PHYSICS PUBLISHING INVERSE PROBLEMS Inverse Problems 19 (2003) 91127 PII: S0266-5611(03)38970-1
CALIBRATION OF THE LOCAL VOLATILITY IN A GENERALIZED BLACKSCHOLES MODEL USING TIKHONOV REGULARIZATION
Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults
VALUATION AND HEDGING OF DEFAULTABLE GAME OPTIONS IN A HAZARD PROCESS MODEL
ARBITRAGE PRICING OF DEFAULTABLE GAME OPTIONS WITH APPLICATIONS TO CONVERTIBLE
TIKHONOV REGULARIZATION Stphane Crpey
UNIVERSIT D'VRY VAL-D'ESSONNE DOCUMENT DE SYNTHSE1
A BSDE Approach to Counterparty Risk under Funding Constraints
A defaultable HJM multiple-curve term structure model Stphane Crpey, Zorana Grbac and Hai-Nam Nguyen
