Monique Jeanblanc

21 papers Misc 1Journal 18Unranked 1
YearRankTypeTitle / Venue / Authors
2020 J jnl
Characteristics and Constructions of Default Times.
SIAM J. Financial Math.
Monique Jeanblanc, Libo Li
2019 J jnl
Adaptive Robust Control under Model Uncertainty.
SIAM J. Control. Optim.
Tomasz R. Bielecki, Tao Chen, Igor Cialenco, Areski Cousin, Monique Jeanblanc
2019 J jnl
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices.
Finance Stochastics
Delia Coculescu, Monique Jeanblanc
2018 J jnl
An enlargement of filtration formula with applications to multiple non-ordered default times.
Finance Stochastics
Monique Jeanblanc, Libo Li, Shiqi Song
2018 J jnl
No-arbitrage under a class of honest times.
Finance Stochastics
Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
2017 J jnl
No-arbitrage up to random horizon for quasi-left-continuous models.
Finance Stochastics
Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
2015 J jnl
Density Approach in Modeling Successive Defaults.
SIAM J. Financial Math.
Nicole El Karoui, Monique Jeanblanc, Ying Jiao
2015 — ch.
Financial Markets Modeling.
Encyclopedia of Systems and Control
Monique Jeanblanc
2014 J jnl
BSDEs with Singular Terminal Condition and a Control Problem with Constraints.
SIAM J. Control. Optim.
Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse
2014 J jnl
On arbitrages arising with honest times.
Finance Stochastics
Claudio Fontana, Monique Jeanblanc, Shiqi Song
2012 J jnl
Default times, no-arbitrage conditions and changes of probability measures.
Finance Stochastics
Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali
2011 J jnl
Hedging of a credit default swaption in the CIR default intensity model.
Finance Stochastics
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
2010 J jnl
Valuation of default-sensitive claims under imperfect information (Publisher's Erratum).
Finance Stochastics
Delia Coculescu, Hélyette Geman, Monique Jeanblanc
2008 J jnl
Valuation of default-sensitive claims under imperfect information.
Finance Stochastics
Delia Coculescu, Hélyette Geman, Monique Jeanblanc
2007 J jnl
On the Starting and Stopping Problem: Application in Reversible Investments.
Math. Oper. Res.
Said Hamadène, Monique Jeanblanc
2006 — conf
Arbitrage Pricing of Convertible Securities with Credit Risk.
CDC
Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski
2004 Misc conf
Environment and Financial Markets.
International Conference on Computational Science
Wojciech Szatzschneider, Monique Jeanblanc, Teresa Kwiatkowska
2004 J jnl
Hazard rate for credit risk and hedging defaultable contingent claims.
Finance Stochastics
Christophette Blanchet-Scalliet, Monique Jeanblanc
2004 J jnl
Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy.
Math. Oper. Res.
Monique Jeanblanc, Peter Lakner, Ashay Kadam
2000 J jnl
Incompleteness of markets driven by a mixed diffusion.
Finance Stochastics
Nadine Bellamy, Monique Jeanblanc
1999 J jnl
Incomplete markets with jumps and informed agents.
Math. Methods Oper. Res.
Robert J. Elliott, Monique Jeanblanc