Stéphane Crépey

11 papers Journal 10Unranked 1
YearRankTypeTitle / Venue / Authors
2024 J jnl
An Explicit Scheme for Pathwise XVA Computations.
CoRR
Lokman A. Abbas-Turki, Stéphane Crépey, Botao Li, Bouazza Saadeddine
2022 J jnl
Anomaly Detection in Financial Time Series by Principal Component Analysis and Neural Networks.
Algorithms
Stéphane Crépey, Noureddine Lehdili, Nisrine Madhar, Maud Thomas
2021 J jnl
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints.
SIAM J. Financial Math.
Marc Chataigner, Areski Cousin, Stéphane Crépey, Matthew F. Dixon, Djibril Gueye
2020 J jnl
Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion.
SIAM/ASA J. Uncertain. Quantification
Stéphane Crépey, Gersende Fort, Emmanuel Gobet, Uladzislau Stazhynski
2020 J jnl
When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments.
SIAM J. Financial Math.
Stéphane Crépey, Wissal Sabbagh, Shiqi Song
2018 J jnl
Multivariate Shortfall Risk Allocation and Systemic Risk.
SIAM J. Financial Math.
Yannick Armenti, Stéphane Crépey, Samuel Drapeau, Antonis Papapantoleon
2017 J jnl
Central Clearing Valuation Adjustment.
SIAM J. Financial Math.
Yannick Armenti, Stéphane Crépey
2016 J jnl
Counterparty risk and funding: immersion and beyond.
Finance Stochastics
Stéphane Crépey, Shiqi Song
2014 J jnl
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model.
J. Optim. Theory Appl.
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson
2006 — conf
Arbitrage Pricing of Convertible Securities with Credit Risk.
CDC
Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski
2003 J jnl
Calibration of the Local Volatility in a Generalized Black-Scholes Model Using Tikhonov Regularization.
SIAM J. Math. Anal.
Stéphane Crépey