Monique JEANBLANC
1st Most Prolific Credit Author in DefaultRisk.com
8th Most Popular Author in DefaultRisk.com
Université d'Évry Val d'Essonne
Département de Mathématiques
rue du Père Jarlan
F-91025 Evry Cedex
FRANCE
| Contact: | | Email address secured by Enkoder. |
| Phone | +33 (0) 1 69 47 02 01/02 05 |
| Fax | +33 (0) 1 69 47 02 18 |
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Publications: that are posted on DefaultRisk.com
Credit Pricing
Defaultable Game Options in a Hazard Process Model
by Tom R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(747K PDF) -- 33 pages -- July 2009
Valuation of Default Sensitive Claims Under Imperfect Information
by Delia Coculescu of the Université Paris-Dauphine & ESSEC,
Hélyette Geman of the Université Paris-Dauphine & ESSEC, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne
(867K PDF) -- 35 page -- June 2006
Indifference Pricing and Hedging of Defaultable Claims
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of Warsaw University of Technology
(271K PDF) -- 27 pages -- May 1, 2004
Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches
by Tomasz R. Bielecki of the Illinois Institute of Technology, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(306K PDF) -- 25 pages -- October 18, 2003
Credit Modeling
What Happens After a Default: A conditional density approach
by Nicole El Karoui of Université Paris VI & École Polytechnique,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Ying Jiao of the Université Paris VII
(245K PDF) -- 25 pages -- May 5, 2009
Convertible Bonds in a Defaultable Diffusion Model
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Institut Europlace de Finance, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(457K PDF) -- 35 pages -- February 16, 2009
Immersion Property and Credit Risk Modelling
by Monique Jeanblanc of Université d'Évry Val d'Essonne & Institut Europlace de Finance, and
Yann Le Cam of the French Treasury
(348K PDF) -- 31 pages -- November 18, 2008
Up and Down Credit Risk
by Tom Bielecki of Illinois Institute of Technology,
Stéphane Crépey of the Université d’ Évry Val d’Essonne, and
Monique Jeanblanc of the Université d’ Évry Val d’Essonne & Europlace Institute of Finance
(1,312K PDF) -- 36 pages -- November 7, 2008
Defaultable Options in a Markovian Intensity Model of Credit Risk
by Tom Bielecki of Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry,
Monique Jeanblanc of the Université d'Évry,and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(371K PDF) -- 23 page -- December 23, 2007
Reduced Form Modelling for Credit Risk
by Monique Jeanblanc of the Université d'Évry Val d'Essonne & Institut Europlace de Finance, and
Yann Le Cam of the Université d'Évry Val d'Essonne & French Treasury
(296K PDF) -- 21 pages -- November 12, 2007
Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure
by Binh Dao of the Université Paris Dauphine, and
Monique Jeanblanc of the Université d'Évry
(388K PDF) -- 20 pages -- March 9, 2006
Completeness of a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(232K PDF) -- 19 pages -- August 20, 2005
Partial Information and Hazard Process
by Monique Jeanblanc of the Université d'Evry, and
Stoyan Valchev of ISB Zurich
(537K PDF) -- 32 pages -- November 4, 2004
Replication of Defaultable Claims within the Reduced-Form Framework
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales
(380K PDF) -- 47 pages -- April 13, 2004
Hazard Rate for Credit Risk and Hedging Defaultable Contingent Claims
by Christophette Blanchet-Scalliet of the Université d'Évry Val dEssonne, and
Monique Jeanblanc of the Université d'Évry Val dEssonne
(176K PDF) -- 14 pages -- November 4, 2002
Default Risk and Hazard Process
by Monique Jeanblanc Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(416K PDF) -- 32 pages -- December 2001
Elliott, Robert J., Monique Jeanblanc, and Marc Yor, "On Models of Default Risk", Mathematical Finance, Vol. 10, No. 2, (April 2000), pp. 179-196.
Modelling of Default Risk: Mathematicals Tools
by Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(864K PDF) -- 67 pages -- March 30, 2000
Modelling of Default Risk: an Overview
by Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the Warsaw University of Technology
(724K PDF) -- 58 pages -- October 27, 1999
Credit Derivatives
Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults
by Stephane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Behnaz Zargari of the Université d'Évry Val d'Essonne
(1,212K PDF) -- 32 pages -- May 21, 2009
Hedging of Credit Default Swaptions in a Hazard Process Model
by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d’Évry Val d’Essonne & Institut Europlace de Finance, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(292K PDF) -- 28 pages -- December 2, 2008
Pricing and Trading Credit Default Swaps in a Hazard Process Model
by Tomasz Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of Évry University, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(284K PDF) -- 26 pages -- July 23, 2007
Hedging of Credit Derivatives in Models with Totally Unexpected Default
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of Warsaw University of Technology
(395K PDF) -- 50 pages -- October 7, 2005
PDE Approach to Valuation and Hedging of Credit Derivatives
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(231K PDF) -- 14 pages -- June 2005
A Rating-based Model for Credit Derivatives
by Raphael Douady of RiskData, and
Monique Jeanblanc of Evry University
(312K PDF) -- 13 pages -- 2002
Collateralized Debt Obligations
Hedging of Basket Credit Derivatives in Credit Default Swap Market
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(325K PDF) -- 29 pages -- December 27, 2006
Valuation of Basket Credit Derivatives in the Credit Migrations Environment
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(362K PDF) -- 28 pages -- January 2006
Other Credit
Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(282K PDF) -- 22 pages -- November 28, 2006
Mean-Variance Hedging of Defaultable Claims
by Tomasz R. Bielecki of the Illinois Institute of Technology,
Monique Jeanblanc of the Université d'Évry Val d'Essonne, and
Marek Rutkowski of the University of New South Wales & Warsaw University of Technology
(300K PDF) -- 31 pages -- May 1, 2004
Market Completeness in the Presence of Default Risk
by Nordine Bennani of Société Générale, and
Monique Jeanblanc of the Université d'Evry
(187K PDF) -- 16 pages -- April 2004
Books and Contributed Chapters:
 | Mathematical Methods for Financial Markets
by Monique Jeanblanc, Marc Yor, Marc Chesney
Springer, (November 12, 2009), Hardcover, 732 pages |
 | Optimality and Risk - Modern Trends in Mathematical Finance
(see Ch.6 by M.Jeanblanc & Y.Le Cam
Springer, (October 14, 2009), Hardcover, 266 pages |
 | Financial Markets in Continuous Time, 2nd Edition
by Rose-Anne Dana, Monique Jeanblanc, A. Kennedy
Springer, (September 10, 2007), Paperback, 326 pages |
 | Credit Derivatives: The Definitive Guide
by Jon Gregory (editor)
Risk Books in association with Application Networks, (September 25, 2003), Hardcover, 495 pages |
 | Paris-Princeton Lectures on Mathematical Finance 2003
by Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski, Tomas Björk, José Scheinkman, Wei Xiong
Springer, (December 3, 2004), Paperback, 250 pages |
 | Mathematical Finance -- Bachelier Congress 2000
by Helyette Geman (Editor), Dilip Madan (Editor), Stanley R. Pliska (Editor), Ton Vorst (Editor)
Springer, (February 2002), Hardcover, 521 pages |
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