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Monique JEANBLANC 3rd Most Prolific Credit 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 | | e-mail |
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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 ETH Zürich,
Hélyette Geman of Birkbeck University & ESSEC, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance
(791K PDF) -- 24 page -- April 2008 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
(299K PDF) -- 25 pages -- October 18, 2003 Credit Modeling Conditional Default Probability and Density
by Nicole El Karoui of the Centre de Mathématiques Appliquées,
Monique Jeanblanc of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne,
Ying Jiao of the Université Paris 7, and
Behnaz Zargari of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne
(194K PDF) -- 18 pages -- January 6, 2011 CVA Computation for Counterparty Risk Assessment in Credit Portfolios
by Samson Assefa of the Université d'Evry Val d'Essonne,
Tomasz R. Bielecki of the Illinois Institute of Technology,
Stéphane Crépey of the Université d'Évry Val d'Essonne, and
Monique Jeanblanc of the Université d'Evry Val d'Essonne & Europlace Institute of Finance
(945K PDF) -- 41 pages -- December 5, 2009 What Happens After a Default: The conditional density approach
by Nicole El Karoui of the Centre de Mathématiques Appliquées,
Monique Jeanblanc of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne, and
Ying Jiao of the Université Paris 7
(256K PDF) -- 27 pages -- December 2, 2009 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
(1,305K PDF) -- 22 pages -- October 1, 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 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 Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula 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 & Europlace Institute of Finance, and
Behnaz Zargari of the Université d'Évry Val d'Essonne & Sharif University of Technology
(950K PDF) -- 38 pages -- February 18, 2011 Hedging Portfolio Loss Derivatives with CDSs
by Areski Cousin of the Université d'Évry Val d'Essonne, and
Monique Jeanblanc of the Université d'Évry Val d'Essonne
(220K PDF) -- 13 pages -- February 22, 2010 Counterparty Risk on a CDS in a Model with Joint Defaults and Stochastic Spreads
by Stephane Crépey of the Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Université d'Évry Val d'Essonne & Europlace Institute of Finance, and
Behnaz Zargari of the Université d'Évry Val d'Essonne
(1,065K PDF) - 31 pages -- January 7, 2010 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 14, 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
(378K PDF) -- 37 pages -- January 2008 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 Credit Correlation Informationally Dynamized Gaussian Copula
by Stéphane Crépey of University of Evry, France,
Monique Jeanblanc of University of Evry, France, and
Dominique Wu of University of Evry, France
(721K PDF) -- 28 pages -- April 22, 2013 Other Credit Portfolio Optimization in Defaultable Markets under Incomplete Information
by Giorgia Callegaro of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne,
Monique Jeanblanc of the Laboratoire de Probabilités et Modèles Aléatoires & Université d'Évry Val d'Essonne, and
Wolfgang Runggaldier of the University of Padova
(377K PDF) -- 20 pages -- August 9, 2010 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: | Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity
Tomasz Bielecki, Damiano Brigo, Frederic Patras
Bloomberg Press, (February 8, 2011), Hardcover, 754 pages |  | Paris-Princeton Lectures on Mathematical Finance 2010
by Areski Cousin, Stéphane Crépey, Olivier Guéant, David Hobson, Monique Jeanblanc, Jean-Michel Lasry, Jean-Paul Laurent, Pierre-Louis Lions, Peter Tankov, plus Editors: Rene A. Carmona, Erhan Çinlar, Ivar Ekeland, Elyès Jouini, Jose A. Scheinkman, Nizar Touzi,
Springer, (October 13, 2010), Paperback, 359 pages |  | Contemporary Quantitative Finance
Eds. Carl Chiarella, Alexander Novikov
Springer, (August 18, 2010), Hardcover, 440 pages |  | Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages |  | Credit Risk Modeling: CSFI lecture note series
by Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
Osaka University Press, (November 27, 2009), Hardcover, 284 pages |  | 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 | | Also | |
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