Welcome on Stéphane Crépey’s web page

I am professor at the Mathematics Department of Evry University, where I am in charge of the MSC Financial Engineering.

My research interests are financial modeling, counterparty and credit risk, numerical finance, and related mathematical topics in the fields of backward stochastic differential equations and partial differential equations

o Email stephane.crepey@univ-evry.fr

o Address Université d'Evry, Laboratoire Analyse & Probabilités, Bâtiment IBGBI, 23 Boulevard de France, 91037 Evry cedex (RER D Evry Courouronnes).

Office 324 (3ème étage).

Tel +33 (0) 1 6485 3480 (secr. 3488)

Get some of my works

· Working Papers

• S. Crépey and S. Song. Counterparty risk and funding: Immersion and beyond. Revised.
• S. Crépey, A. Macrina, N. Nguyen and D. Skovmand. Rational multi-curve models with counterparty-risk valuation adjustments. Submitted.
• S. Crépey and S. Song. Invariant times. Submitted.

· Financial Modeling

• Multiple Curves
• S. Crépey, Z. Grbac, N. Ngor and D. Skovmand. A Lévy HJM multiple-curve model with application to CVA computation. Forthcoming in Quantitative Finance.
• S. Crépey and R. Douady. LOIS: Credit and Liquidity. Risk Magazine June 2013. Short version The Whys of the of the LOIS: Credit Skew and Funding Rates Volatility Bloomberg Brief / Risk 24 May 2013, p.6-7
• S. Crépey, Z. Grbac and H. N. Nguyen. A multiple-curve HJM model of interbank risk. Mathematics and Financial Economics 6(3) 155-190, 2012.
• Funding
• S. Crépey. Preface to the special issue ‘Frontiers of Counterparty Risk’, International Journal of Theoretical and Applied Finance March 2013.
• S. Crépey, R. Gerboud, Z. Grbac and N. Ngor. Counterparty Risk and Funding: The Four Wings of the TVA. International Journal of Theoretical and Applied Finance March 2013.
• S. Crépey. Bilateral Counterparty Risk under Funding Constraints – Part I: Pricing and Part II: CVA. Mathematical Finance online first January 2013. See also: S. Crépey. Counterparty risk and funding: putting things together. Creditflux Newsletter Analysis, p.14-15, Dec 2011.
• Counterparty Credit Risk
• S. Crépey, M. Jeanblanc and D. L. Wu. Informationally Dynamized Gaussian Copula. International Journal of Theoretical and Applied Finance March 2013.
• T. Bielecki, S. Crépey. Dynamic Hedging of Counterparty Exposure. Forthcoming in The Musiela Festschrift, T. Zariphopoulou, M. Rutkowski and Y. Kabanov, eds, Springer Berlin.
• S. Assefa, T. Bielecki, S. Crépey, M. Jeanblanc. CVA computation for counterparty risk assessment in credit portfolios. Short version of the paper forthcoming under the same title in the book Credit Risk Frontiers, T. Bielecki, D. Brigo and F. Patras, eds, Wiley (Hard-copy of the long, copyrighted version, available upon e-mail request).
• T. Bielecki, S. Crépey, M. Jeanblanc and B. Zargari. Valuation and Hedging of CDS Counterparty Exposure in a Markov Copula Model. International Journal of Theoretical and Applied Finance 15 (1) 1250004, 2012.
• S. Crépey, M. Jeanblanc and B. Zargari. Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults. Recent Advances in Financial Engineering 2009, M. Kijima, C. Hara, Y. Muromachi and K. Tanaka, eds, World Scientific, p. 91-126, 2010.

o Portfolio Credit Risk

• T. Bielecki, A. Cousin, S. Crépey, A. Herbertsson.In search of a grand unifying theory. Creditflux Newsletter Analysis, p.20-21, July 2013. Web full version The Bottom-Up Top-Down Puzzle Solved, creditflux.com
• T. Bielecki, A. Cousin, S. Crépey, A. Herbertsson. Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model. Forthcoming in Journal of Optimization Theory and Application.
• T. Bielecki, A. Cousin, S. Crépey, A. Herbertsson. A Bottom-Up Dynamic Model of Portfolio Credit Risk - Part I: Markov Copula Perspective and Part II: Common-Shock Interpretation, Calibration and Hedging issues. Recent Advances in Financial Engineering 2012, World Scientific, forthcoming.
• A. Cousin, S. Crépey and Y.-H Kan. Delta-hedging Correlation Risk? Review of Derivatives Research 15 (1) 25-56, 2012.
• T. Bielecki, S. Crépey, A. Herbertsson. Markov Chain Models of Portfolio Credit Risk. Short version of the paper forthcoming under the same title in Oxford Handbook of Credit Derivatives, A. Lipton and A. Rennie, eds (Hard-copy of the long, copyrighted version, available upon e-mail request).

§ T.R. Bielecki, S. Crépey, M. Jeanblanc. Up and Down Credit Risk. Quantitative Finance 10 (10) 1137-1151, 2010.

§ T.R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Valuation of Basket Credit Derivatives in the Credit Migrations Environment. Handbook of Financial Engineering, 2007.

• Defaultable Game Options
• T.R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Convertible Bonds in a Defaultable Diffusion Model. Convertible Bonds in a Defaultable Diffusion Model. Stochastic Analysis with Financial Applications, A. Kohatsu-Higa, N. Privault and S.J. Sheu eds, p. 255-298, Birkhäuser / Springer Basel, 2011.
• T.R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Defaultable Options in a Markovian Intensity Model of Credit Risk. New Updated Version of the paper published under the same title in Mathematical Finance, 2008.
• T.R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Valuation and Hedging of Defaultable Game Options in a Hazard Process Model. Journal of Applied Mathematics and Stochastic Analysis, Article ID 695798, 33 pages, 2009 (and Long Preprint Version).
• T.R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Arbitrage Pricing of Defaultable Game Options with Applications to Convertible Bonds. Quantitative Finance, Volume 8, Issue 8 December 2008 , pages 795 - 810.
• Local Volatility

§ S. Crépey. Delta-hedging Vega Risk? Quantitative Finance 4, p.559–579, 2004.

· BSDEs and/or PDEs

• S. Crépey and S. Song. BSDEs of counterparty risk. Forthcoming in Stochastic Processes and Applications.
• J.-F. Chassagneux and S. Crépey. Doubly reflected BSDEs with Call Protection and their Approximation. ESAIM: Probability and Statistics, forthcoming.
• S. Crépey. About the Pricing Equations in Finance. Paris-Princeton Lectures in Mathematical Finance 2010, Lecture Notes in Mathematics, Springer, p.63-203, 2011.
• S. Crépey, A. Matoussi. Reflected and Doubly Reflected BSDEs with Jumps: A Priori Estimates and Comparison Principle. Annals of Applied Probability, Vol 18, Issue 5 (October 2008), p. 2041-69.
• S. Crépey Calibration of the local volatility in a generalized Black-Scholes model using Tikhonov regularization. SIAM Journal on Mathematical Analysis, Vol 34 No 5 (2003), p. 1183-1206.

· Numerical Finance

• Calibration
• T. Bielecki, A. Cousin, S. Crépey, A. Herbertsson. A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries. Communications in Statistics – Theory and Methods, forthcoming.
• S. Crépey. Tikhonov Regularization. Encyclopedia of Quantitative Finance, editor Rama Cont, p. 1807-1812, 2010.

§ S. Crépey. Calibration of the local volatility in a trinomial tree using Tikhonov regularization. Inverse Problems, 19 (2003), p. 91-127.

• Monte Carlo
• S. Crépey and A. Rahal. Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches. Communications in Statistics – Theory and Methods, forthcoming.
• S. Crépey and A. Rahal. Pricing Convertible Bonds with Call Protection. Journal of Computational Finance Vol.15 Num. 2, 37-75, Winter 2011/12.
• R. Carmona, S. Crépey. Particle Methods for the Estimation of Markovian Credit Portfolios Loss Distribution. International Journal of Theoretical and Applied Finance Vol 13, Issue 4, p. 577-602, 2010.