Welcome on Stéphane Crépey's Page

o Address Université d'Evry, Département de Mathématiques, Bâtiment Maupertuis, 3ème étage, Aile Sud, 91025 Evry, France. Bureau : 03S07 (RER D Evry Courouronnes).

o E-mail stephane.crepey@univ-evry.fr

o Tel/Fax +33 (0)1 6947 0200 or 0205 / +33 (0)1 6947 0218

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, credit and counterparty risk, numerical finance, and related mathematical topics in the fields of backward stochastic differential equations and partial differential equations.

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Get some of my works

• My Computational Finance Lecture Notes

· Financial Modeling

• Counterparty Risk
• S. Crépey. A BSDE Approach to Counterparty Risk under Funding Constraints. Submitted.
• S. Crépey, Z. Grbac and H. N. Nguyen. A defaultable HJM multiple-curve term structure model. Submitted.
• T. Bielecki, S. Crépey. Dynamic Hedging of Counterparty Exposure. Forthcoming in The Musiela Festschrift, T. Zariphopoulou, M. Rutkowski and Y. Kabanov, eds, Springer.
• 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. Forthcoming in IJTAF.
• S. Crépey, M. Jeanblanc and B. Zargari. Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults. Forthcoming in Recent Advances in Financial Engineering 2009, M. Kijima, C. Hara, Y. Muromachi and K. Tanaka, eds, World Scientific Publishing Co. Pte., 2010 (32 pages).
• Portfolio Credit Risk
• T. Bielecki, A. Cousin, S. Crépey, A. Herbertsson. Dynamic Modeling of Portfolio Credit Risk with Common Shocks. Submitted.
• A. Cousin, S. Crépey and Y.-H Kan. Delta-hedging Correlation Risk? Forthcoming in Review of Derivatives Research.
• 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. Forthcoming in Quantitative Finance.
• 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. Progress in Probability, Vol. 65, 255-298, Springer, 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, 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, October 2004.

· Numerical Finance

• Monte Carlo
• R. Carmona, S. Crépey. Particle Methods for the Estimation of Markovian Credit Portfolios Loss Distribution. Forthcoming in International Journal of Theoretical and Applied Finance, June 2010.
• S. Crépey and A. Rahal. Pricing Convertible Bonds with Call Protection. Forthcoming in Journal of Computational Finance.
• Calibration
• 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.

· BSDEs and/or PDEs

• J.-F. Chassagneux and S. Crépey. Doubly reflected BSDEs with Call Protection and their Approximation. Submitted.
• 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.

· Differential Games

• P. Bernhard, S. Crépey and A. Rapaport. Comparison of two numerical approaches for the Barrier and Value of a simple pursuit-evasion game. E. Altman and O. Pourtallier, eds, Annals of Dynamic Games , 6 Advances in Dynamic Games and Applications, p. 253–273. Birkhäuser, 2001.
• My PhD Thesis (January 2001).

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Stéphane Crépey / Last update Oct 3 2011