Publications choisies de Monique Jeanblanc


Publications 

Preprints
2007
2006
2005 2004
2003
2002
2001
2000
1999
1998
1997
1996-

Certains articles sont disponibles en version pdf. Cliquez sur le titre.
Some of these papers are available in pdf version. Click on the title.




Preprints - Working papers  (back to the top)
2010

Valuation and Hedging of CDS Counterparty Exposure in a  Markov Copula Model

T. R. Bielecki ; _S. Crépey , M. Jeanblanc B. Zargari

Pricing and filtering in a two-dimensional dividend switching model
P. Gapeev, M. Jeanblanc

Portfolio optimization in defaultable markets under incomplete information
G. Callegaro, M. Jeanblanc, W. Runggaldier

Robust utility maximization from terminal wealth and consumption considering a discontinuous filtration
M. Jeanblanc,  A. Matoussi et  A. Ngoupeyou

Explicit Model   of Default time  with given Survival Probability
Jeanblanc, M. and Song, S

Utility maximisation for Jump diffusion models. The case of complete and partial information
M. Jeanblanc, S. Rolland et V. Lacoste

Prricing of contingent claims in a two-dimensional  model with random dividends
 P. Gapeev et M. Jeanblanc

Default times with given survival probability and theirF-martingale decomposition formula
Jeanblanc, M. and Song, S

2009
Constructing random times with given survival processes and applications to valuation of credit derivatives.   P. Gapeev, M. Jeanblanc, L. Li and M. Rutkowski
  Contemporary Quantitative Finance, C. Chiarella and A. Novikov, eds.,
Springer-Verlag, Berlin Heidelberg New York 2010

Counterparty Risk on a CDS in a Markov Chain Copula Model with
Joint Defaults

S. Crépey, M. Jeanblanc, B. Zargari (2009)

What happens after a default: the conditional density approach
N. ElKaroui, M. Jeanblanc, Y. Jiao (2009)

Default times, non arbitrage conditions and change of probability measures
D. Coculescu, M. Jeanblanc, A. Nikeghbali (2008)

Up and down credit risk
T. Bielecki, S. Crepey, M. Jeanblanc, M. Rutkowski (2008)

Hedging of Credit Default Swaptions
T. Bielecki, M. Jeanblanc, M. Rutkowski (2008)
Immersion Property and Credit Risk Modelling
M. Jeanblanc et Y. Le Cam  (2007) SPA

Reduced form modelling for credit risk
M. Jeanblanc et Y. Le Cam  (2007)

Valuation and Hedging of Defaultable Game Options in a Hazard Process Model  T .R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski Submitted (Long Preprint Version, Dec 23 2007).

Convertible bonds in a defaultable diffusion model
T.R. Bielecki, S. Crépey, M. Jeanblanc et M. Rutkowski
Submitted (this version, Dec 23 2007)

Pricing and trading   credit default swaps in a hazard  process model
T.R. Bielecki, M. Jeanblanc et M. Rutkowski
Soumis (2007)

Progressive enlargement of filtration with initial times
M.  Jeanblanc, Y.  Le Cam
Soumis (2007)

Defaultable Game Options in a Markovian Intensity Model
T.R. Bielecki, S. Crépey, M. Jeanblanc et M. Rutkowski
New Updated Version of the paper forthcoming under the same title in Mathematical Finance, Dec 23 2007.

 Defaultable Game Options in a Hazard Process Model
T.R. Bielecki, S. Crépey, M. Jeanblanc, M. Rutkowski 
Soumis  (2006)

Double Exponential Jump Diffusion Process: A Structural Model of endogenous default barrier with roll-over debt structure.
B. Dao et M. Jeanblanc (2005)  Submitted

Arbitrage Pricing of  Defaultable game options with applications to Convertible Securities.
T.R. Bielecki, S. Crépey, M. Jeanblanc et M. Rutkowski (2007)  Quantitative Finance 

Hedging defaultable derivatives via utility theory.
G. Bernis et M. Jeanblanc (2002). Soumis.

2007(back to the top)

Optimal investment and consumption decisions when time horizon is uncertain.
C. Blanchet-Scalliet, N. El Karoui, M. Jeanblanc, et L. Martellini (2007):  Journal of Mathematical Economics

Valuation of default sensitive claims under imperfect information
D. Coculescu, H. Geman et M. Jeanblanc
Finance and Stochastics

Valuation of basket credit derivatives in the credit migration environment
T.R. Bielecki, S. Crépey, M. Jeanblanc et M. Rutkowski
Handbook of financial Engineering, J. Birge and V. Linetsky eds., Elsevier, 2006, forthcoming.

Default-risky Bond Prices with Jumps, Liquidity Risk and Heterogeneous Investors
M. Jeanblanc et S. Valchev . To appear in    Review of Financial Studies  (2007)

Hedging of Basket Credit Derivatives in  CDS Market.
T.R. Bielecki, M. Jeanblanc et M. Rutkowski, Journal of Credit Risk 3, 91-132 (2007)

Minimal  martingale measures for exponential Lévy  processes
M. Jeanblanc, S. Kloeppel, Y. Miyahara
Annals of Applied probabilities, Volume 17, Number 5/6, 1615-1638 (2007)

On the Starting and Stopping Problem.
S. Hamadène et M. Jeanblanc (2007):
Mathematics of Operations Research,
32, 182-192

2006 (back to the top)

Hedging of Credit Derivatives in Models with Totally Unexpected Default
T.R. Bielecki, M. Jeanblanc, M. Rutkowski
Stochastic processes and applications to mathematical finance, Akahori, J. Ogawa, S. and Watanabe S. Edt, p. 35-100   Proceedings of the 5th Ritsumeikan International  conference, World Scientific (2006)

Completeness of a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
T.R. Bielecki, M. Jeanblanc, M. Rutkowski 
 
Stochastic Models 22 (2006)


2005 (back to the top)

PDE approach to valuation and hedging of credit derivatives
T.R. Bielecki, M. Jeanblanc et M. Rutkowski
Quantitative finance 5, 257-270 (2005).

Partial Information and Hazard Process.
M. Jeanblanc et S. Valchev
International Journal of Theoretical and Applied Finance 8, 807-838 (2005).

Indifference prices in Indifference Pricing, Theory and Applications,
T.R. Bielecki et M. Jeanblanc
Financial Engineering, Princeton University Press. R. Carmona editor 2005

Optimal portfolio management with American capital garantee.
N. El Karoui, M. Jeanblanc, et V. Lacoste
Journal of Control and Dynamic Theory 29, 449-468
(2005) .

Completeness of a General Semi-martingale Market under Constrained Trading.
T.R. Bielecki, M. Jeanblanc, M. Rutkowski
Stochastic finance, Proceedings of International Lisbon Conference, Shiryaev, A.N., Grossinho, M.R., Oliveira, P.E. and Esquivel, M.L. Editors, Springer p 83-107 (2005)

Default risk
T. Bielecki , M. Jeanblanc et M. Rutkowski.
(180 pages) Chaire Unesco, Tunis 2005



Pricing American currency options in exponential Lévy model.
M. Chesney et M. Jeanblanc
Applied Math. Fin. 11, 207-225 (2004)

Hazard rate for credit risk and hedging defaultable contingent claims.
C. Blanchet-Scalliet et M. Jeanblanc
Finance and Stochastics 8, 145-159 (2004).

Hedging of defaultable claims
T.R. Bielecki, M. Jeanblanc et M. Rutkowski
Paris-Princeton Series, 126 pages, Lecture notes in mathematical finance, Springer. 2004


Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment until Bankruptcy
M. Jeanblanc, P. Lakner and A. Kadam,
Mathematics of Operations Research 29, 649-671 (2004).

Environment and financial markets
W. Szatzschneider, M. Jeanblanc, T. Kwiatkowska:
Computational Science-ICCS-2004. 4th-International Conference proceedings.
Editors M. Bubak, G.D van-Albada, P.M.A Sloot, J.J Dongarra,
Lecture Notes in Comput.Sci. Vol.3039. 2004: Vol.4, pages 787-94 Springer-Verlag, Berlin, Germany


Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (I).
T. R. Bielecki, M. Jeanblanc, M. Rutkowski:
p. 37-53 Mathematics of Finance, proceedings of an AMS-IMS-SIAM Joint summer Research conference on Mathematical finance, Utah conference proceedings, Yin, G. and Zhang, Q. Edtrs (2003)

Pricing and Hedging of Credit Risk: Replication and Mean-Variance Approaches (II).
T. R. Bielecki, M. Jeanblanc, M. Rutkowski
p. 54-64. Mathematics of Finance, proceedings of an AMS-IMS-SIAM Joint summer Research conference on Mathematical finance, Utah conference proceedings, Yin, G. and Zhang, Q. Edtrs (2003)

Exotic options
M. Jeanblanc
(50 pages) Bucarest 2003.

Stochastic Methods in Credit Risk Modelling.
T. R. Bielecki, M. Jeanblanc et M. Rutkowski
Stochastic Methods in Finance: Lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6-12, 2003.
Lecture notes in Mathematics 1856, p.27-128, Springer (2004).

Modelling and Hedging of credit risk.
M. Jeanblanc et M. Rutkowski. 
p.385-416,
In Credit derivatives, the definite guide, Application networks, Risk book, (2003).


2002 (back to the top)


Environment and finance : why we should make the environment a part of financial markets.
M. Jeanblanc et W. Szatzchneider
Revista Mexicana de Economia y Finanzas 1, 131-142 (2002).

A Rating-based Model for Credit Derivatives.
R. Douady et M. Jeanblanc
European Investment Review 1, 17-29
(2002).

Self Similar processes with independent increments associated with Lévy and Bessel processes.
M. Jeanblanc, J. Pitman, et M. Yor
Stochastic Processes and Applications 100, p. 223-232
(2002).

A complete market model with Poisson and Brownian components,
M. Jeanblanc et N. Privault
Proceedings of the Ascona '99 Seminar on Stochastic Analysis, Random Fields and Applications, R. C. Dalang, M. Dozzi, F. Russo editors, pp. 189-204, Progress in Probability 52, Birkhauser (2002).


2001 (back to the top)

A survey on mathematical finance: hedging, investment, insurance, incomplete markets
M. Jeanblanc
(100 pages). Hong-Kong City University.
2001.

Marchés incomplets.
M. Jeanblanc.
Finance contemporaine. Analyse, évaluation et applications, Chapitre 5, p 52-65, Economica (2001).

2000 (back to the top)

Information et risque de défaut
C. Blanchet-Scalliet et M. Jeanblanc,
Journal de la société française de Statistiques 141, p. 87-103 (2000).

Some models on default risk.
R.J. Elliott, M. Jeanblanc et M. Yor
Mathematical Finance 10, p. 179-196 (2000).

Incomplete markets with jumps.
N. Bellamy et M. Jeanblanc
Finance and Stochastics 4, p. 209-222 (2000).

Default risk and hazard process,
M. Jeanblanc and M. Rutkowski
Congrès Bachelier 2000, pp. 281-312, Lecture notes in mathematics, Springer (2000).

Modeling default risk: Mathematical tools.
M. Jeanblanc and Rutkowski, M.
(100 pages) Fixed Income and Credit risk modeling and Management, New York University, Stern scholl of business, Statistics and operations research department, Workshop, May 5, 2000.

Financial markets,
R. A. Dana et M. Jeanblanc, 
Encyclopedia of life support systems, (2000)


1999 (back to the top)

Options exotiques
N. El Karoui et M. Jeanblanc
Finance, Septembre, p. 49-67
(1999) .


Models for default risk: An overview.
M. Jeanblanc and M. Rutkowski
Shanghai summer school August 1999. Mathematical finance: theory and practise, Yong J. and Cont R. editors, Higher education press.

Default risk modeling.
M. Jeanblanc
Ecole d'été INRIA-EDF, Mai 1999.


1998 (back to the top)

Incomplete markets and Informed agents
R.J. Elliott et M. Jeanblanc
Mathematical Method of Operations Research 50, p. 475-492
(1998).

Optimization of consumption with labor income
N. El Karoui, et M. Jeanblanc-Picqué
Finance and Stochastics 2, p. 409-440
(1998) .

Robustness of the Black and Scholes Formula,
N. El Karoui, M. Jeanblanc-Picqué, et S. Shreve
Mathematical Finance 8, p. 93-126 (1998).

Incomplete markets with jumps and Informed agents,
R.J. Elliott et M. Jeanblanc
Mathématiques financières, INRIA, 18-19 mai 1998.

1997 (back to the top)

Feynman-Kac formula and decompositions of Brownian paths
M. Jeanblanc, J. Pitman, et M. Yor
Computational and Applied Mathematics 16, p. 27-52
(1997).

Some combinations of Asian, Parisian and Barrier Options,
M. Chesney, H. Geman, M. Jeanblanc-Picqué, et M. Yor
Mathematics of Derivative securities, Publication of Newton Institute, M. Demptser and S. Pliska Eds., Cambridge University Press, p. 61-87
(1997) .

Brownian excursion and Parisian Barrier options,
M. Chesney, M. Jeanblanc-Picqué, et M. Yor
Adv. Appl. Prob. 29, p. 165-184
(1997) .

Parisian Barrier options : a Discussion
M. Chesney, J. Cornwall, M. Jeanblanc-Picqué, G. Kentwell, M. Yor,
Risk Magazine, January, p. 77-79
(1997).

Arbitrage et équilibre en temps continu,
M. Jeanblanc-Picqué et R.A. Dana, 
Encyclopédie des marchés financiers (Economica), p 86-111.
(1997)

before 1996  (back to the top)

Optimization of the flow of dividends,
M. Jeanblanc-Picqué, et A.N. Shiryaev 
(in Russian), Uspekhi Mathem.
Naut. 50 p. 25-46 (1995).

Traduit dans Russian Math. Surveys 50/2 p. 257-277 (1995).

An application of impulse control theory to target zone problem.
M. Jeanblanc-Picqué
Proceedings 16th IFIP Conference on System Modelling and Optimisation. Lecture notes in control and information sciences (1994). Springer-Verlag.

Impulse Control Method and Exchange Rate
M. Jeanblanc-Picqué 
Mathematical Finance 3, p. 161-178 (1993).

Bounds for options.
N. El Karoui, M. Jeanblanc-Picqué, R. Viswanathan
Proceedings US French Workshop on Applied Stochastic Analysis. Rutgers (1991). Lecture notes in control and information sciences. N 117. pp. 224-237. Springer-Verlag.

Martingale measures and partially observable diffusions,
N. El Karoui, et M. Jeanblanc-Picqué
Stochastic Analysis and Applications 9, p. 32-65
(1991).

Optimal portfolio for a small investor in a market with discontinuous prices,
M. Jeanblanc-Picqué et M. Pontier  
Applied mathematics and optimization 22, p. 287-310 (1990).

Robustness of Black-Scholes formula.
N. El Karoui, M. Jeanblanc-Picqué, R. Viswanathan
HEC 1990 International Conference in Finance. Session Option Pricing. Vol 2 (1990).

Existence of an optimal markovian filter for the control under partial observations,
N. El Karoui, D. Hu Nguyen, et M. Jeanblanc-Picqué  
SIAM J. Control and optimization 26, p. 1025-1061 (1989).

Contrôle de processus de Markov,
N. El Karoui, et M. Jeanblanc-Picqué  
Séminaire de probabilités, XXII, Lecture notes in mathematics 1321, Springer, p. 508-541 (1988).

Compactification methods in the control of degenerate diffusions: existence of an optimal control,
N. El Karoui, D. Hu Nguyen, et M. Jeanblanc-Picqué  
Stochastics 20, p. 169-219 (1987)

Existence d'un filtre markovien optimal en contrôle partiellement observable,
N. El Karoui, D. Hu Nguyen, et M. Jeanblanc-Picqué,
Comptes Rendus de l’Académie des Sciences 303, p. 31-34 (1986).