Monique Jeanblanc

Publication Activity (10 Years)

Years Active: 1999-2020
Publications (10 Years): 6

Top Topics

Derivation Rules

Stochastic Processes

Top Venues

Finance Stochastics

SIAM J. Financial Math.

SIAM J. Control. Optim.

Publications

Monique Jeanblanc, Libo Li
Characteristics and Constructions of Default Times. SIAM J. Financial Math. 11 (3) (2020)
Delia Coculescu, Monique Jeanblanc
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Finance Stochastics 23 (2) (2019)
Tomasz R. Bielecki, Tao Chen, Igor Cialenco, Areski Cousin, Monique Jeanblanc
Adaptive Robust Control under Model Uncertainty. SIAM J. Control. Optim. 57 (2) (2019)
Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
No-arbitrage under a class of honest times. Finance Stochastics 22 (1) (2018)
Monique Jeanblanc, Libo Li, Shiqi Song
An enlargement of filtration formula with applications to multiple non-ordered default times. Finance Stochastics 22 (1) (2018)
Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
No-arbitrage up to random horizon for quasi-left-continuous models. Finance Stochastics 21 (4) (2017)
Nicole El Karoui, Monique Jeanblanc, Ying Jiao
Density Approach in Modeling Successive Defaults. SIAM J. Financial Math. 6 (1) (2015)
Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse
BSDEs with Singular Terminal Condition and a Control Problem with Constraints. SIAM J. Control. Optim. 52 (2) (2014)
Claudio Fontana, Monique Jeanblanc, Shiqi Song
On arbitrages arising with honest times. Finance Stochastics 18 (3) (2014)
Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali
Default times, no-arbitrage conditions and changes of probability measures. Finance Stochastics 16 (3) (2012)
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
Hedging of a credit default swaption in the CIR default intensity model. Finance Stochastics 15 (3) (2011)
Delia Coculescu, Hélyette Geman, Monique Jeanblanc
Valuation of default-sensitive claims under imperfect information (Publisher's Erratum). Finance Stochastics 14 (1) (2010)
Delia Coculescu, Hélyette Geman, Monique Jeanblanc
Valuation of default-sensitive claims under imperfect information. Finance Stochastics 12 (2) (2008)
Said Hamadène, Monique Jeanblanc
On the Starting and Stopping Problem: Application in Reversible Investments. Math. Oper. Res. 32 (1) (2007)
Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski
Arbitrage Pricing of Convertible Securities with Credit Risk. CDC (2006)
Monique Jeanblanc, Peter Lakner, Ashay Kadam
Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy. Math. Oper. Res. 29 (3) (2004)
Wojciech Szatzschneider, Monique Jeanblanc, Teresa Kwiatkowska
Environment and Financial Markets. International Conference on Computational Science (2004)
Christophette Blanchet-Scalliet, Monique Jeanblanc
Hazard rate for credit risk and hedging defaultable contingent claims. Finance Stochastics 8 (1) (2004)
Nadine Bellamy, Monique Jeanblanc
Incompleteness of markets driven by a mixed diffusion. Finance Stochastics 4 (2) (2000)
Robert J. Elliott, Monique Jeanblanc
Incomplete markets with jumps and informed agents. Math. Methods Oper. Res. 50 (3) (1999)