Stéphane Crépey

Publication Activity (10 Years)

Years Active: 2003-2024
Publications (10 Years): 8

Top Topics

Connectionist Systems

Stochastic Approximation

Top Venues

SIAM J. Financial Math.

Finance Stochastics

J. Optim. Theory Appl.

Publications

Lokman A. Abbas-Turki, Stéphane Crépey, Botao Li, Bouazza Saadeddine
An Explicit Scheme for Pathwise XVA Computations. CoRR (2024)
Stéphane Crépey, Noureddine Lehdili, Nisrine Madhar, Maud Thomas
Anomaly Detection in Financial Time Series by Principal Component Analysis and Neural Networks. Algorithms 15 (10) (2022)
Marc Chataigner, Areski Cousin, Stéphane Crépey, Matthew F. Dixon, Djibril Gueye
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints. SIAM J. Financial Math. 12 (3) (2021)
Stéphane Crépey, Gersende Fort, Emmanuel Gobet, Uladzislau Stazhynski
Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion. SIAM/ASA J. Uncertain. Quantification 8 (3) (2020)
Stéphane Crépey, Wissal Sabbagh, Shiqi Song
When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments. SIAM J. Financial Math. 11 (1) (2020)
Yannick Armenti, Stéphane Crépey, Samuel Drapeau, Antonis Papapantoleon
Multivariate Shortfall Risk Allocation and Systemic Risk. SIAM J. Financial Math. 9 (1) (2018)
Yannick Armenti, Stéphane Crépey
Central Clearing Valuation Adjustment. SIAM J. Financial Math. 8 (1) (2017)
Stéphane Crépey, Shiqi Song
Counterparty risk and funding: immersion and beyond. Finance Stochastics 20 (4) (2016)
Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model. J. Optim. Theory Appl. 161 (1) (2014)
Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski
Arbitrage Pricing of Convertible Securities with Credit Risk. CDC (2006)
Stéphane Crépey
Calibration of the Local Volatility in a Generalized Black-Scholes Model Using Tikhonov Regularization. SIAM J. Math. Anal. 34 (5) (2003)