Stéphane Crépey
Stéphane Crépey
Professeur de mathématiques appliquées (mathématiques financières), LaMME-Univ Evry-CNRS-Universit\'e Paris-Saclay (Université d'Evry Val d'Essonne)
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Title
Cited by
Cited by
Year
Bilateral counterparty risk under funding constraints—Part I: Pricing
S Crépey
Mathematical Finance 25 (1), 1-22, 2015
1592015
Calibration of the local volatility in a generalized black--scholes model using tikhonov regularization
S Crépey
SIAM Journal on Mathematical Analysis 34 (5), 1183-1206, 2003
1452003
Bilateral counterparty risk under funding constraints—Part II: CVA
S Crépey
Mathematical Finance 25 (1), 23-50, 2015
1382015
Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
S Crépey, A Matoussi
The Annals of Applied Probability 18 (5), 2041-2069, 2008
1282008
Calibration of the local volatility in a trinomial tree using Tikhonov regularization
S Crépey
Inverse Problems 19 (1), 91, 2002
1102002
Counterparty risk and funding: A tale of two puzzles
S Crépey, TR Bielecki, D Brigo
CRC press, 2014
1022014
Up and down credit risk
TR Bielecki, S Crépey, M Jeanblanc
Quantitative Finance 10 (10), 1137-1151, 2010
772010
Financial modeling
S Crépey
A Backward Stochastic, 2013
702013
Financial modeling
S Crépey
A Backward Stochastic, 2013
702013
CVA computation for counterparty risk assessment in credit portfolios
S Assefa, TR Bielecki, S Crépey, M Jeanblanc, ÉA et Probabilité
Credit Risk Frontiers, 397-436, 2009
692009
Arbitrage pricing of defaultable game options with applications to convertible bonds
TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski
Quantitative Finance 8 (8), 795-810, 2008
682008
Delta-hedging vega risk?
S Crépey
Quantitative Finance 4 (5), 559-579, 2004
612004
A multiple-curve HJM model of interbank risk
S Crépey, Z Grbac, HN Nguyen
Mathematics and Financial Economics 6 (3), 155-190, 2012
592012
Counterparty risk on a CDS in a Markov chain copula model with joint defaults
S Crépey, M Jeanblanc, B Zargari
Recent Advances in Financial Engineering 2009, 91-126, 2010
592010
A BSDE approach to counterparty risk under funding constraints
S Crépey
Available at grozny. maths. univ-evry. fr/pages perso/crepey, 2011
582011
Defaultable game options in a hazard process model
TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski
International Journal of Stochastic Analysis 2009, 2009
56*2009
Valuation and hedging of CDS counterparty exposure in a Markov copula model
TR Bielecki, S Crépey, M Jeanblanc, B Zargari
Finance at Fields, 75-113, 2013
552013
Defaultable options in a Markovian intensity model of credit risk
TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
522008
Valuation of basket credit derivatives in the credit migrations environment
TR Bielecki, S Crépey, M Jeanblanc, M Rutkowski
Handbooks in Operations Research and Management Science 15, 471-507, 2007
512007
Multivariate shortfall risk allocation and systemic risk
Y Armenti, S Crépey, S Drapeau, A Papapantoleon
SIAM Journal on Financial Mathematics 9 (1), 90-126, 2018
502018
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