| Mean field games and applications A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ... Paris-Princeton lectures on mathematical finance 2010, 205-266, 2011 | 836 | 2011 |
| The Skorokhod embedding problem and model-independent bounds for option prices A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ... Paris-Princeton lectures on mathematical finance 2010, 267-318, 2011 | 265 | 2011 |
| Bilateral counterparty risk under funding constraints—Part I: Pricing S Crépey Mathematical Finance 25 (1), 1-22, 2015 | 181 | 2015 |
| Bilateral counterparty risk under funding constraints—Part II: CVA S Crépey Mathematical Finance 25 (1), 23-50, 2015 | 171 | 2015 |
| Calibration of the local volatility in a generalized black--scholes model using tikhonov regularization S Crepey SIAM Journal on Mathematical Analysis 34 (5), 1183-1206, 2003 | 170 | 2003 |
| Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison S Crépey, A Matoussi | 155 | 2008 |
| Pricing and hedging in exponential Lévy models: review of recent results A Cousin, S Crépey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, ... Paris-Princeton Lectures on Mathematical Finance 2010, 319-359, 2011 | 139 | 2011 |
| Counterparty risk and funding: A tale of two puzzles S Crépey, TR Bielecki, D Brigo Chapman and Hall/CRC, 2014 | 132 | 2014 |
| Calibration of the local volatility in a trinomial tree using Tikhonov regularization S Crépey Inverse Problems 19 (1), 91, 2002 | 123 | 2002 |
| Lecture notes in Mathematics S Crepey, O Guéant, D Hobson, M Jeanblanc, JM Lasry, PL Lions Springer-Verlag, 2011 | 100 | 2011 |
| Financial modeling S Crépey Springer Finance, DOI 10, 978-3, 2013 | 91 | 2013 |
| Financial modeling S Crépey Springer Finance, DOI 10, 978-3, 2013 | 91 | 2013 |
| 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 | 87 | 2008 |
| Delta-hedging vega risk? S Crépey Quantitative Finance 4 (5), 559-579, 2004 | 82 | 2004 |
| Up and down credit risk TR Bielecki, S Crépey, M Jeanblanc Quantitative Finance 10 (10), 1137-1151, 2010 | 77 | 2010 |
| CVA computation for counterparty risk assessment in credit portfolios S Assefa, TR Bielecki, S Crépey, M Jeanblanc Credit risk frontiers, 397-436, 2011 | 76 | 2011 |
| 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 | 75 | 2018 |
| A multiple-curve HJM model of interbank risk S Crépey, Z Grbac, HN Nguyen Mathematics and Financial Economics 6, 155-190, 2012 | 68 | 2012 |
| 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 | 64 | 2010 |
| XVA analysis from the balance sheet C Albanese, S Crépey, R Hoskinson, B Saadeddine Quantitative Finance 21 (1), 99-123, 2021 | 61 | 2021 |
