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Default Times, Non-Arbitrage Conditions and Changeof Probability Measures

Coculescu, Delia; Jeanblanc, Monique; Nikeghbali, Ashkan - National Centre of Competence in ResearchFinancial … - 2009

In this paper we give a financial justification, based on non arbitrage conditions,of the (H) hypothesis in default time modelling. We also show how the (H) hypothesis isaffected by an equivalent change of probability measure.[...]

Persistent link: https://www.econbiz.de/10005868711

Pricing and filtering in a two-dimensional dividend switching model

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1001-1017

Persistent link: https://www.econbiz.de/10008906248

Pricing of contingent claims in a two-dimensional model with random dividends

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 12 (2009) 8, pp. 1091-1104

Persistent link: https://www.econbiz.de/10003946574

Informationally dynamized Gaussian copula

Crépey, S.; Jeanblanc, Monique; Wu, Dong Li - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10009748717

Valuation and hedging of CDS counterparty exposure in a Markov copula model

Bielecki, Tomasz R.; Crépey, S.; Jeanblanc, Monique; … - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10009562148

Role of information in pricing default-sensitive contingent claims

Jeanblanc, Monique; Leniec, Marta - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011403184

Utility maximization with random horizon : a BSDE approach

Jeanblanc, Monique; Mastrolia, Thibaut; Possamai͏̈, Dylan - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-43

Persistent link: https://www.econbiz.de/10011404177

Partial information and hazard process

Jeanblanc, Monique; Valchev, Stoyan - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 807-838

Persistent link: https://www.econbiz.de/10003133887

Information modeling in finance : special issue

Jeanblanc, Monique (contributor) - 2001

Persistent link: https://www.econbiz.de/10001578676

First-to-default and second-to-default options in models with various information flows

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-29

Persistent link: https://www.econbiz.de/10012652666