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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
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Valuation of basket credit derivatives in the credit migrations environment
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique - In: Financial engineering, (pp. 471-507). 2008
Persistent link: https://www.econbiz.de/10003567710
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Hedging CDO tranches in a Markovian environment
Cousin, Areski; Jeanblanc, Monique; Laurent, Jean-Paul - In: Paris Princeton lectures on mathematical finance 4 (2010), pp. 1-61
Persistent link: https://www.econbiz.de/10009356720
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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
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Constructing random times with given survival processes and applications to valuation of credit derivatives
Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; … - In: Contemporary quantitative finance : essays in honour of …, (pp. 255-280). 2010
Persistent link: https://www.econbiz.de/10008749243
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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
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Modeling and valuation of credit risk
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Stochastic methods in finance : lectures given at the …, (pp. 27-126). 2004
Persistent link: https://www.econbiz.de/10002526431
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Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012270908