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Valuation of default-sensitive claims under imperfect information

Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and stochastics 12 (2008) 2, pp. 195-218

Persistent link: https://www.econbiz.de/10003716260

Mathematical methods for financial markets

Jeanblanc, Monique; Yor, Marc; Chesney, Marc - 2009

Persistent link: https://www.econbiz.de/10003777520

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

Default-risky bond prices with jumps, liquidity risk and incomplete information

Jeanblanc, Monique; Valchev, Stoyan - In: Decisions in economics and finance : DEF ; a journal of … 30 (2007) 2, pp. 109-136

Persistent link: https://www.econbiz.de/10003630273

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

Robustness of the black and scholes formula

El Karoui, Nicole - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 93-126

Persistent link: https://www.econbiz.de/10001242959

Conic Martingales from Stochastic Integrals

Vrins, Frédéric D. - 2017

In this paper we introduce the concept of conic martingales. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about the martingale property of solution to driftless stochastic...

Persistent link: https://www.econbiz.de/10012969707

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