| Publication | Date of Publication | Type |
|---|
On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics | 2024-10-10 | Paper |
Some Remarks on Enlargement of Filtration and Finance
Lecture Notes in Mathematics | 2023-12-03 | Paper |
Generalized Cox model for default times
Frontiers of Mathematical Finance | 2023-06-26 | Paper |
BSDEs and enlargement of filtration
Springer Proceedings in Mathematics & Statistics | 2022-09-30 | Paper |
Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
Electronic Journal of Probability | 2022-02-22 | Paper |
Semimartingales and shrinkage of filtration
The Annals of Applied Probability | 2021-11-04 | Paper |
FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS
International Journal of Theoretical and Applied Finance | 2021-08-24 | Paper |
Thin times and random times' decomposition
Electronic Journal of Probability | 2021-07-21 | Paper |
Enlargement of Filtration in Discrete Time
Mathematical Lectures from Peking University | 2020-11-12 | Paper |
Characteristics and constructions of default times
SIAM Journal on Financial Mathematics | 2020-09-28 | Paper |
Credit default swaps in two-dimensional models with various informations flows
International Journal of Theoretical and Applied Finance | 2020-06-25 | Paper |
SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions
Stochastic Processes and their Applications | 2020-05-26 | Paper |
No-arbitrage under additional information for thin semimartingale models
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Defaultable claims in switching models with partial information
International Journal of Theoretical and Applied Finance | 2019-06-24 | Paper |
Integral representations of martingales for progressive enlargements of filtrations
Stochastic Processes and their Applications | 2019-06-04 | Paper |
Martingale Representation in the Enlargement of the Filtration Generated by a Point Process
| 2019-06-04 | Paper |
Joint densities of hitting times for finite state Markov processes
Turkish Journal of Mathematics | 2019-05-07 | Paper |
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
Finance and Stochastics | 2019-04-24 | Paper |
Adaptive robust control under model uncertainty
SIAM Journal on Control and Optimization | 2019-03-15 | Paper |
Conditional default probability and density
Inspired by Finance | 2018-12-13 | Paper |
Conic martingales from stochastic integrals
Mathematical Finance | 2018-05-25 | Paper |
Some existence results for advanced backward stochastic differential equations with a jump time
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
No-arbitrage under a class of honest times
Finance and Stochastics | 2018-01-16 | Paper |
An enlargement of filtration formula with applications to multiple non-ordered default times
Finance and Stochastics | 2018-01-16 | Paper |
Controlling the occupation time of an exponential martingale
Applied Mathematics and Optimization | 2017-11-17 | Paper |
Dynamics of multivariate default system in random environment
Stochastic Processes and their Applications | 2017-11-09 | Paper |
No-arbitrage up to random horizon for quasi-left-continuous models
Finance and Stochastics | 2017-10-23 | Paper |
scientific article; zbMATH DE number 6736714 (Why is no real title available?)
| 2017-06-28 | Paper |
Optimization problem under change of regime of interest rate
Stochastics and Dynamics | 2016-08-23 | Paper |
Enlargement of filtrations with finance in view
SpringerBriefs in Quantitative Finance | 2016-08-08 | Paper |
SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions
| 2016-06-05 | Paper |
On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
Lecture Notes in Mathematics | 2016-04-13 | Paper |
Utility maximization with random horizon: a BSDE approach
International Journal of Theoretical and Applied Finance | 2016-01-08 | Paper |
A note on BSDEs with singular driver coefficients
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
Arbitrages in a progressive enlargement setting
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
Martingale representation property in progressively enlarged filtrations
Stochastic Processes and their Applications | 2015-08-24 | Paper |
Density approach in modeling successive defaults
SIAM Journal on Financial Mathematics | 2015-06-04 | Paper |
In memory of Marc Yor
Theory of Probability & Its Applications | 2015-06-02 | Paper |
Role of information in pricing default-sensitive contingent claims
International Journal of Theoretical and Applied Finance | 2015-04-15 | Paper |
Full cooperation applied to environmental improvements
Banach Center Publications | 2015-04-08 | Paper |
Hedging of a credit default swaption in the CIR default intensity model
Finance and Stochastics | 2014-12-17 | Paper |
On arbitrages arising with honest times
Finance and Stochastics | 2014-09-26 | Paper |
Information, no-arbitrage and completeness for asset price models with a change point
Stochastic Processes and their Applications | 2014-09-02 | Paper |
Obituary: Marc Yor (24 July 1949 -- 9 July 2014). A beautiful mind has disappeared
Stochastic Processes and their Applications | 2014-08-28 | Paper |
BSDEs with Singular Terminal Condition and a Control Problem with Constraints
SIAM Journal on Control and Optimization | 2014-07-30 | Paper |
Carthaginian enlargement of filtrations
ESAIM: Probability and Statistics | 2014-04-10 | Paper |
Joint Hitting-Time Densities for Finite State Markov Processes
| 2014-02-27 | Paper |
An enlargement of filtration formula with application to progressive enlargement with multiple random times
| 2014-02-13 | Paper |
INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
International Journal of Theoretical and Applied Finance | 2013-06-24 | Paper |
Hedging portfolio loss derivatives with CDS's
| 2013-06-12 | Paper |
Portfolio optimization in a defaultable market under incomplete information
Decisions in Economics and Finance | 2013-02-25 | Paper |
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
The Annals of Applied Probability | 2013-01-25 | Paper |
Default times, no-arbitrage conditions and changes of probability measures
Finance and Stochastics | 2012-11-15 | Paper |
Convertible bonds in a defaultable diffusion model
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Valuation and hedging of CDS counterparty exposure in a Markov copula model
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
Robust utility maximization problem in model with jumps and unbounded claim
| 2012-01-12 | Paper |
An explicit model of default time with given survival probability
Stochastic Processes and their Applications | 2011-07-22 | Paper |
Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula
Stochastic Processes and their Applications | 2011-06-15 | Paper |
Defaultable options in a Markovian intensity model of credit risk
Mathematical Finance | 2011-06-09 | Paper |
Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Pricing and filtering in a two-dimensional dividend switching model
International Journal of Theoretical and Applied Finance | 2011-01-13 | Paper |
Up and down credit risk
Quantitative Finance | 2010-12-20 | Paper |
Hedging CDO tranches in a Markovian environment
Paris-Princeton Lectures on Mathematical Finance 2010 | 2010-12-14 | Paper |
What happens after a default: the conditional density approach
Stochastic Processes and their Applications | 2010-07-08 | Paper |
Immersion property and credit risk modelling
| 2010-02-05 | Paper |
PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS
International Journal of Theoretical and Applied Finance | 2010-02-05 | Paper |
Defaultable game options in a hazard process model
Journal of Applied Mathematics and Stochastic Analysis | 2009-11-23 | Paper |
Progressive enlargement of filtrations with initial times
Stochastic Processes and their Applications | 2009-07-29 | Paper |
Indifference pricing of defaultable claims
| 2009-03-16 | Paper |
Arbitrage pricing of defaultable game options with applications to convertible bonds
Quantitative Finance | 2009-02-23 | Paper |
Pricing and trading credit default swaps in a hazard process model
The Annals of Applied Probability | 2009-01-13 | Paper |
Optimal investment decisions when time-horizon is uncertain
Journal of Mathematical Economics | 2008-11-13 | Paper |
Optimal portfolio management with American capital guarantee
Journal of Economic Dynamics and Control | 2008-11-06 | Paper |
Completeness of a general semimartingale market under constrained trading
| 2008-07-11 | Paper |
Valuation of default-sensitive claims under imperfect information
Finance and Stochastics | 2008-06-18 | Paper |
Minimal variance martingale measures for geometric Lévy processes
| 2008-06-11 | Paper |
On the Starting and Stopping Problem: Application in Reversible Investments
Mathematics of Operations Research | 2008-05-27 | Paper |
Minimal \(f^q\)-Martingale measures for exponential Lévy processes
The Annals of Applied Probability | 2008-03-20 | Paper |
Default-risky bond prices with jumps, liquidity risk and incomplete information
Decisions in Economics and Finance | 2008-03-14 | Paper |
Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
Stochastic Models | 2007-02-15 | Paper |
Hedging of Credit Derivatives in Models with Totally Unexpected Default
Stochastic Processes and Applications to Mathematical Finance | 2006-09-18 | Paper |
Mathematical methods for financial markets.
Springer Finance | 2006-04-04 | Paper |
Computational Science - ICCS 2004
Lecture Notes in Computer Science | 2005-12-23 | Paper |
PDE approach to valuation and hedging of credit derivatives
Quantitative Finance | 2005-12-09 | Paper |
PARTIAL INFORMATION AND HAZARD PROCESS
International Journal of Theoretical and Applied Finance | 2005-11-15 | Paper |
Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy
Mathematics of Operations Research | 2005-11-11 | Paper |
Pricing American currency options in an exponential Lévy model
Applied Mathematical Finance | 2005-05-03 | Paper |
scientific article; zbMATH DE number 2144815 (Why is no real title available?)
| 2005-03-14 | Paper |
Self-similar processes with independent increments associated with Lévy and Bessel processes.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
scientific article; zbMATH DE number 2133104 (Why is no real title available?)
| 2005-02-09 | Paper |
scientific article; zbMATH DE number 2133105 (Why is no real title available?)
| 2005-02-09 | Paper |
scientific article; zbMATH DE number 2130502 (Why is no real title available?)
| 2005-01-20 | Paper |
Hazard rate for credit risk and hedging defaultable contingent claims
Finance and Stochastics | 2004-11-24 | Paper |
Financial markets in continuous time. Translated from the French by Anna Kennedy
Springer Finance | 2003-01-21 | Paper |
scientific article; zbMATH DE number 1724298 (Why is no real title available?)
| 2002-01-01 | Paper |
scientific article; zbMATH DE number 1971729 (Why is no real title available?)
| 2002-01-01 | Paper |
On models of default risk.
Mathematical Finance | 2001-03-29 | Paper |
Incompleteness of markets driven by a mixed diffusion
Finance and Stochastics | 2000-11-01 | Paper |
Incomplete markets with jumps and informed agents
Mathematical Methods of Operations Research | 2000-05-07 | Paper |
Optimization of consumption with labor income
Finance and Stochastics | 2000-02-15 | Paper |
scientific article; zbMATH DE number 1222789 (Why is no real title available?)
| 1999-02-14 | Paper |
Robustness of the Black and Scholes Formula
Mathematical Finance | 1998-12-02 | Paper |
Brownian Excursions and Parisian Barrier Options
Advances in Applied Probability | 1998-02-18 | Paper |
Impulse Control Method and Exchange Rate
Mathematical Finance | 1998-01-21 | Paper |
Optimization of the flow of dividends
Russian Mathematical Surveys | 1998-01-05 | Paper |
The Feynman-Kac formula and decomposition of Brownian paths
Computational and Applied Mathematics | 1997-10-08 | Paper |
scientific article; zbMATH DE number 686946 (Why is no real title available?)
| 1994-11-10 | Paper |
Martingale measures and partially observable diffusions
Stochastic Analysis and Applications | 1992-06-25 | Paper |
Optimal portfolio for a small investor in a market model with discontinuous prices
Applied Mathematics and Optimization | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4174815 (Why is no real title available?)
| 1988-01-01 | Paper |
Existence of an Optimal Markovian Filter for the Control under Partial Observations
SIAM Journal on Control and Optimization | 1988-01-01 | Paper |
Compactification methods in the control of degenerate diffusions: existence of an optimal control
Stochastics | 1987-01-01 | Paper |
scientific article; zbMATH DE number 3945001 (Why is no real title available?)
| 1986-01-01 | Paper |
