Christophette Blanchet-Scalliet

Available identifiers

zbMath Open blanchet-scalliet.christophetteWikidataQ102229864 ScholiaQ102229864MaRDI QIDQ253108

List of research outcomes

Publication	Date of Publication	Type
Kernel-based Sensitivity Analysis for (Excursion) Sets	2024-11-13	Paper
A pseudo-likelihood estimator of the Ornstein–Uhlenbeck parameters from suprema observations	2024-04-29	Paper
A sampling criterion for constrained Bayesian optimization with uncertainties	2024-04-09	Paper
Gaussian Process Regression on Nested Spaces	2023-06-30	Paper
First passage time density of an Ornstein–Uhlenbeck process with broken drift	2022-04-22	Paper
Coupling and selecting constraints in Bayesian optimization under uncertainties	2022-04-01	Paper
Gambling for resurrection and the heat equation on a triangle	2021-10-19	Paper
Enlargement of Filtration in Discrete Time	2020-11-12	Paper
Joint law of an Ornstein–Uhlenbeck process and its supremum	2020-07-22	Paper
Last minute panic in zero sum games	2020-04-29	Paper
Four algorithms to construct a sparse kriging kernel for dimensionality reduction	2020-01-08	Paper
A model-point approach to indifference pricing of life insurance portfolios with dependent lives	2019-12-19	Paper
Successive enlargement of filtrations and application to insider information	2019-09-16	Paper
The De Vylder–Goovaerts conjecture holds within the diffusion limit	2019-07-31	Paper
Controlling the occupation time of an exponential martingale	2017-11-17	Paper
Risk assessment using suprema data	2017-10-12	Paper
Optimal portfolio liquidation with additional information	2016-03-08	Paper
MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING	2016-02-03	Paper
The density of a passage time for a renewal-reward process perturbed by a diffusion	2012-11-15	Paper
CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP	2011-01-13	Paper
https://portal.mardi4nfdi.de/entity/Q3656685	2010-01-13	Paper
Dynamic asset pricing theory with uncertain time-horizon	2008-11-25	Paper
Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon	2008-11-25	Paper
Optimal investment decisions when time-horizon is uncertain	2008-11-13	Paper
Counterparty risk valuation for CDS	2008-07-02	Paper
https://portal.mardi4nfdi.de/entity/Q5482356	2006-08-28	Paper
Hazard rate for credit risk and hedging defaultable contingent claims	2004-11-24	Paper
Kernel-based sensitivity analysis for (excursion) sets	N/A	Paper

Research outcomes over time

This page was built for person: Christophette Blanchet-Scalliet