| Publication | Date of Publication | Type |
|---|
Bridging socioeconomic pathways of \(\mathrm{CO}_2\) emission and credit risk
Annals of Operations Research | 2024-06-04 | Paper |
Well-posedness of a system of SDEs driven by jump random measures
Stochastics and Dynamics | 2023-09-19 | Paper |
Dynamic bivariate mortality modelling
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
Information uncertainty related to marked random times and optimal investment
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Pricing formulae for derivatives in insurance using Malliavin calculus
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Successive enlargement of filtrations and application to insider information
Advances in Applied Probability | 2019-09-16 | Paper |
Picard successive approximation method for solving differential equations arising in fractal heat transfer with local fractional derivative
Abstract and Applied Analysis | 2019-02-14 | Paper |
Conditional default probability and density
Inspired by Finance | 2018-12-13 | Paper |
MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
Mathematical Finance | 2018-04-13 | Paper |
Trading against disorderly liquidation of a large position under asymmetric information and market impact
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Dynamics of multivariate default system in random environment
Stochastic Processes and their Applications | 2017-11-09 | Paper |
Alpha-CIR model with branching processes in sovereign interest rate modeling
Finance and Stochastics | 2017-07-21 | Paper |
| Portfolio optimization with different information flow | 2017-05-02 | Paper |
Hedging under multiple risk constraints
Finance and Stochastics | 2017-04-13 | Paper |
Asset allocation strategies in the presence of liability constraints
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Generalized density approach in progressive enlargement of filtrations
Electronic Journal of Probability | 2015-11-27 | Paper |
Density approach in modeling successive defaults
SIAM Journal on Financial Mathematics | 2015-06-04 | Paper |
Portfolio optimization with insider's initial information and counterparty risk
Finance and Stochastics | 2015-01-19 | Paper |
Optimal investment with counterparty risk: a default-density model approach
Finance and Stochastics | 2014-12-18 | Paper |
Credit Derivatives Pricing Based on Lévy Field Driven Term Structure
Stochastic Analysis and Applications | 2014-05-02 | Paper |
Optimal investment under multiple defaults risk: a BSDE-decomposition approach
The Annals of Applied Probability | 2013-04-24 | Paper |
Optimal investment under multiple defaults risk: a BSDE-decomposition approach
The Annals of Applied Probability | 2013-04-24 | Paper |
Credit risk with asymmetric information on the default threshold
Stochastics | 2012-11-09 | Paper |
Zero bias transformation and asymptotic expansions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2012-04-22 | Paper |
Zero bias transformation and asymptotic expansions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2012-04-22 | Paper |
INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES
International Journal of Theoretical and Applied Finance | 2011-10-24 | Paper |
What happens after a default: the conditional density approach
Stochastic Processes and their Applications | 2010-07-08 | Paper |
Stein's method and zero bias transformation for CDO tranche pricing
Finance and Stochastics | 2010-04-22 | Paper |
| Multiple defaults and contagion risks | 2009-12-16 | Paper |
Gaussian and Poisson approximation: applications to CDOs tranche pricing
The Journal of Computational Finance | 2009-04-28 | Paper |
| Zero bias transformation and asymptotic expansions II : the Poisson case | 2009-04-27 | Paper |
Valuation and VaR Computation for CDOs Using Stein’s Method
Applied Quantitative Finance | 2008-12-01 | Paper |
