The following pages link to Stéphane Crépey (Q331357):
Displayed 50 items.
- Counterparty risk and funding: immersion and beyond (Q331358) (← links)
- Invariance times (Q682276) (← links)
- Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison (Q957529) (← links)
- Defaultable game options in a hazard process model (Q1039923) (← links)
- The sustainable Black-Scholes equations (Q1622632) (← links)
- A multiple-curve HJM model of interbank risk (Q1938982) (← links)
- Financial modeling. A backward stochastic differential equations perspective (Q1945553) (← links)
- Positive XVAs (Q2085834) (← links)
- XVA metrics for CCP optimization (Q2173275) (← links)
- Dynamic hedging of portfolio credit risk in a Markov copula model (Q2247917) (← links)
- Credit, funding, margin, and capital valuation adjustments for bilateral portfolios (Q2296097) (← links)
- BSDEs of counterparty risk (Q2347456) (← links)
- Convertible Bonds in a Defaultable Diffusion Model (Q2909987) (← links)
- DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK (Q3005840) (← links)
- About the Pricing Equations in Finance (Q3061146) (← links)
- Up and down credit risk (Q3064015) (← links)
- Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Q3195064) (← links)
- PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS (Q3580185) (← links)
- Arbitrage pricing of defaultable game options with applications to convertible bonds (Q3605239) (← links)
- Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization (Q4429859) (← links)
- (Q4530576) (← links)
- Dynamic Hedging of Counterparty Exposure (Q4561926) (← links)
- Invariance Properties in the Dynamic Gaussian Copula Model (Q4606383) (← links)
- Delta-hedging vega risk? (Q4610265) (← links)
- Multivariate Shortfall Risk Allocation and Systemic Risk (Q4635243) (← links)
- A Lévy HJM multiple-curve model with application to CVA computation (Q4683048) (← links)
- XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS (Q4686502) (← links)
- Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives (Q4689901) (← links)
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization (Q4807847) (← links)
- Stochastic approximation schemes for economic capital and risk margin computations (Q4967869) (← links)
- Rational multi-curve models with counterparty-risk valuation adjustments (Q5001175) (← links)
- XVA analysis from the balance sheet (Q5014178) (← links)
- When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments (Q5112532) (← links)
- Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion (Q5119639) (← links)
- Wealth Transfers, Indifference Pricing, and XVA Compression Schemes (Q5132616) (← links)
- Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints (Q5162840) (← links)
- (Q5169724) (← links)
- Doubly reflected BSDEs with call protection and their approximation (Q5174372) (← links)
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING (Q5175221) (← links)
- BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA (Q5175222) (← links)
- A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective (Q5256598) (← links)
- A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues (Q5256599) (← links)
- Central Clearing Valuation Adjustment (Q5266361) (← links)
- COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA (Q5299992) (← links)
- INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA (Q5299994) (← links)
- VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL (Q5389101) (← links)
- A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries (Q5419654) (← links)
- Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches (Q5419656) (← links)
- Derivatives risks as costs in a one-period network model (Q6078119) (← links)
- Pathwise CVA regressions with oversimulated defaults (Q6078661) (← links)