Monique Jeanblanc

According to our database, Monique Jeanblanc authored at least 23 papers between 1993 and 2020.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2020

Characteristics and Constructions of Default Times.

Monique Jeanblanc, Libo Li

SIAM J. Financial Math., 2020

2019

Adaptive Robust Control under Model Uncertainty.

Tomasz R. Bielecki, Tao Chen, Igor Cialenco, Areski Cousin, Monique Jeanblanc

SIAM J. Control. Optim., 2019

Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices.

Delia Coculescu, Monique Jeanblanc

Finance Stochastics, 2019

2018

An enlargement of filtration formula with applications to multiple non-ordered default times.

Monique Jeanblanc, Libo Li, Shiqi Song

Finance Stochastics, 2018

No-arbitrage under a class of honest times.

Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc

Finance Stochastics, 2018

2017

No-arbitrage up to random horizon for quasi-left-continuous models.

Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc

Finance Stochastics, 2017

2015

Financial Markets Modeling.

Monique Jeanblanc

Proceedings of the Encyclopedia of Systems and Control, 2015

Density Approach in Modeling Successive Defaults.

Nicole El Karoui, Monique Jeanblanc, Ying Jiao

SIAM J. Financial Math., 2015

2014

BSDEs with Singular Terminal Condition and a Control Problem with Constraints.

Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse

SIAM J. Control. Optim., 2014

On arbitrages arising with honest times.

Claudio Fontana, Monique Jeanblanc, Shiqi Song

Finance Stochastics, 2014

2012

Default times, no-arbitrage conditions and changes of probability measures.

Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali

Finance Stochastics, 2012

2011

Hedging of a credit default swaption in the CIR default intensity model.

Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski

Finance Stochastics, 2011

2010

Valuation of default-sensitive claims under imperfect information (Publisher's Erratum).

Delia Coculescu, Hélyette Geman, Monique Jeanblanc

Finance Stochastics, 2010

2008

Valuation of default-sensitive claims under imperfect information.

Delia Coculescu, Hélyette Geman, Monique Jeanblanc

Finance Stochastics, 2008

2007

On the Starting and Stopping Problem: Application in Reversible Investments.

Said Hamadène, Monique Jeanblanc

Math. Oper. Res., 2007

2006

Arbitrage Pricing of Convertible Securities with Credit Risk.

Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski

Proceedings of the 45th IEEE Conference on Decision and Control, 2006

2004

Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy.

Monique Jeanblanc, Peter Lakner, Ashay Kadam

Math. Oper. Res., 2004

Hazard rate for credit risk and hedging defaultable contingent claims.

Christophette Blanchet-Scalliet, Monique Jeanblanc

Finance Stochastics, 2004

Environment and Financial Markets.

Wojciech Szatzschneider, Monique Jeanblanc, Teresa Kwiatkowska

Proceedings of the Computational Science, 2004

2000

Incompleteness of markets driven by a mixed diffusion.

Nadine Bellamy, Monique Jeanblanc

Finance Stochastics, 2000

1999

Incomplete markets with jumps and informed agents.

Robert J. Elliott, Monique Jeanblanc

Math. Methods Oper. Res., 1999

1998

Optimization of consumption with labor income.

Nicole El Karoui, Monique Jeanblanc-Picqué

Finance Stochastics, 1998

1993

An application of impulse control method to target zone problem.

Monique Jeanblanc-Picqué

Proceedings of the System Modelling and Optimization: Proceedings of the 16th IFIP-TC7 Conference, 1993