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Jeanblanc, Monique

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Author ID: jeanblanc.monique Recent zbMATH articles by "Jeanblanc, Monique"
Published as: Jeanblanc, M.; Jeanblanc, Monique; Jeanblanc-Picqué, M.; Jeanblanc-Picqué, Monique
External Links: MGP · Wikidata · GND
Documents Indexed: 104 Publications since 1986, including 7 Books

Publications by Year

Citations contained in zbMATH

84 Publications have been cited 1,653 times in 1,203 Documents Cited by Year
Mathematical methods for financial markets. Zbl 1205.91003
Jeanblanc, Monique; Yor, Marc; Chesney, Marc
198
2009
Optimization of the flow of dividends. Zbl 0878.90014
Jeanblanc-Picqué, M.; Shiryaev, A. N.
114
1995
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
102
1998
Brownian excursions and Parisian barrier options. Zbl 0882.60042
Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc
77
1997
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
71
2000
Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051
El Karoui, Nicole; Du’ Hůů Nguyen; Jeanblanc-Picqué, Monique
64
1987
On the starting and stopping problem: application in reversible investments. Zbl 1276.91100
Hamadène, Said; Jeanblanc, Monique
62
2007
Modeling and valuation of credit risk. Zbl 1134.91023
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
54
2004
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
46
1998
Optimal portfolio for a small investor in a market model with discontinuous prices. Zbl 0715.90014
Jeanblanc-Picqué, Monique; Pontier, Monique
46
1990
Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel
40
2008
Optimal portfolio management with American capital guarantee. Zbl 1202.91295
El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent
36
2005
What happens after a default: the conditional density approach. Zbl 1194.91187
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
35
2010
Hazard rate for credit risk and hedging defaultable contingent claims. Zbl 1052.91036
Blanchet-Scalliet, Christophette; Jeanblanc, Monique
35
2004
Impulse control method and exchange rate. Zbl 0884.90034
Jeanblanc-Picqué, Monique
32
1993
Progressive enlargement of filtrations with initial times. Zbl 1175.60041
Jeanblanc, Monique; Le Cam, Yann
25
2009
Pricing and trading credit default swaps in a hazard process model. Zbl 1158.91011
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
25
2008
Mean-variance hedging via stochastic control and BSDEs for general semimartingales. Zbl 1273.60053
Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; Schweizer, Martin
24
2012
Incompleteness of markets driven by a mixed diffusion. Zbl 0951.91028
Bellamy, N.; Jeanblanc, M.
23
2000
Valuation and hedging of CDS counterparty exposure in a Markov copula model. Zbl 1243.91100
Bielecki, T. R.; Crépey, S.; Jeanblanc, M.; Zargari, B.
22
2012
On arbitrages arising with honest times. Zbl 1353.60042
Fontana, Claudio; Jeanblanc, Monique; Song, Shiqi
21
2014
Minimal \(f^q\)-Martingale measures for exponential Lévy processes. Zbl 1140.60026
Jeanblanc, Monique; Klöppel, Susanne; Miyahara, Yoshio
21
2007
Hedging of defaultable claims. Zbl 1059.91035
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
21
2004
Valuation of default-sensitive claims under imperfect information. Zbl 1150.91015
Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique
20
2008
Default times, no-arbitrage conditions and changes of probability measures. Zbl 1261.91046
Coculescu, Delia; Jeanblanc, Monique; Nikeghbali, Ashkan
18
2012
Enlargement of filtrations with finance in view. Zbl 1397.91003
Aksamit, Anna; Jeanblanc, Monique
17
2017
On an optional semimartingale decomposition and the existence of a deflator in an enlarged filtration. Zbl 1336.60084
Aksamit, Anna; Choulli, Tahir; Jeanblanc, Monique
17
2015
Martingale representation property in progressively enlarged filtrations. Zbl 1328.60110
Jeanblanc, Monique; Song, Shiqi
17
2015
Carthaginian enlargement of filtrations. Zbl 1296.60106
Callegaro, Giorgia; Jeanblanc, Monique; Zargari, Behnaz
17
2013
Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063
El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique
17
1988
BSDEs with singular terminal condition and a control problem with constraints. Zbl 1306.60065
Ankirchner, Stefan; Jeanblanc, Monique; Kruse, Thomas
16
2014
PDE approach to valuation and hedging of credit derivatives. Zbl 1134.91398
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
16
2005
Self-similar processes with independent increments associated with Lévy and Bessel processes. Zbl 1059.60052
Jeanblanc, M.; Pitman, Jim; Yor, Marc
16
2002
Defaultable options in a Markovian intensity model of credit risk. Zbl 1214.91123
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek
15
2008
Arbitrage pricing of defaultable game options with applications to convertible bonds. Zbl 1154.91426
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek
15
2008
Defaultable game options in a hazard process model. Zbl 1191.91060
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek
13
2009
An explicit model of default time with given survival probability. Zbl 1298.91176
Jeanblanc, Monique; Song, Shiqi
12
2011
Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula. Zbl 1230.60047
Jeanblanc, Monique; Song, Shiqi
12
2011
Financial markets in continuous time. Translated from the French by Anna Kennedy. Zbl 1014.91043
Dana, Rose-Anne; Jeanblanc, Monique
12
2003
Optimal bankruptcy time and consumption/investment policies on an infinite horizon with a continuous debt repayment until bankruptcy. Zbl 1082.91049
Jeanblanc, Monique; Lakner, Peter; Kadam, Ashay
11
2004
No-arbitrage up to random horizon for quasi-left-continuous models. Zbl 1391.91165
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
9
2017
Utility maximization with random horizon: a BSDE approach. Zbl 1337.91155
Jeanblanc, Monique; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
9
2015
Constructing random times with given survival processes and applications to valuation of credit derivatives. Zbl 1228.91070
Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; Rutkowski, Marek
9
2010
Hedging of credit derivatives in models with totally unexpected default. Zbl 1186.91190
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
9
2006
The Feynman-Kac formula and decomposition of Brownian paths. Zbl 0877.60027
Jeanblanc, M.; Pitman, Jim; Yor, Marc
9
1997
Arbitrages in a progressive enlargement setting. Zbl 1327.91068
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
8
2014
Immersion property and credit risk modelling. Zbl 1195.60066
Jeanblanc, Monique; Le Cam, Yann
8
2009
Incomplete markets with jumps and informed agents. Zbl 0940.91063
Elliott, Robert J.; Jeanblanc, Monique
8
1999
Density approach in modeling successive defaults. Zbl 1350.91018
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
7
2015
Portfolio optimization in a defaultable market under incomplete information. Zbl 1257.91039
Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, Wolfgang J.
7
2012
Indifference pricing of defaultable claims. Zbl 1192.91092
Bieleck, Tomasz R.; Jeanblanc, Monique
7
2009
Partial information and hazard process. Zbl 1138.60329
Jeanblanc, Monique; Valchev, Stoyan
7
2005
Hedging of a credit default swaption in the CIR default intensity model. Zbl 1303.91184
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
6
2011
Convertible bonds in a defaultable diffusion model. Zbl 1246.91142
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek
6
2011
Up and down credit risk. Zbl 1201.91212
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique
6
2010
Replication of contingent claims in a reduced-form credit risk model with discontinuous asset prices. Zbl 1211.91243
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
6
2006
Default risk and hazard process. Zbl 1035.91037
Jeanblanc, Monique; Rutkoski, Marek
6
2002
Conic martingales from stochastic integrals. Zbl 1390.60161
Jeanblanc, Monique; Vrins, Frédéric
5
2018
No-arbitrage under a class of honest times. Zbl 1391.91166
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
5
2018
Pricing American currency options in an exponential Lévy model. Zbl 1066.91038
Chesney, Marc; Jeanblanc, M.
5
2004
Pricing and hedging of credit risk: replication and mean-variance approaches. I. Zbl 1061.60064
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
5
2004
A note on BSDEs with singular driver coefficients. Zbl 1325.60090
Jeanblanc, Monique; Réveillac, Anthony
4
2014
Information, no-arbitrage and completeness for asset price models with a change point. Zbl 1326.60057
Fontana, Claudio; Grbac, Zorana; Jeanblanc, Monique; Li, Qinghua
4
2014
A complete market model with Poisson and Brownian components. Zbl 1061.91029
Jeanblanc, M.; Privault, N.
4
2002
Some combinations of Asian, Parisian and barrier options. Zbl 0911.90036
Yor, M.; Chesney, M.; Geman, H.; Jeanblanc-Picqué, M.
4
1997
Some existence results for advanced backward stochastic differential equations with a jump time. Zbl 1383.60047
Jeanblanc, Monique; Lim, Thomas; Agram, Nacira
3
2017
Controlling the occupation time of an exponential martingale. Zbl 1378.93142
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Jeanblanc, Monique
3
2017
Hedging CDO tranches in a Markovian environment. Zbl 1214.91124
Cousin, Areski; Jeanblanc, Monique; Laurent, Jean-Paul
3
2011
Pricing and filtering in a two-dimensional dividend switching model. Zbl 1207.91062
Gapeev, Pavel V.; Jeanblanc, Monique
3
2010
Pricing and hedging of credit risk: replication and mean-variance approaches. II. Zbl 1061.60065
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
3
2004
Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065
El Karoui, Nicole; Jeanblanc-Picqué, Monique
3
1988
Role of information in pricing default-sensitive contingent claims. Zbl 1337.91101
Jeanblanc, Monique; Leniec, Marta
2
2015
Conditional default probability and density. Zbl 1418.91570
El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B.
2
2014
Informationally dynamized Gaussian copula. Zbl 1266.91119
Crépey, S.; Jeanblanc, M.; Wu, D.
2
2013
Pricing of contingent claims in a two-dimensional model with random dividends. Zbl 1182.91174
Gapeev, Pavel V.; Jeanblanc, Monique
2
2009
No-arbitrage under additional information for thin semimartingale models. Zbl 07107496
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
1
2019
Defaultable claims in switching models with partial information. Zbl 1411.91599
Gapeev, Pavel V.; Jeanblanc, Monique
1
2019
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Zbl 1411.91248
Coculescu, Delia; Jeanblanc, Monique
1
2019
Adaptive robust control under model uncertainty. Zbl 1409.93070
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor; Cousin, Areski; Jeanblanc, Monique
1
2019
Dynamics of multivariate default system in random environment. Zbl 1415.91300
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
1
2017
Optimization problem under change of regime of interest rate. Zbl 1415.91265
Iftimie, Bogdan; Jeanblanc, Monique; Lim, Thomas
1
2016
Hedging portfolio loss derivatives with CDS’s. Zbl 1308.91138
Cousin, Areski; Jeanblanc, Monique
1
2012
Completeness of a general semimartingale market under constrained trading. Zbl 1143.91330
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
1
2006
Existence of an optimal Markovian filter for the control under partial observations. Zbl 0588.60075
El Karoui, Nicole; Nguyen Du Huu; Jeanblanc-Picqué, Monique
1
1986
No-arbitrage under additional information for thin semimartingale models. Zbl 07107496
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
1
2019
Defaultable claims in switching models with partial information. Zbl 1411.91599
Gapeev, Pavel V.; Jeanblanc, Monique
1
2019
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Zbl 1411.91248
Coculescu, Delia; Jeanblanc, Monique
1
2019
Adaptive robust control under model uncertainty. Zbl 1409.93070
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor; Cousin, Areski; Jeanblanc, Monique
1
2019
Conic martingales from stochastic integrals. Zbl 1390.60161
Jeanblanc, Monique; Vrins, Frédéric
5
2018
No-arbitrage under a class of honest times. Zbl 1391.91166
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
5
2018
Enlargement of filtrations with finance in view. Zbl 1397.91003
Aksamit, Anna; Jeanblanc, Monique
17
2017
No-arbitrage up to random horizon for quasi-left-continuous models. Zbl 1391.91165
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
9
2017
Some existence results for advanced backward stochastic differential equations with a jump time. Zbl 1383.60047
Jeanblanc, Monique; Lim, Thomas; Agram, Nacira
3
2017
Controlling the occupation time of an exponential martingale. Zbl 1378.93142
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Jeanblanc, Monique
3
2017
Dynamics of multivariate default system in random environment. Zbl 1415.91300
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
1
2017
Optimization problem under change of regime of interest rate. Zbl 1415.91265
Iftimie, Bogdan; Jeanblanc, Monique; Lim, Thomas
1
2016
On an optional semimartingale decomposition and the existence of a deflator in an enlarged filtration. Zbl 1336.60084
Aksamit, Anna; Choulli, Tahir; Jeanblanc, Monique
17
2015
Martingale representation property in progressively enlarged filtrations. Zbl 1328.60110
Jeanblanc, Monique; Song, Shiqi
17
2015
Utility maximization with random horizon: a BSDE approach. Zbl 1337.91155
Jeanblanc, Monique; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony
9
2015
Density approach in modeling successive defaults. Zbl 1350.91018
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
7
2015
Role of information in pricing default-sensitive contingent claims. Zbl 1337.91101
Jeanblanc, Monique; Leniec, Marta
2
2015
On arbitrages arising with honest times. Zbl 1353.60042
Fontana, Claudio; Jeanblanc, Monique; Song, Shiqi
21
2014
BSDEs with singular terminal condition and a control problem with constraints. Zbl 1306.60065
Ankirchner, Stefan; Jeanblanc, Monique; Kruse, Thomas
16
2014
Arbitrages in a progressive enlargement setting. Zbl 1327.91068
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
8
2014
A note on BSDEs with singular driver coefficients. Zbl 1325.60090
Jeanblanc, Monique; Réveillac, Anthony
4
2014
Information, no-arbitrage and completeness for asset price models with a change point. Zbl 1326.60057
Fontana, Claudio; Grbac, Zorana; Jeanblanc, Monique; Li, Qinghua
4
2014
Conditional default probability and density. Zbl 1418.91570
El Karoui, N.; Jeanblanc, M.; Jiao, Y.; Zargari, B.
2
2014
Carthaginian enlargement of filtrations. Zbl 1296.60106
Callegaro, Giorgia; Jeanblanc, Monique; Zargari, Behnaz
17
2013
Informationally dynamized Gaussian copula. Zbl 1266.91119
Crépey, S.; Jeanblanc, M.; Wu, D.
2
2013
Mean-variance hedging via stochastic control and BSDEs for general semimartingales. Zbl 1273.60053
Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; Schweizer, Martin
24
2012
Valuation and hedging of CDS counterparty exposure in a Markov copula model. Zbl 1243.91100
Bielecki, T. R.; Crépey, S.; Jeanblanc, M.; Zargari, B.
22
2012
Default times, no-arbitrage conditions and changes of probability measures. Zbl 1261.91046
Coculescu, Delia; Jeanblanc, Monique; Nikeghbali, Ashkan
18
2012
Portfolio optimization in a defaultable market under incomplete information. Zbl 1257.91039
Callegaro, Giorgia; Jeanblanc, Monique; Runggaldier, Wolfgang J.
7
2012
Hedging portfolio loss derivatives with CDS’s. Zbl 1308.91138
Cousin, Areski; Jeanblanc, Monique
1
2012
An explicit model of default time with given survival probability. Zbl 1298.91176
Jeanblanc, Monique; Song, Shiqi
12
2011
Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula. Zbl 1230.60047
Jeanblanc, Monique; Song, Shiqi
12
2011
Hedging of a credit default swaption in the CIR default intensity model. Zbl 1303.91184
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
6
2011
Convertible bonds in a defaultable diffusion model. Zbl 1246.91142
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek
6
2011
Hedging CDO tranches in a Markovian environment. Zbl 1214.91124
Cousin, Areski; Jeanblanc, Monique; Laurent, Jean-Paul
3
2011
What happens after a default: the conditional density approach. Zbl 1194.91187
El Karoui, Nicole; Jeanblanc, Monique; Jiao, Ying
35
2010
Constructing random times with given survival processes and applications to valuation of credit derivatives. Zbl 1228.91070
Gapeev, Pavel V.; Jeanblanc, Monique; Li, Libo; Rutkowski, Marek
9
2010
Up and down credit risk. Zbl 1201.91212
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique
6
2010
Pricing and filtering in a two-dimensional dividend switching model. Zbl 1207.91062
Gapeev, Pavel V.; Jeanblanc, Monique
3
2010
Mathematical methods for financial markets. Zbl 1205.91003
Jeanblanc, Monique; Yor, Marc; Chesney, Marc
198
2009
Progressive enlargement of filtrations with initial times. Zbl 1175.60041
Jeanblanc, Monique; Le Cam, Yann
25
2009
Defaultable game options in a hazard process model. Zbl 1191.91060
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek
13
2009
Immersion property and credit risk modelling. Zbl 1195.60066
Jeanblanc, Monique; Le Cam, Yann
8
2009
Indifference pricing of defaultable claims. Zbl 1192.91092
Bieleck, Tomasz R.; Jeanblanc, Monique
7
2009
Pricing of contingent claims in a two-dimensional model with random dividends. Zbl 1182.91174
Gapeev, Pavel V.; Jeanblanc, Monique
2
2009
Optimal investment decisions when time-horizon is uncertain. Zbl 1153.91018
Blanchet-Scalliet, Christophette; El Karoui, Nicole; Jeanblanc, Monique; Martellini, Lionel
40
2008
Pricing and trading credit default swaps in a hazard process model. Zbl 1158.91011
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
25
2008
Valuation of default-sensitive claims under imperfect information. Zbl 1150.91015
Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique
20
2008
Defaultable options in a Markovian intensity model of credit risk. Zbl 1214.91123
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek
15
2008
Arbitrage pricing of defaultable game options with applications to convertible bonds. Zbl 1154.91426
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek
15
2008
On the starting and stopping problem: application in reversible investments. Zbl 1276.91100
Hamadène, Said; Jeanblanc, Monique
62
2007
Minimal \(f^q\)-Martingale measures for exponential Lévy processes. Zbl 1140.60026
Jeanblanc, Monique; Klöppel, Susanne; Miyahara, Yoshio
21
2007
Hedging of credit derivatives in models with totally unexpected default. Zbl 1186.91190
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
9
2006
Replication of contingent claims in a reduced-form credit risk model with discontinuous asset prices. Zbl 1211.91243
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
6
2006
Completeness of a general semimartingale market under constrained trading. Zbl 1143.91330
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
1
2006
Optimal portfolio management with American capital guarantee. Zbl 1202.91295
El Karoui, Nicole; Jeanblanc, Monique; Lacoste, Vincent
36
2005
PDE approach to valuation and hedging of credit derivatives. Zbl 1134.91398
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
16
2005
Partial information and hazard process. Zbl 1138.60329
Jeanblanc, Monique; Valchev, Stoyan
7
2005
Modeling and valuation of credit risk. Zbl 1134.91023
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
54
2004
Hazard rate for credit risk and hedging defaultable contingent claims. Zbl 1052.91036
Blanchet-Scalliet, Christophette; Jeanblanc, Monique
35
2004
Hedging of defaultable claims. Zbl 1059.91035
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
21
2004
Optimal bankruptcy time and consumption/investment policies on an infinite horizon with a continuous debt repayment until bankruptcy. Zbl 1082.91049
Jeanblanc, Monique; Lakner, Peter; Kadam, Ashay
11
2004
Pricing American currency options in an exponential Lévy model. Zbl 1066.91038
Chesney, Marc; Jeanblanc, M.
5
2004
Pricing and hedging of credit risk: replication and mean-variance approaches. I. Zbl 1061.60064
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
5
2004
Pricing and hedging of credit risk: replication and mean-variance approaches. II. Zbl 1061.60065
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
3
2004
Financial markets in continuous time. Translated from the French by Anna Kennedy. Zbl 1014.91043
Dana, Rose-Anne; Jeanblanc, Monique
12
2003
Self-similar processes with independent increments associated with Lévy and Bessel processes. Zbl 1059.60052
Jeanblanc, M.; Pitman, Jim; Yor, Marc
16
2002
Default risk and hazard process. Zbl 1035.91037
Jeanblanc, Monique; Rutkoski, Marek
6
2002
A complete market model with Poisson and Brownian components. Zbl 1061.91029
Jeanblanc, M.; Privault, N.
4
2002
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
71
2000
Incompleteness of markets driven by a mixed diffusion. Zbl 0951.91028
Bellamy, N.; Jeanblanc, M.
23
2000
Incomplete markets with jumps and informed agents. Zbl 0940.91063
Elliott, Robert J.; Jeanblanc, Monique
8
1999
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
102
1998
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
46
1998
Brownian excursions and Parisian barrier options. Zbl 0882.60042
Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc
77
1997
The Feynman-Kac formula and decomposition of Brownian paths. Zbl 0877.60027
Jeanblanc, M.; Pitman, Jim; Yor, Marc
9
1997
Some combinations of Asian, Parisian and barrier options. Zbl 0911.90036
Yor, M.; Chesney, M.; Geman, H.; Jeanblanc-Picqué, M.
4
1997
Optimization of the flow of dividends. Zbl 0878.90014
Jeanblanc-Picqué, M.; Shiryaev, A. N.
114
1995
Impulse control method and exchange rate. Zbl 0884.90034
Jeanblanc-Picqué, Monique
32
1993
Optimal portfolio for a small investor in a market model with discontinuous prices. Zbl 0715.90014
Jeanblanc-Picqué, Monique; Pontier, Monique
46
1990
Existence of an optimal Markovian filter for the control under partial observations. Zbl 0657.60063
El Karoui, Nicole; Nguyen, Du’Huù; Jeanblanc-Picqué, Monique
17
1988
Contrôle de processus de Markov. (Control of Markov processes). Zbl 0713.93065
El Karoui, Nicole; Jeanblanc-Picqué, Monique
3
1988
Compactification methods in the control of degenerate diffusions: Existence of an optimal control. Zbl 0613.60051
El Karoui, Nicole; Du’ Hůů Nguyen; Jeanblanc-Picqué, Monique
64
1987
Existence of an optimal Markovian filter for the control under partial observations. Zbl 0588.60075
El Karoui, Nicole; Nguyen Du Huu; Jeanblanc-Picqué, Monique
1
1986
all top 5

Cited by 1,414 Authors

40 Jeanblanc, Monique
20 Rutkowski, Marek
17 Palmowski, Zbigniew
15 Crepey, Stephane
15 Jiao, Ying
14 Bielecki, Tomasz R.
14 Hamadene, Saïd
13 Ekström, Erik
13 El Karoui, Nicole
13 Yor, Marc
12 Bo, Lijun
12 Fontana, Claudio
12 Pham, Huyên
11 Capponi, Agostino
11 Czarna, Irmina
10 Choulli, Tahir
10 Ferrari, Giorgio
9 Pontier, Monique
9 Song, Shiqi
9 Zeng, Yan
8 Bayraktar, Erhan
8 Blanchet-Scalliet, Christophette
8 Brigo, Damiano
8 Ceci, Claudia
8 Hillairet, Caroline
8 Kharroubi, Idris
8 Øksendal, Bernt Karsten
8 Popier, Alexandre
8 Tysk, Johan
8 Villeneuve, Stéphane
8 Wu, Zhen
7 Aksamit, Anna
7 Elie, Romuald
7 Frey, Rüdiger
7 Horst, Ulrich
7 Mahayni, Antje
7 Mezerdi, Brahim
7 Possamaï, Dylan
7 Protter, Philip Elliott
7 Shen, Yang
7 Siu, Tak Kuen
7 Touzi, Nizar
7 Yuen, Kam Chuen
6 Alvarez, Luis H. R.
6 Bahlali, Khaled
6 Biagini, Francesca
6 Buckdahn, Rainer
6 Cadenillas, Abel
6 Coculescu, Delia
6 Cui, Zhenyu
6 Dassios, Angelos
6 Deng, Jun
6 Di Nunno, Giulia
6 Federico, Salvatore
6 Gapeev, Pavel V.
6 Guo, Junyi
6 Henderson, Vicky
6 Jacquier, Antoine
6 Li, Libo
6 Liang, Gechun
6 Ma, Jin
6 Nikeghbali, Ashkan
6 Ouknine, Youssef
6 Prigent, Jean-Luc
6 Shin, Yong Hyun
6 Tankov, Peter
6 Vrins, Frédéric
6 Xiong, Dewen
6 Young, Virginia R.
5 Amami, Rim
5 Ankirchner, Stefan
5 Bernard, Carole
5 Chen, An
5 Cousin, Areski
5 De Angelis, Tiziano
5 Djehiche, Boualem
5 Dong, Yinghui
5 Geman, Hélyette
5 Kardaras, Constantinos
5 Lacker, Daniel
5 Li, Zhongfei
5 Linetsky, Vadim
5 Loeffen, Ronnie L.
5 Lorig, Matthew J.
5 Mazliak, Laurent
5 Mnif, Mohamed
5 Pallavicini, Andrea
5 Quenez, Marie-Claire
5 Roynette, Bernard
5 Runggaldier, Wolfgang J.
5 Seifried, Frank Thomas
5 Sulem, Agnès
5 Vostrikova, Lioudmila
5 Ye, Zhongxing
5 Zhang, Jianfeng
4 Bai, Lihua
4 Becherer, Dirk
4 Borkar, Vivek Shripad
4 Branger, Nicole
4 Callegaro, Giorgia
...and 1,314 more Authors
all top 5

Cited in 180 Serials

79 International Journal of Theoretical and Applied Finance
74 Stochastic Processes and their Applications
64 Finance and Stochastics
58 Insurance Mathematics & Economics
54 Mathematical Finance
51 The Annals of Applied Probability
43 Quantitative Finance
34 SIAM Journal on Control and Optimization
32 Journal of Economic Dynamics & Control
27 Applied Mathematical Finance
26 Journal of Applied Probability
24 Applied Mathematics and Optimization
23 Stochastics
22 European Journal of Operational Research
21 Stochastic Analysis and Applications
20 SIAM Journal on Financial Mathematics
18 Scandinavian Actuarial Journal
17 Journal of Mathematical Analysis and Applications
17 Mathematics and Financial Economics
15 Statistics & Probability Letters
15 Mathematical Methods of Operations Research
14 Journal of Computational and Applied Mathematics
14 Asia-Pacific Financial Markets
13 The Annals of Probability
13 Journal of Optimization Theory and Applications
11 Advances in Applied Probability
10 Journal of Mathematical Economics
9 Stochastics and Dynamics
8 Theory of Probability and its Applications
8 Methodology and Computing in Applied Probability
8 Stochastic Models
8 Annals of Finance
8 Probability, Uncertainty and Quantitative Risk
7 Automatica
7 Operations Research Letters
7 Acta Mathematicae Applicatae Sinica. English Series
7 ASTIN Bulletin
6 Applied Mathematics and Computation
6 Systems & Control Letters
6 Optimization
6 Journal of Theoretical Probability
6 Mathematical Problems in Engineering
6 North American Actuarial Journal
6 Review of Derivatives Research
6 European Actuarial Journal
5 Physica A
5 Mathematics of Operations Research
5 Probability Theory and Related Fields
5 Annals of Operations Research
5 Abstract and Applied Analysis
5 Decisions in Economics and Finance
5 Comptes Rendus. Mathématique. Académie des Sciences, Paris
5 Journal of Industrial and Management Optimization
5 Science China. Mathematics
5 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
4 Communications in Statistics. Theory and Methods
4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
4 Bernoulli
4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
4 Discrete Dynamics in Nature and Society
4 Frontiers of Mathematics in China
4 International Journal of Stochastic Analysis
4 Afrika Matematika
4 Mathematical Control and Related Fields
3 Journal of Economic Theory
3 Journal of Econometrics
3 Journal of Multivariate Analysis
3 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
3 Proceedings of the American Mathematical Society
3 Stochastics and Stochastics Reports
3 Bulletin des Sciences Mathématiques
3 Journal of Dynamics and Games
3 Dependence Modeling
3 Modern Stochastics. Theory and Applications
2 Moscow University Mathematics Bulletin
2 Journal of Differential Equations
2 Operations Research
2 Chinese Annals of Mathematics. Series B
2 Acta Applicandae Mathematicae
2 Applied Numerical Mathematics
2 Statistics
2 MCSS. Mathematics of Control, Signals, and Systems
2 Journal of Applied Mathematics and Stochastic Analysis
2 European Journal of Applied Mathematics
2 International Journal of Computer Mathematics
2 Applied Mathematics. Series B (English Edition)
2 Random Operators and Stochastic Equations
2 NoDEA. Nonlinear Differential Equations and Applications
2 Electronic Journal of Probability
2 Electronic Communications in Probability
2 Discrete and Continuous Dynamical Systems
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 Journal of Inequalities and Applications
2 Probability in the Engineering and Informational Sciences
2 The ANZIAM Journal
2 Journal of Systems Science and Complexity
2 Journal of Applied Mathematics
2 Nonlinear Analysis. Hybrid Systems
2 Statistics & Risk Modeling
2 JSIAM Letters
...and 80 more Serials

Citations by Year

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