Monique jeanblanc calcul stochastique pdf

A read is counted each time someone views a publication summary such as the title, abstract, and list of authors, clicks on a figure, or views or downloads the fulltext. Arbitrage and portfolio optimization monique jeanblanc, universite devryvaldessonne arbitrages and progressive enlargement of. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations, especially about the default threshold. Financial support from federation bancaire francaise. Brownian excursions and parisian barrier options volume 29 issue 1 marc chesney, monique jeanblanc picque, marc yor. Martingale representation property in progressively enlarged. Default times, noarbitrage conditions and changes of probability measures default times, noarbitrage conditions and changes of probability measures coculescu, delia. Join researchgate to find the people and research you need to help your work. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterize its three coefficient processes as solutions of semimartingale backward stochastic differential equations and show how they can be used to describe the optimal. Monique jeanblanc, est une mathematicienne francaise specialisee dans les probabilites, notamment le calcul stochastique, et leurs applications aux monique jeanblanc. On arbitrages arising with honest times, finance and.

On arbitrages arising with honest times on arbitrages arising with honest times fontana, claudio. Pricing and trading credit default swaps in a hazard process model bielecki, tomasz r. Timechanged cir default intensities with twosided meanreverting jumps mendozaarriaga, rafael and linetsky, vadim, the annals of applied probability, 2014. We study the pricing of credit derivatives with asymmetric information. Martingale representationin the enlargement of the. Introduction au calcul stochastique nadine guillotinplantard novembre 2009. The purpose of this paper is to develop a stochastic calculus of variations for r nvaluedstrong markov processes with jumps x t,which is the analogous of the malliavin calculus of variations on diffusions. Hedging of a credit default swaption in the cir default.

Banff, may 2014 banff international research station. By relying on the theory of progressive enlargement of filtrations, we. Mathscinet according to our current online database, monique jeanblanc has 9 students and 9 descendants. Whether youve loved the book or not, if you give your honest and detailed thoughts then people will find new books that are right for them. Karoui, monique jeanblanc, bernard lapeyre, damien lamberton, steven shreeve. Stochastic differential equations girsanov theorem feynman kac lemma stochastic differential introduction of the differential notation. Calcul stochastique et finance stochastique mouvement. An important issue arising in the context of credit default swap cds rates is the construction of an appropriate model in which a family of options written on credit default swaps, referred to. In this paper, we study a utility maximization problem with random horizon and reduce it to the analysis of a specific backward stochastic differential equation bsde, which we call bsde with singular coefficients, when the support of the default time is assumed to be bounded. Jean jacod, monique jeanblanc, damien lamberton, bernard lapeyre. We solve the problem of meanvariance hedging for general semimartingale models via stochastic control methods. An integration by parts formula is established on a non gaussian infinite dimensional probability space, in order to prove regularity of the probability law on r n of x t,for fixed. Other readers will always be interested in your opinion of the books youve read. Material for phd students, postdocs and practitioners with some knowledge of probability and mathematical finance may be found on the advanced lectures page.