Mathscinet according to our current online database, monique jeanblanc has 9 students and 9 descendants. Banff, may 2014 banff international research station. Introduction au calcul stochastique nadine guillotinplantard novembre 2009. Martingale representation property in progressively enlarged. Author links open overlay panel axel grorud a monique pontier b. Financial support from federation bancaire francaise. Brownian excursions and parisian barrier options volume 29 issue 1 marc chesney, monique jeanblanc picque, marc yor.
Material for phd students, postdocs and practitioners with some knowledge of probability and mathematical finance may be found on the advanced lectures page. We solve the problem of meanvariance hedging for general semimartingale models via stochastic control methods. Stochastic differential equations girsanov theorem feynman kac lemma stochastic differential introduction of the differential notation. Martingale representationin the enlargement of the.
Monique jeanblanc, est une mathematicienne francaise specialisee dans les probabilites, notamment le calcul stochastique, et leurs applications aux monique jeanblanc. 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. Karoui, monique jeanblanc, bernard lapeyre, damien lamberton, steven shreeve. Default times, noarbitrage conditions and changes of probability measures default times, noarbitrage conditions and changes of probability measures coculescu, delia. Timechanged cir default intensities with twosided meanreverting jumps mendozaarriaga, rafael and linetsky, vadim, the annals of applied probability, 2014. Other readers will always be interested in your opinion of the books youve read. Join researchgate to find the people and research you need to help your work. 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. 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. Arbitrage and portfolio optimization monique jeanblanc, universite devryvaldessonne arbitrages and progressive enlargement of. 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. 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. Hedging of a credit default swaption in the cir default.
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