Search Results - person:"Jeanblanc, Monique"

Gueye, Djibril; Jeanblanc, Monique - In: Frontiers of mathematical finance : FMF 1 (2022) 4, pp. 467-489

Persistent link: https://www.econbiz.de/10015373918

First-to-default and second-to-default options in models with various information flows

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-29

Persistent link: https://www.econbiz.de/10012652666

Conic Martingales from Stochastic Integrals

Vrins, Frédéric D. - 2017

In this paper we introduce the concept of conic martingales. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-dependent) boundaries. We first review some results about the martingale property of solution to driftless stochastic...

Persistent link: https://www.econbiz.de/10012969707

SDEs with uniform distributions : peacocks, conic martingales and mean reverting uniform diffusions

Brigo, Damiano; Jeanblanc, Monique; Vrins, Frédéric - 2016 - This version: December 9, 2016

Persistent link: https://www.econbiz.de/10011894452

Credit default swaps in two-dimensional models with various informations flows

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10012270908

The Φ-Martingale

Vrins, Frédéric; Jeanblanc, Monique - 2015

Persistent link: https://www.econbiz.de/10011289955

Defaultable claims in switching models with partial information

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012030897

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

Coculescu, Delia; Jeanblanc, Monique - In: Finance and stochastics 23 (2019) 2, pp. 397-421

Persistent link: https://www.econbiz.de/10012023743

Conic martingales from stochastic integrals

Jeanblanc, Monique; Vrins, Frédéric - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 516-535

Persistent link: https://www.econbiz.de/10012166968

No-arbitrage under a class of honest times

Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 22 (2018) 1, pp. 127-159

Persistent link: https://www.econbiz.de/10011945638

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