Monique Jeanblanc

Monique Jeanblanc's AcademicInfluence.com Rankings

Monique Jeanblanc

Mathematics

#1938

World Rank

#3073

Historical Rank

Control Theory

#21

World Rank

#23

Historical Rank

Game Theory

#32

World Rank

#36

Historical Rank

Probability Theory

#33

World Rank

#52

Historical Rank

mathematics Degrees

Monique Jeanblanc

Economics

#3778

World Rank

#4273

Historical Rank

Public Finance

#20

World Rank

#21

Historical Rank

Microeconomics

#199

World Rank

#210

Historical Rank

Macroeconomics

#417

World Rank

#448

Historical Rank

economics Degrees

Download Badge

Mathematics
Economics

Monique Jeanblanc's Degrees

PhD Mathematics Université Paris Cité
PhD Economics Université Paris Cité

Why Is Monique Jeanblanc Influential?

(Suggest an Edit or Addition)

According to Wikipedia, Monique Jeanblanc-Picqué is a French mathematician known for her work in mathematical finance; other topics in her research have included control theory and probability theory. She is a professor emerita at the University of Évry Val d'Essonne.

(See a Problem?)

Monique Jeanblanc's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Mathematical Methods for Financial Markets (2009) (782)
On Models of Default Risk (2000) (281)
On the Starting and Stopping Problem: Application in Reversible Investments (2007) (167)
Optimization of consumption with labor income (1998) (164)
Hazard rate for credit risk and hedging defaultable contingent claims (2004) (146)
Optimal portfolio management with American capital guarantee (2005) (142)
What happens after a default: The conditional density approach (2009) (119)
Financial Markets in Continuous Time (2003) (117)
Hedging of Defaultable Claims (2004) (109)
Incompleteness of markets driven by a mixed diffusion (2000) (109)
Enlargement of Filtration with Finance in View (2017) (108)
Optimal investment decisions when time-horizon is uncertain (2008) (103)
Modelling of Default Risk: An Overview (2000) (95)
Progressive Enlargement of Filtrations with Initial Times (2008) (85)
Self-similar processes with independent increments associated with Lévy and Bessel processes (2002) (74)
CVA Computation for Counterparty Risk Assessment in Credit Portfolios (2012) (71)
Pricing and trading credit default swaps in a hazard process model (2008) (71)
Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales (2011) (69)
MINIMAL f q -MARTINGALE MEASURES FOR EXPONENTIAL LÉVY PROCESSES (2007) (68)
Default Risk and Hazard Process (2002) (67)
Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults (2010) (65)
Valuation of default-sensitive claims under imperfect information (2008) (64)
On arbitrages arising with honest times (2012) (64)
Arbitrage pricing of defaultable game options with applications to convertible bonds (2008) (58)
BSDEs with Singular Terminal Condition and a Control Problem with Constraints (2013) (56)
VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL (2012) (54)
Chapter 11 Valuation of Basket Credit Derivatives in the Credit Migrations Environment (2005) (54)
Up and down credit risk (2010) (52)
Modeling and Valuation of Credit Risk (2004) (52)
Martingale representation property in progressively enlarged filtrations (2012) (51)
Carthaginian enlargement of filtrations (2011) (49)
Modelling of Default Risk: Mathematicals Tools (2000) (44)
DEFAULTABLE GAME OPTIONS IN A HAZARD PROCESS MODEL (2009) (44)
Immersion Property and Credit Risk Modeling (2008) (43)
DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK (2008) (38)
Optimal Investment and Consumption Decisions when Time-Horizon is Uncertain (2003) (37)
A Complete Market Model with Poisson and Brownian Components (2002) (36)
Incomplete markets with jumps and informed agents (1999) (36)
The Feynman-Kac formula and decomposition of Brownian paths (1997) (36)
Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy (2004) (36)
Pricing American currency options in an exponential Lévy model (2004) (36)
Random times with given survival probability and their F-martingale decomposition formula (2011) (36)
An explicit model of default time with given survival probability (2011) (34)
Arbitrages in a Progressive Enlargement Setting (2013) (34)
Default times, no-arbitrage conditions and changes of probability measures (2012) (33)
Utility maximization with random horizon: a BSDE approach (2015) (33)
HEDGING OF BASKET CREDIT DERIVATIVES IN CREDIT DEFAULT SWAP MARKET (2007) (33)
Reduced Form Modelling for Credit Risk (2008) (33)
On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration (2015) (28)
HEDGING OF CREDIT DERIVATIVES IN MODELS WITH TOTALLY UNEXPECTED DEFAULT (2006) (25)
CONVERTIBLE BONDS IN A DEFAULTABLE DIFFUSION MODEL (2011) (24)
Hedging CDO Tranches in a Markovian Environment (2011) (24)
No-arbitrage up to random horizon for quasi-left-continuous models (2017) (24)
Non-Arbitrage up to Random Horizon for Semimartingale Models ∗ (2013) (22)
Hedging of a credit default swaption in the CIR default intensity model (2011) (22)
Density Approach in Modeling Successive Defaults (2015) (21)
Progressive enlargement of filtration with initial times (2007) (21)
CDS with Counterparty Risk in a Markov Chain Copula Model with Joint Defaults (2009) (20)
A rating-based model for credit derivatives (2002) (20)
Pricing and Hedging of Credit Risk : Replication and Mean-Variance Approaches (20)
Robust utility maximization in a discontinuous filtration (2012) (19)
Critique de l'ouvrage. « Financial Modelling with Jump Processes » de Rama Cont et Peter Tankov, Chapman and Hall/CRC (2007) (19)
Default Times, Non-Arbitrage Conditions and Change of Probability Measures (2008) (19)
No-arbitrage under a class of honest times (2014) (19)
PARTIAL INFORMATION AND HAZARD PROCESS (2005) (19)
Double Exponential Jump Di ff usion Process : A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure (2006) (18)
Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives (2010) (18)
Adaptive Robust Control under Model Uncertainty (2017) (17)
Portfolio optimization in a defaultable market under incomplete information (2010) (17)
Semimartingales and shrinkage of filtration (2018) (16)
Robust utility maximization problem in a discontinuous filtration (2012) (15)
INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA (2013) (14)
Enlargements of Filtrations (2010) (13)
Conditional Default Probability and Density (2014) (13)
PRICING AND TRADING CREDIT DEFAULT SWAPS (2005) (12)
Information, no-arbitrage and completeness for asset price models with a change point (2013) (12)
Conic martingales from stochastic integrals (2016) (12)
No-arbitrage under additional information for thin semimartingale models (2015) (12)
Double-exponential jump-diffusion processes: a structural model of an endogenous default barrier with a rollover debt structure (2012) (11)
CLASSIFICATION OF RANDOM TIMES AND APPLICATIONS (2016) (11)
INDIFFERENCE PRICING AND HEDGING OF DEFAULTABLE CLAIMS (2004) (11)
Dynamics of multivariate default system in random environment (2015) (10)
MODELLING AND HEDGING OF DEFAULT RISK (2003) (10)
Some existence results for advanced backward stochastic differential equations with a jump time (2017) (10)
Completeness of a General Semimartingale Market under Constrained Trading (2006) (10)
Valuation and Hedging of Credit Derivatives (2007) (9)
Robust utility maximization problem in model with jumps and unbounded claim (2012) (9)
Non-Arbitrage up to Random Horizon and after Honest Times for Semimartingale Models (2013) (9)
PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL (2010) (8)
Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices (2006) (7)
PREDICTABLE REPRESENTATION PROPERTY FOR PROGRESSIVE ENLARGEMENTS OF A POISSON FILTRATION (2015) (7)
Density approach in modelling multi-defaults (2013) (7)
MEAN-VARIANCE HEDGING OF DEFAULTABLE CLAIMS (2004) (7)
Thin times and random times’ decomposition (2016) (7)
PRICING AND TRADING CREDIT DEFAULT SWAPS UNDER DETERMINISTIC INTENSITY (2005) (6)
An enlargement of filtration formula with applications to multiple non-ordered default times (2018) (6)
MINIMAL F Q -MARTINGALE MEASURES FOR (2006) (6)
Partial Information , Default Hazard Process , and Default-Risky Bonds ∗ (2004) (6)
Optimization problem under change of regime of interest rate (2013) (6)
Martingale representation in the enlargement of the filtration generated by a point process (2019) (6)
Controlling the Occupation Time of an Exponential Martingale (2017) (6)
HEDGING OF CREDIT DEFAULT SWAPTIONS IN A HAZARD PROCESS MODEL (2008) (5)
A Note on BSDEs with singular driver coefficients (2013) (5)
Enlargement of Filtration in Discrete Time (2019) (5)
Completeness of a Reduced-Form Credit Risk Model with Discontinuous Asset Prices (2005) (5)
Options Prices in Incomplete Markets (2017) (4)
Counterparty Risk on a CDS in a Model with Joint Defaults and Stochastic Spreads (2010) (4)
Integral representations of martingales for progressive enlargements of filtrations (2015) (4)
Expected Credit Loss vs. Credit Value Adjustment: A Comparative Analysis (2015) (4)
Role Of Information In Pricing Default-Sensitive Contingent Claims (2015) (4)
PORTFOLIO OPTIMIZATION UNDER A PARTIALLY OBSERVED JUMP-DIFFUSION MODEL (2009) (4)
CONVERTIBLE BONDS IN A JUMP-DIFFUSION MODEL OF CREDIT RISK (2006) (4)
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices (2019) (3)
Hedging portfolio loss derivatives with CDSs (2010) (3)
Generalized Cox model for default times (2022) (3)
Pricing American currency options in a jump diffusion model (2003) (3)
REPLICATION OF DEFAULTABLE CLAIMS WITHIN THE REDUCED-FORM FRAMEWORK Paris-Princeton Lectures on Mathematical Finance 2004 (2004) (3)
ARBITRAGE PRICING OF DEFAULTABLE GAME OPTIONS AND APPLICATIONS (2006) (3)
Continuous-Path Random Processes: Mathematical Prerequisites (2009) (3)
DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION (2019) (3)
Modelling of Successive Default Events (2008) (3)
Projections in enlargements of filtrations under Jacod's hypothesis and examples (2019) (2)
The [phi]-Martingale (2015) (2)
PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS (2009) (2)
Minimal Variance Martingale Measures for Geometric Lévy Processes (2007) (2)
Chapter Six. Indifference Pricing Of Defaultable Claims (2008) (2)
Optimal Investment Problems with Uncertain Time Horizon (2010) (2)
Default Risk: An Enlargement of Filtration Approach (2009) (2)
Enlargement of filtrations (2017) (2)
SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions (2016) (2)
Lectures on Mathematical Finance (2018) (2)
On ltration immersions and credit events (2008) (2)
Arbitrage Pricing of Convertible Securities with Credit Risk (2006) (2)
Characteristics and Constructions of Default Times (2020) (2)
Partial Information and Default Hazard Process (2003) (2)
The Φ-Martingale (2015) (2)
Joint Hitting-Time Densities for Finite State Markov Processes (2014) (1)
A Special Family of Diffusions: Bessel Processes (2009) (1)
SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions (2016) (1)
Environment and Financial Markets (2004) (1)
Default-risky bond prices with jumps, liquidity risk and incomplete information (2007) (1)
Some No-Arbitrage Rules For Converging Asset Prices under Short-Sales Constraints (2017) (1)
Poisson Processes and Ruin Theory (2009) (1)
ENVIRONMENT AND FINANCE: WHY WE SHOULD MAKE THE ENVIRONMENT A PART OF THE FINANCIAL MARKETS (2002) (1)
An enlargement of filtration formula with application to progressive enlargement with multiple random times (2014) (1)
Asset price models with a change point (2014) (1)
Joint densities of hitting times for finite state Markov processes (2018) (1)
Characteristics and constructions of default times Characteristics and constructions of default times (2019) (1)
Enlargement of ltration in discrete time (2016) (0)
Economic growth, business cycles, and expected stock returns (2008) (0)
Properties of Trading Strategies : Case of General Semimartingale Markets (2004) (0)
General Processes: Mathematical Facts (2009) (0)
Projections of martingales in enlargements of Brownian filtrations under Jacod’s equivalence hypothesis (2021) (0)
Organizing Committee Giulia Di Nunno Ryan Donnelly Damir Filipovic Yaroslav Melnyk Sergio Pulido Administrative Assistance (2015) (0)
Recent advances in Finance and Stochastics (2014) (0)
In Memory of Marc Yor (2015) (0)
Hitting Times: A Mix of Mathematics and Finance (2009) (0)
No-arbitrage under a class of honest times (2017) (0)
Anticipated Default Stopping Time with Jump Diffusion Process (2014) (0)
Marc Yor - La passion du mouvement brownien (2015) (0)
A Note on BSDEs with singular coefficients (2013) (0)
Financial markets survey written for encyclopedia EOLSS (2000) (0)
CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS (2020) (0)
No-arbitrage up to random horizon for quasi-left-continuous models (2017) (0)
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices (2019) (0)
Basic Concepts and Examples in Finance (2009) (0)
FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS (2021) (0)
PR ] 5 A pr 2 01 8 THIN TIMES AND RANDOM TIMES ’ DECOMPOSITION (0)
Portfolio optimization in an incomplete market with stochastic interest rate (2012) (0)
Valuation of default-sensitive claims under imperfect information (Publisher’s Erratum) (2010) (0)
Mathematical Models of Credit Risk (2008) (0)
Arbitrages in progressive enlargement of filtrations (2014) (0)
Compensators of Random Times (2017) (0)
Perpetual American Put with Spectrally Negative Jump - Uniform & Binomial Jump Diffusion Processes (2014) (0)
! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! ! (2016) (0)
PRICING OF DEFAULT-SENSITIVE CONTINGENT CLAIMS FOR INFORMED INVESTORS (2016) (0)
Marc Yor: A beautiful mind has disappeared (2014) (0)
A Model of Credit Events Based on Filtering Theory ∗ (2009) (0)
Controlling the Occupation Time of an Exponential Martingale (2016) (0)
BSDEs and Enlargement of Filtration (2017) (0)
Credit default swaps in two-dimensional models with various information flows * (2020) (0)
A Structural Model with Default Correlation (2014) (0)
An enlargement of filtration formula with applications to multiple non-ordered default times (2017) (0)
PRICING OF DEFAULT-SENSITIVE CONTINGENT CLAIMS FOR REGULAR INVESTORS (2016) (0)
Complements on Brownian Motion (2009) (0)
An application of impulse control method to target zone problem (1993) (0)
Financial Markets Modeling (2020) (0)
Complements on Continuous Path Processes (2009) (0)
On arbitrages arising with honest times (2014) (0)
Default times, no-arbitrage conditions and changes of probability measures (2012) (0)
Portfolio optimization in a defaultable market under incomplete information (2011) (0)
2 Hazard Process Γ of a Random Time (0)
Arbitrage, Credit and Informational Risks (2014) (0)
Full cooperation applied to environmental improvements (2015) (0)
3 J un 2 01 3 BSDEs with singular terminal condition and control problems with constraints (2018) (0)

This paper list is powered by the following services:

Other Resources About Monique Jeanblanc

en.wikipedia.org

What Schools Are Affiliated With Monique Jeanblanc?

Monique Jeanblanc is affiliated with the following schools:

Monique Jeanblanc's Academic­Influence.com Rankings

Monique Jeanblanc's Degrees

Why Is Monique Jeanblanc Influential?

Monique Jeanblanc's Published Works

Published Works

Other Resources About Monique Jeanblanc

What Schools Are Affiliated With Monique Jeanblanc?

Monique Jeanblanc's AcademicInfluence.com Rankings