Nombre de documents

27

CV de Christophette Blanchet-Scalliet


Article dans une revue12 documents

  • Stefan Ankirchner, Christophette Blanchet-Scalliet, Monique Jeanblanc. Controlling the occupation time of an exponential martingale. Applied Mathematics and Optimization, 2017, <http://link.springer.com/journal/volumesAndIssues/245>. <10.1007/s00245-016-9356-2>. <hal-01227899v2>
  • Stefan Ankirchner, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel. Optimal liquidation with additional information. Mathematics and Financial Economics, Springer Verlag, 2016, 10 (1). <hal-00735298v3>
  • Christophette Blanchet-Scalliet, Etienne Chevalier, Idriss Kharroubi, Thomas Lim. Max-Min optimization problem for Variable Annuities pricing. International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2015, <10.1142/S0219024915500533>. <hal-01017160>
  • Christophette Blanchet-Scalliet, Diana Dorobantu, Didier Rullière. The density of the ruin time for a renewal-reward process perturbed by a diffusion. Applied Mathematics Letters, Elsevier, 2013, 26 (1), http://dx.doi.org/10.1016/j.aml.2012.04.003. <10.1016/j.aml.2012.04.003>. <hal-00625099v3>
  • Romain Biard, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel, Stéphane Loisel. Impact of Climate Change on HeatWave Risk. Risks, 2013, 1, pp.176-191. <10.3390/risks1030176>. <hal-00937071>
  • Christophette Blanchet-Scalliet, Anne Eyraud-Loisel, Manuela Royer-Carenzi. Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon. Bulletin Français d'Actuariat, Institut des Actuaires, 2010, 20 (10), http://www.institutdesactuaires.com/bfa/. <hal-01107525>
  • Christophette Blanchet-Scalliet, Anne Eyraud-Loisel, Manuela Royer-Carenzi. Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon.. Le bulletin français d'actuariat, 2010, 20 (10), http://www.institutdesactuaires.com/bfa/. <hal-00341431v2>
  • Stefan Ankirchner, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel. CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP. International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2010, 13 (7), pp.1103-1129. <10.1142/10.1142/S0219024910006133>. <hal-00402313v3>
  • Christophette Blanchet-Scalliet, Awa Diop, Rajna Gibson Brandon, Denis Talay, Etienne Tanré. Technical Analysis Compared to Mathematical Models Based Methods Under Parameters Mis-specification. Journal of Banking and Finance, Elsevier, 2007, 31 (5), pp.1351-1373. <10.1016/j.jbankfin.2006.10.017>. <hal-00594295>
  • Christophette Blanchet-Scalliet, Nicole El Karoui, Lionel Martellini. Dynamic asset pricing theory with uncertain time-horizon.. Journal of Economic Dynamics and Control, Elsevier, 2005, 29 (10), pp.1737-1764. <hal-00594293>
  • Christophette Blanchet-Scalliet, Monique Jeanblanc. Hazard rate for credit risk and hedging defaultable contingent claims. Finance and Stochastics, Springer Verlag (Germany), 2004, 8 (1), pp.145-159. <hal-00594290>
  • Christophette Blanchet-Scalliet, Monique Jeanblanc. Information et risque de défaut. Journal de la Société Française de Statistiques, SFdS, 2000, 141, pp.87-103. <hal-00765045>

Pré-publication, Document de travail6 documents

  • Christophette Blanchet-Scalliet, Caroline Hillairet, Ying Jiao. Successive enlargement of filtrations and application to insider information *. 2016. <hal-01259711>
  • Christophette Blanchet-Scalliet, Diana Dorobantu, Yahia Salhi. A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives . 2016. <hal-01258645>
  • Christophette Blanchet-Scalliet, Monique Jeanblanc, Ricardo Romo Romero. Enlargement of filtration in discrete time. 2016. <hal-01253214>
  • Stefan Ankirchner, Christophette Blanchet-Scalliet, Kai Kümmel. Last minute panic in zero sum games. 2016. <hal-01421056>
  • Christophette Blanchet-Scalliet, Areski Cousin, Diana Dorobantu. Hitting time for correlated three-dimensional Brownian motion. 2013. <hal-00846450v2>
  • Christophette Blanchet-Scalliet, Frédéric Patras. Counterparty risk valuation for CDS.. 2008. <hal-00292620>

Chapitre d'ouvrage2 documents

  • Christophette Blanchet-Scalliet, Frédéric Patras. Structural Counterparty Risk Valuation for Credit Default Swaps. Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, WILEY, pp.437-456, 2011. <hal-00594194>
  • Christophette Blanchet-Scalliet, Rajna Gibson Brandon, Benoîte De Saporta, Denis Talay, Etienne Tanré. Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.. Albrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter. Advanced Financial Modelling, Walter de Gruyter, pp.53-90, 2009, Radon series on computational and applied mathematics 8, <10.1515/9783110213140.53>. <hal-00594200>

Communication dans un congrès6 documents

  • Christophette Blanchet-Scalliet, Diana Dorobantu, Didier Rullière. The density of a passage time for a renewal-reward process perturbed by a diffusion. the 8th world congress in Probability and Statistics, Jul 2012, Istanbul, Turkey. <hal-00727690>
  • Christophette Blanchet-Scalliet, Diana Dorobantu, Didier Rullière. The density of the ruin time for a mixed process (Brownian motion and renewal-reward process). Les journées de Probabilités 2011, Jun 2011, Nancy, France. <hal-00603651>
  • Christophette Blanchet-Scalliet. Credit Risk premia and quadratic BSDEs with a single Jump. 6th World Congress of the Bachelier Finance Society, Jun 2010, Canada. <hal-00594284>
  • Christophette Blanchet-Scalliet. Quadratic BSDEs with single jump and applications. Workshop "Enlargement of Filtrations and Applications to Finance and Insurance", May 2010, Germany. <hal-00594285>
  • Benoîte De Saporta, Christophette Blanchet-Scalliet, Etienne Tanré, Denis Talay. Optimal portfolio allocation under transaction costs. 31st conference on Stochastic Processes and Their Applications, Jul 2006, Paris, France. <hal-00274882>
  • Benoîte De Saporta, Christophette Blanchet-Scalliet, Etienne Tanré, Denis Talay. Technical analysis compared to mathematical models under misspecification. AMAMEF conference Numerical Methods in Finance, Feb 2006, rocquencourt, France. <hal-00274883>

Thèse1 document

  • Christophette Blanchet-Scalliet. Processus à sauts et risque de défaut. Mathématiques [math]. Université d'Evry-Val d'Essonne, 2001. Français. <tel-00192209>