Christophette Blanchet-Scalliet

Documents

Publications

	A pseudo-likelihood estimator of the Ornstein-Uhlenbeck parameters from suprema observations Christophette Blanchet-Scalliet , Diana Dorobantu , Benoît Nieto Statistical Inference for Stochastic Processes, 2024, ⟨10.1007/s11203-024-09307-4⟩ Article dans une revue hal-03847613v5
	A sampling criterion for constrained Bayesian optimization with uncertainties Reda El Amri , Rodolphe Le Riche , Céline Helbert , Christophette Blanchet-Scalliet , Sébastien da Veiga SMAI Journal of Computational Mathematics, 2023, 9, pp.285-309. ⟨10.5802/smai-jcm.102⟩ Article dans une revue emse-03167452v2
	Coupling and selecting constraints in Bayesian optimization under uncertainties Julien Pelamatti , Rodolphe Le Riche , Céline Helbert , Christophette Blanchet-Scalliet Optimization and Engineering, 2023, ⟨10.1007/s11081-023-09807-x⟩ Article dans une revue emse-03657028v1
	Gaussian process regression on nested spaces Christophette Blanchet-Scalliet , Bruno Demory , Thierry Gonon , Céline Helbert SIAM/ASA Journal on Uncertainty Quantification, 2023, 11 (2), pp.426-451. ⟨10.1137/21M1445053⟩ Article dans une revue hal-03299132v2
	First passage time density of an Ornstein-Uhlenbeck process with broken drift Stefan Ankirchner , Christophette Blanchet-Scalliet , Diana Dorobantu , Laura Gay Stochastic Models, 2022, 38 (2), pp.308-329. ⟨10.1080/15326349.2022.2026790⟩ Article dans une revue hal-03159498v1
	Gambling for resurrection and the heat equation on a triangle Stefan Ankirchner , Christophette Blanchet-Scalliet , Nabil Kazi-Tani , Chao Zhou Applied Mathematics and Optimization, 2021, 84, pp.3111-3136. ⟨10.1007/s00245-020-09741-9⟩ Article dans une revue hal-02405853v1
	Joint Law of an Ornstein-Uhlenbeck Process and its Supremum Christophette Blanchet-Scalliet , Diana Dorobantu , Laura Gay Journal of Applied Probability, 2020, 57 (2), pp.541-558. ⟨10.1017/jpr.2020.22⟩ Article dans une revue hal-01935756v1
	Robust optimization: a kriging-based multi-objective optimization approach Mélina Ribaud , Christophette Blanchet-Scalliet , Frédéric Gillot , Céline Helbert Reliability Engineering and System Safety, 2020, 200, pp.30. ⟨10.1016/j.ress.2020.106913⟩ Article dans une revue hal-02935599v1
	A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives Christophette Blanchet-Scalliet , Diana Dorobantu , Yahia Salhi Methodology and Computing in Applied Probability, 2019, 21 (423-448), ⟨10.1007/s11009-017-9611-2⟩ Article dans une revue hal-01258645v1
	The De Vylder-Goovaerts conjecture holds true within the diffusion limit Stefan Ankirchner , Christophette Blanchet-Scalliet , Nabil Kazi-Tani Journal of Applied Probability, 2019, 56 (2), pp.546-557. ⟨10.1017/jpr.2019.33⟩ Article dans une revue hal-01887402v1
	Last minute panic in zero sum games Stefan Ankirchner , Christophette Blanchet-Scalliet , Kai Kümmel ESAIM: Control, Optimisation and Calculus of Variations, 2019, 25, ⟨10.1051/cocv/2018015⟩ Article dans une revue hal-01421056v1
	Four algorithms to construct a sparse kriging kernel for dimensionality reduction Christophette Blanchet-Scalliet , Céline Helbert , Mélina Ribaud , Céline Vial Computational Statistics, 2019, 34, pp.1889-1909. ⟨10.1007/s00180-019-00874-2⟩ Article dans une revue hal-01496521v3
	Risk assessment using suprema data Christophette Blanchet-Scalliet , Diana Dorobantu , Laura Gay , Véronique Maume-Deschamps , Pierre Ribereau Stochastic Environmental Research and Risk Assessment, 2018, 32 (10), pp.2839 - 2848. ⟨10.1007/s00477-018-1595-0⟩ Article dans une revue hal-01615196v2
	Controlling the occupation time of an exponential martingale Stefan Ankirchner , Christophette Blanchet-Scalliet , Monique Jeanblanc Applied Mathematics and Optimization, 2017, 76 (2), pp.415-428. ⟨10.1007/s00245-016-9356-2⟩ Article dans une revue hal-01227899v2
	Successive enlargement of filtrations and application to insider information * Christophette Blanchet-Scalliet , Caroline Hillairet , Ying Jiao Advances in Applied Probability, 2017, 49 (3), https://doi.org/10.1017/apr.2017.17 Article dans une revue hal-01259711v1
	Optimal liquidation with additional information Stefan Ankirchner , Christophette Blanchet-Scalliet , Anne Eyraud-Loisel Mathematics and Financial Economics, 2016, 10 (1) Article dans une revue hal-00735298v3
	Max-Min optimization problem for Variable Annuities pricing Christophette Blanchet-Scalliet , Etienne Chevalier , Idriss Kharroubi , Thomas Lim International Journal of Theoretical and Applied Finance, 2015, ⟨10.1142/S0219024915500533⟩ Article dans une revue hal-01017160v1
	The density of the ruin time for a renewal-reward process perturbed by a diffusion Christophette Blanchet-Scalliet , Diana Dorobantu , Didier Rullière Applied Mathematics Letters, 2013, 26 (1), http://dx.doi.org/10.1016/j.aml.2012.04.003. ⟨10.1016/j.aml.2012.04.003⟩ Article dans une revue hal-00625099v3
	Impact of Climate Change on HeatWave Risk Romain Biard , Christophette Blanchet-Scalliet , Anne Eyraud-Loisel , Stéphane Loisel Risks, 2013, 1, pp.176-191. ⟨10.3390/risks1030176⟩ Article dans une revue hal-00937071v1
	Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon Christophette Blanchet-Scalliet , Anne Eyraud-Loisel , Manuela Royer-Carenzi Bulletin Français d'Actuariat, 2010, 20 (10), http://www.institutdesactuaires.com/bfa/ Article dans une revue hal-01107525v1
	Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon. Christophette Blanchet-Scalliet , Anne Eyraud-Loisel , Manuela Royer-Carenzi Le bulletin français d'actuariat, 2010, 20 (10), http://www.institutdesactuaires.com/bfa/ Article dans une revue hal-00341431v2
	CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP Stefan Ankirchner , Christophette Blanchet-Scalliet , Anne Eyraud-Loisel International Journal of Theoretical and Applied Finance, 2010, 13 (7), pp.1103-1129. ⟨10.1142/10.1142/S0219024910006133⟩ Article dans une revue hal-00402313v3
	Optimal investment decisions when time-horizon is uncertain Nicole El Karoui , C. Blanchet-Scalliet , M. Jeanblanc , L. Martinelli Journal of Mathematical Economics, 2008, 44 (11), pp.1100-1113 Article dans une revue hal-00708493v1
	Technical Analysis Compared to Mathematical Models Based Methods Under Parameters Mis-specification Christophette Blanchet-Scalliet , Awa Diop , Rajna Gibson Brandon , Denis Talay , Etienne Tanré Journal of Banking and Finance, 2007, 31 (5), pp.1351-1373. ⟨10.1016/j.jbankfin.2006.10.017⟩ Article dans une revue hal-00594295v1
	Dynamic asset pricing theory with uncertain time-horizon. Christophette Blanchet-Scalliet , Nicole El Karoui , Lionel Martellini Journal of Economic Dynamics and Control, 2005, 29 (10), pp.1737-1764 Article dans une revue hal-00594293v1
	Hazard rate for credit risk and hedging defaultable contingent claims Christophette Blanchet-Scalliet , Monique Jeanblanc Finance and Stochastics, 2004, 8 (1), pp.145-159 Article dans une revue hal-00594290v1
	Information et risque de défaut Christophette Blanchet-Scalliet , Monique Jeanblanc Journal de la Société Française de Statistique, 2000, 141, pp.87-103 Article dans une revue hal-00765045v1

	Enlargement of filtration in discrete time Christophette Blanchet-Scalliet , Monique Jeanblanc , Ricardo Romo Roméro Pauline Barrieu. Risk And Stochastics: Ragnar Norberg, Worl Scientific, pp.99-126, 2019, 9781786341945 Chapitre d'ouvrage hal-01253214v1
	Structural Counterparty Risk Valuation for Credit Default Swaps Christophette Blanchet-Scalliet , Frédéric Patras Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, WILEY, pp.437-456, 2011 Chapitre d'ouvrage hal-00594194v1
	Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs. Christophette Blanchet-Scalliet , Rajna Gibson Brandon , Benoîte de Saporta , Denis Talay , Etienne Tanré 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⟩ Chapitre d'ouvrage hal-00594200v1

	Sensitivity analysis for sets : application to pollutant concentration maps N Fellmann , Mathis Pasquier , C Helbert , Adrien Spagnol , Delphine Sinoquet 2023 Pré-publication, Document de travail hal-04312097v1
	Kernel-based sensitivity analysis for (excursion) sets Noé Fellmann , Christophette Blanchet-Scalliet , Céline Helbert , Adrien Spagnol , Delphine Sinoquet 2023 Pré-publication, Document de travail hal-04094561v4
	Some properties for ν-zeros of Parabolic Cylinder functions Christophette Blanchet-Scalliet , Diana Dorobantu , Benoît Nieto 2023 Pré-publication, Document de travail hal-03737404v1
	Robust optimization: a kriging-based multi-objective optimization approach Mélina Ribaud , Christophette Blanchet-Scalliet , Céline Helbert , Frederic Gillot 2020 Pré-publication, Document de travail hal-01829889v3
	Hitting time for correlated three-dimensional Brownian motion Christophette Blanchet-Scalliet , Areski Cousin , Diana Dorobantu 2013 Pré-publication, Document de travail hal-00846450v2
	Counterparty risk valuation for CDS. Christophette Blanchet-Scalliet , Frédéric Patras 2008 Pré-publication, Document de travail hal-00292620v1

	Processus à sauts et risque de défaut Christophette Blanchet-Scalliet Mathématiques [math]. Université d'Evry-Val d'Essonne, 2001. Français. ⟨NNT : ⟩ Thèse tel-00192209v1

	Contribution à l'analyse des risques financiers: risque de crédit, asymétrie d'information, analyse chartiste Christophette Blanchet-Scalliet Probabilités [math.PR]. Université Lyon 1, 2016 HDR tel-03163237v1

Christophette Blanchet-Scalliet

Publications

A pseudo-likelihood estimator of the Ornstein-Uhlenbeck parameters from suprema observations

A sampling criterion for constrained Bayesian optimization with uncertainties

Coupling and selecting constraints in Bayesian optimization under uncertainties

Gaussian process regression on nested spaces

First passage time density of an Ornstein-Uhlenbeck process with broken drift

Gambling for resurrection and the heat equation on a triangle

Joint Law of an Ornstein-Uhlenbeck Process and its Supremum

Robust optimization: a kriging-based multi-objective optimization approach

A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives

The De Vylder-Goovaerts conjecture holds true within the diffusion limit

Last minute panic in zero sum games

Four algorithms to construct a sparse kriging kernel for dimensionality reduction

Risk assessment using suprema data

Controlling the occupation time of an exponential martingale

Successive enlargement of filtrations and application to insider information *

Optimal liquidation with additional information

Max-Min optimization problem for Variable Annuities pricing

The density of the ruin time for a renewal-reward process perturbed by a diffusion

Impact of Climate Change on HeatWave Risk

Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon

Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon.

CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

Optimal investment decisions when time-horizon is uncertain

Technical Analysis Compared to Mathematical Models Based Methods Under Parameters Mis-specification

Dynamic asset pricing theory with uncertain time-horizon.

Hazard rate for credit risk and hedging defaultable contingent claims

Information et risque de défaut

Enlargement of filtration in discrete time

Structural Counterparty Risk Valuation for Credit Default Swaps

Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.

Sensitivity analysis for sets : application to pollutant concentration maps

Kernel-based sensitivity analysis for (excursion) sets

Some properties for ν-zeros of Parabolic Cylinder functions

Robust optimization: a kriging-based multi-objective optimization approach

Hitting time for correlated three-dimensional Brownian motion

Counterparty risk valuation for CDS.

Processus à sauts et risque de défaut

Contribution à l'analyse des risques financiers: risque de crédit, asymétrie d'information, analyse chartiste