Liste publication

Stefan Ankirchner, Christophette Blanchet-Scalliet, Nabil Kazi-Tani, Chao Zhou. Gambling for resurrection and the heat equation on a triangle. Applied Mathematics and Optimization, Springer Verlag (Germany), In press, ⟨10.1007/s00245-020-09741-9⟩. ⟨hal-02405853⟩

Mélina Ribaud, Christophette Blanchet-Scalliet, Frédéric Gillot, Céline Helbert. Robust optimization: a kriging-based multi-objective optimization approach. Reliability Engineering and System Safety, Elsevier, 2020, 200, pp.30. ⟨10.1016/j.ress.2020.106913⟩. ⟨hal-02935599⟩

Christophette Blanchet-Scalliet, Diana Dorobantu, Laura Gay. Joint Law of an Ornstein-Uhlenbeck Process and its Supremum. Journal of Applied Probability, Cambridge University press, 2020, 57 (2), pp.541-558. ⟨10.1017/jpr.2020.22⟩. ⟨hal-01935756⟩

Stefan Ankirchner, Christophette Blanchet-Scalliet, Nabil Kazi-Tani. The De Vylder-Goovaerts conjecture holds true within the diffusion limit. Journal of Applied Probability, Cambridge University press, 2019, 56 (2), pp.546-557. ⟨10.1017/jpr.2019.33⟩. ⟨hal-01887402⟩

Stefan Ankirchner, Christophette Blanchet-Scalliet, Kai Kümmel. Last minute panic in zero sum games. ESAIM: Control, Optimisation and Calculus of Variations, EDP Sciences, 2019, 25, ⟨10.1051/cocv/2018015⟩. ⟨hal-01421056⟩

Christophette Blanchet-Scalliet, Diana Dorobantu, Yahia Salhi. A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives. Methodology and Computing in Applied Probability, Springer Verlag, 2019, 21 (423-448), ⟨10.1007/s11009-017-9611-2⟩. ⟨hal-01258645⟩

Christophette Blanchet-Scalliet, Céline Helbert, Mélina Ribaud, Céline Vial. Four algorithms to construct a sparse kriging kernel for dimensionality reduction. Computational Statistics, Springer Verlag, 2019, 34, pp.1889-1909. ⟨hal-01496521v3⟩

Christophette Blanchet-Scalliet, Diana Dorobantu, Laura Gay, Véronique Maume-Deschamps, Pierre Ribereau. Risk assessment using suprema data. Stochastic Environmental Research and Risk Assessment, Springer Verlag (Germany), 2018, 32 (10), pp.2839 - 2848. ⟨10.1007/s00477-018-1595-0⟩. ⟨hal-01615196v2⟩

Stefan Ankirchner, Christophette Blanchet-Scalliet, Monique Jeanblanc. Controlling the occupation time of an exponential martingale. Applied Mathematics and Optimization, Springer Verlag (Germany), 2017, 76 (2), pp.415-428. ⟨10.1007/s00245-016-9356-2⟩. ⟨hal-01227899v2⟩

Christophette Blanchet-Scalliet, Caroline Hillairet, Ying Jiao. Successive enlargement of filtrations and application to insider information *. Advances in Applied Probability, Applied Probability Trust, 2017, 49 (3), https://doi.org/10.1017/apr.2017.17. ⟨hal-01259711⟩

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, MDPI, 2013, 1, pp.176-191. ⟨10.3390/risks1030176⟩. ⟨hal-00937071⟩

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, 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⟩

Nicole El Karoui, C. Blanchet-Scalliet, M. Jeanblanc, L. Martinelli. Optimal investment decisions when time-horizon is uncertain. Journal of Mathematical Economics, Elsevier, 2008, 44 (11), pp.1100-1113. ⟨hal-00708493⟩

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 Statistique, Société Française de Statistique et Société Mathématique de France, 2000, 141, pp.87-103. ⟨hal-00765045⟩

Christophette Blanchet-Scalliet, Monique Jeanblanc, Ricardo Romo Roméro. Enlargement of filtration in discrete time. Pauline Barrieu. Risk And Stochastics: Ragnar Norberg, Worl Scientific, pp.99-126, 2019, 9781786341945. ⟨hal-01253214⟩

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⟩

Stefan Ankirchner, Christophette Blanchet-Scalliet, Diana Dorobantu, Laura Gay. First passage time density of an Ornstein-Uhlenbeck process with broken drift. 2021. ⟨hal-03159498⟩

Reda El Amri, Rodolphe Le Riche, Céline Helbert, Christophette Blanchet-Scalliet, Sébastien da Veiga. A sampling criterion for constrained Bayesian optimization with uncertainties. 2021. ⟨emse-03167452⟩

Mélina Ribaud, Christophette Blanchet-Scalliet, Céline Helbert, Frederic Gillot. Robust optimization: a kriging-based multi-objective optimization approach. 2020. ⟨hal-01829889v3⟩

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⟩

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

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