Professeur des universités
Université d'Évry Val d'Essonne
Laboratoire de Mathématiques et Modélisation d'Évry (UMR 8071)
I.B.G.B.I., 23 Bd. de France, 91037 Évry Cedex
Bureau 323
☎ +33 (0)1 64 85 3479
monique.jeanblanc@univ-evry.fr

For information before 2007 see

https://math.maths.univ-evry.fr/jeanblanc/

En construction

- T.R. Bielecki, M. Jeanblanc et M. Rutkowski (2007) : Hedging of Basket Credit Derivatives in CDS Market. Journal of Credit Risk 3, 91-132.

- T.R. Bielecki, S. Crépey, M. Jeanblanc, M. Rutkowski (2009) : Defaultable Game Options in a Hazard Process Model Journal of Applied Mathematics and Stochastic Analysis, Article ID 695798

- T.R. Bielecki, S. Crépey, M. Jeanblanc, M. Rutkowski (2008) : Defaultable Game Options in a Markovian Intensity Model. Mathematical Finance 18, 493–518.

- M. Jeanblanc, S. Kloeppel et Y. Miyahara (2007) : Variance optimal martingale measures for geometric Lévy processes, Annals of Applied Prob. Volume 17, Number 5/6, 1615-1638.

-D. Coculescu, H. Geman et M. Jeanblanc (2008) : Valuation of default sensitive claims under imperfect information. Finance and Stochastics. 12, 195-218

- T.R. Bielecki, M. Jeanblanc et M. Rutkowski (2008) : Pricing and Trading Credit Default Swaps Annals Applied Prob., 18, 2495–2529 T.R. Bielecki, M. Jeanblanc, M. Rutkowski (2006) : Completeness of a Reduced-Form Credit Risk Model with Discontinuous Asset Prices. Stochastic Models, 22, 661-687.

- Y. Le Cam et M. Jeanblanc (2009) : Progressive enlargement of filtration with initial times SPA Volume 119, Issue 8, August 2009, Pages 2523-2543

- T.R. Bielecki, S. Crépey, M. Jeanblanc, M. Rutkowski (2008): Convertible bonds in a defaultable diffusion model Stochastic Analysis with Financial Applications: Hong Kong 2009 (Progress in Probability) Arturo Kohatsu-Higa, Nicolas Privault, Shuenn-Jyi Sheu (Editors)

- Y. LeCam , M. Jeanblanc : Immersion property and credit risk modelling Optimality and Risk - Modern Trends in Mathematical Finance: The Kabanov Festschrift de Freddy Delbaen, Miklos Rasonyi, et Christophe Stricker (2009), p. 99-131

- S. Crépey, M. Jeanblanc, B. Zargari (2009): CDS with Counterparty Risk in a Markov Chain Copula Model with Joint Defaults Recent Advances in Financial Engineering 2009, Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009, World Scientific Publishing Co. Pte. ).

- T.R. Bielecki, S. Crépey, M. Jeanblanc, M. Rutkowski (2008) Up and Down credit risk Quantitative Finance, 10: 10, 1137-1151,

- T.R. Bielecki, M. Jeanblanc, M. Rutkowski (2008) Hedging of credit default swaptions in the CIR default intensity model Finance and Stochastics 15, Issue 3 (2011), Page 541-572

- T. Bielecki, S. Crépey, M. Jeanblanc, M. Rutkowski (2009) Valuation and Hedging of Defaultable Game Options in a Hazard Process Model. Journal of Applied Mathematics and Stochastic Analysis, Volume 2009 (2009), Article ID 695798,

- N. ElKaroui, M. Jeanblanc, Y. Jiao (2010) What happens after a default : a conditional density approach SPA, 120 1011-1032.

- P. Gapeev et M. Jeanblanc (2009) Pricing of contingent claims in a two-dimensional model with random dividends International Journal of Theoretical and Applied Finance, 12, 1091-1104

- P. Gapeev, M. Jeanblanc, L. Li and M. Rutkowski (2010) Constructing random times with given survival processes and applications to valuation of credit derivatives. Contemporary Quantitative Finance, C. Chiarella and A. Novikov, eds., Springer-Verlag, Berlin Heidelberg New York, 2010

- P. Gapeev, M. Jeanblanc (2010) Pricing and filtering in a two-dimensional dividend switching model International Journal of Theoretical and Applied Finance, 13, 1001-1018

- D. Coculescu, M. Jeanblanc, A. Nikeghbali (2012) Default times, non arbitrage conditions and change of probability measures Finance and Stochastics 16, 513-535

- N. El Karoui, M. Jeanblanc, Y. Jiao , B. Zargari (2010). Conditional Default Probability and Density Inspired by Finance T. Zariphopoulou, M. Rutkowski and Y. Kabanov, eds. 2014, pp 201-219

- Jeanblanc, M. and Song, S. (2011). Default times with given survival probability and their F-martingale decomposition formula. SPA 121, 1389–1410

- G. Callegaro, M. Jeanblanc, W. Runggaldier (2011) Portfolio optimization in defaultable markets under incomplete information Decisions in Economics and Finance, vol. 35 issue 2 November 2012. p. 91 - 111

- Jeanblanc, M. and Song, S. (2011). Explicit Model of Default Time with given Survival Probability SPA 121, 1678–1704

- G. Callegaro, M. Jeanblanc, B. Zargari (2011). Carthagian enlargement of filtrations ESAIM: Probability and Statistics / Volume 17 / 2013, pp 550 - 566

- A. Cousin, M. Jeanblanc (2011) Hedging loss processes with CDSs, Anniversaire Elliott, Springer

- S. Crépey, M. Jeanblanc, B. Zargari (2011) Valuation and hedging of CDS counterparty exposure in a Markov Copula Model . International Journal of Theoretical and Applied Finance Vol 15 No 1 February 2012.

- M. Jeanblanc, M. Mania, M. Santacroce et M. Schweizer (2010). Mean-Variance Hedging of quasi-continuous processes and related BSDEs, The Annals of Applied Probability. Volume 22, Number 6 (2012), 2388-2428.

- Bin Dao Tranh, M. Jeanblanc (2012) Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure, Journal of Credit Risk, 8, 2012, 21-46

- C. Fontana, M. Jeanblanc, S. Song (2014) On arbitrages arising from honest times, Finance and stochastics, 18, 515-543

- S. Crépey, M. Jeanblanc, D. Wu (2013) Informationally Dynamized Gaussian Copula, IJTAF Vol. 16, No. 2 (2013)

- S. Ankirchner, T. Kruse, M. Jeanblanc (2014) BSDEs with singular terminal condition and optimal position closure with stochastic price impact, SIAM Journal on Control and Optimization

- M. Jeanblanc M. Leniec (2014) Role of information in pricing default-sensitive contingent claims, IJTAF

- N. El Karoui, M. Jeanblanc, Y. Jiao (2014). Successive default Siam Journal on Financial Mathematics

- A. Aksamit, T. Choulli, M. Jeanblanc (2014) On an optional semimartingale decomposition and the existence of the deflator in an enlarged filtration In Memoriam Marc Yor, Séminaire de Probabilités XLVII, 2137:187–218, 2015

- C. Blanchet-Scalliet, M. Jeanblanc, and R. Romo Romero. Enlargement of filtration in discrete time. Festschift for R. Nordberg, World Scientific, 2015. Enlargement

- Monique Jeanblanc, Thibaut Mastrolia, Dylan Possamai and Anthony Réveillac (2015) Utility maximization with random horizon: a BSDE approach , IJTAF, 18, 2015.

- M. Jeanblanc et S. Song (2015) Martingale representation theorem in progressively enlarged filtrations Stochastic Processes and their Applic., 125:4242–4271, 2015.

- B. Iftimie, M. Jeanblanc, T. Lim (2015) Optimization problem when incompleteness is due to a stochastic interest rate Stochastics and Dynamics, forthcoming,

- S. Ankirchner, Ch. Blanchet, M. Jeanblanc, (2017) Controlling the occupation time of an exponential martingale, AMO 76,2,415–428

- M. Jeanblanc et F. Vrins (2017) Conic Martingales from Stochastic Integrals Mathematical finance, DOI: 10.1111/mafi.12147 2017

- A. Aksamit, T. Choulli, J. Deng, M. Jeanblanc (2017) Non-Arbitrage under Random Horizon for Quasi-Left-Continuous Models, Finance and Stochastics, 21, 1103-1139.

- A. Aksamit, T. Choulli, J. Deng, M. Jeanblanc (2017) Non-Arbitrage under a Class of Honest Times, Finance and Stochastics, 22: 127-159.

- T. Bielecki, M. Jeanblanc, D. Sezer (2015) Joint Hitting-Time Densities for Finite State Markov Processes TÜRK MATEMATİK DERGİSİ, MAT-1608-29

- N. El Karoui, M. Jeanblanc, Y. Jiao (2017) Dynamics of multivariate default system in random environment Stochastsic Processes and Applications, 127, 12,3943–3965

- M Jeanblanc, L Li, S. Song (2017), An enlargement of filtration formula with applications to multiple non-ordered default times, Finance and Stochastics, 22, 205-240Enlargement

- A. Aksamit, T. Choulli, J. Deng, M. Jeanblanc (2018) Non-Arbitrage under a Class of Honest Times, Finance and Stochastics, 22: 127-159

- M. Jeanblanc, F. Vrins (2018) Conic martingales from stochastic integrals, Mathematical Finance,28, 2, 516—535

- A. Aksamit, T. Choulli, J. Deng, M. Jeanblanc (2019) Non-Arbitrage Under Additional Information for Thin Semimartingale Models Stochastic Processes and their Applications, 129, 9, 3080-3115

- A. Aksamit, M. Jeanblanc, M. Rutkowski (2019) Integral Representations of Martingales Stochastic Processes and their Applications , 129, 4, 1229—1258.

- D. Coculescu, M. Jeanblanc (2019) Some No-Arbitrage Rules for Converging Asset Prices under Short-Sales Constraints Finance and Stochastics, 23, 2, 397-421

- T. Bielecki, I. Cialenco, T. Chen, A. Cousin, M. Jeanblanc (2019) Adaptive Robust Control Under Model Uncertainty Siam Journal of control and optimization, 57, 2, 925-946

- P. V. Gapeev, M. Jeanblanc (2019) Defaultable claims in switching models with partial information International Journal of Theoretical and Applied Finance,22,04, 1950006,

- M. Jeanblanc, L. Li (2020) Characteristics and Constructions of Default Times SIAM Journal on Financial Mathematics, 11,3,720-749

- P. V. Gapeev, M. Jeanblanc (2020) Credit Default Swaps In Two-Dimensional Models With Various Informations Flows, International Journal of Theoretical and Applied Finance, 23, 02,2050010

- D. Brigo, M. Jeanblanc, F. Vrins (2020): SDEs with uniform distributions: Peacocks, Conic martingales and mean reverting uniform diffusions Stochastic Processes and their Applications,13,7,3895–3919,

- T. R. Bielecki, J. Jakubowski, M. Jeanblanc, M. Nieweglowski (2020): Semimartingales and Shrinkage of Filtration forthcoming Annals Applied Probability

- A. Aksamit, T. Choulli, M. Jeanblanc (2021) Decomposition thin-thick Forthcoming Electronic Journal Probability

- P. Di Tella, M. Jeanblanc (2021) Martingale Representation for the Progressive Enlargement of the Filtration Generated by a Point Process Stochastic Processes and their Applications,131,103—121

 ===== Cours ===
 

- Summer school Beijing 2017 Polycopié