Monique Jeanblanc

Finance · 2000–2017

A researcher in the Science corpus: 19 papers; trusts 17 researchers and is trusted by 23 researchers here, as inferred from the citation graph.

Subfields

• Finance — 64 citations into it; #1,895 of 10,518 by trust here, #1,645 by citations
• Economics and Econometrics — 19 citations into it; #4,123 of 23,481 by trust here, #4,390 by citations
• Management Science and Operations Research — 16 citations into it
• Demography — 5 citations into it

Whom Monique Jeanblanc trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Tomasz R. Bielecki
2. Robert J. R. Elliott
3. Marek Rutkowski
4. Marc Yor
5. Ying Jiao
6. Ole E. Barndorff-Nielsen
7. Ashkan Nikeghbali
8. Xun Yu Zhou
9. Martin Schweizer
10. Marek Musiela

Who trusts Monique Jeanblanc overall

1. St'ephane Cr'epey
2. Tomasz R. Bielecki
3. Huyen Pham
4. Hongzhong Zhang
5. Jan Baldeaux
6. Marek Rutkowski
7. Ashkan Nikeghbali
8. Lukasz Delong
9. Fan Yu
10. Darrell Duffie

Papers from Monique Jeanblanc's perspective

Ordered by how strongly the researchers Monique Jeanblanc trusts endorse each paper. Same corpus, a different order for every researcher.

1. Pricing Via Utility Maximization and Entropy
2. The Pricing of Options and Corporate Liabilities
3. Credit Risk: Modeling, Valuation And Hedging
4. On Models of Default Risk
5. Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
6. The Mathematics of Arbitrage
7. Basket Default Swaps, Cdos and Factor Copulas
8. Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (SIAM Journal of Control and Optimization)
9. Modeling and Valuation of Credit Risk
10. On the Existence of Minimax Martingale Measures

Their papers

• Modeling and Valuation of Credit Risk (2004) — 52 citations
• Hedging of Defaultable Claims (2004) — 114 citations
• Financial Markets in Continuous Time (2003) — 116 citations
• Mathematical Methods for Financial Markets (2009) — 856 citations
• Progressive Enlargement of Filtrations with Initial Times (2009) — 98 citations
• On Models of Default Risk (2000) — 291 citations
• Optimal investment decisions when time-horizon is uncertain (2008) — 120 citations
• Enlargement of Filtration with Finance in View (2017) — 144 citations
• Martingale representation property in progressively enlarged filtrations (2012) — 57 citations
• Carthaginian enlargement of filtrations (2011) — 49 citations
• Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults (2010) — 68 citations
• Up and down credit risk (2010) — 53 citations
• What happens after a default: The conditional density approach (2009) — 130 citations
• Pricing and trading credit default swaps in a hazard process model (2008) — 68 citations
• Arbitrage pricing of defaultable game options with applications to convertible bonds (2008) — 57 citations
• MINIMAL f q -MARTINGALE MEASURES FOR EXPONENTIAL LÉVY PROCESSES (2007) — 68 citations
• Optimal portfolio management with American capital guarantee (2005) — 139 citations
• Self-similar processes with independent increments associated with Lévy and Bessel processes (2002) — 71 citations
• Modelling of Default Risk: An Overview (2000) — 94 citations