Christophette Blanchet-Scalliet

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Publications

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Some properties for ν-zeros of Parabolic Cylinder functions

Christophette Blanchet-Scalliet , Diana Dorobantu , Benoît Nieto

Le Matematiche, 2024, vol. LXXVIII (2023) – (Issue II,), p. 277-287. ⟨10.4418/2023.78.2.1⟩

Article dans une revue hal-03737404v2
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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
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Kernel-based sensitivity analysis for (excursion) sets

Noé Fellmann , Christophette Blanchet-Scalliet , Céline Helbert , Adrien Spagnol , Delphine Sinoquet

Technometrics, 2024, 66 (4), pp.575-587. ⟨10.1080/00401706.2024.2336537⟩

Article dans une revue hal-04094561v4
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Sensitivity analysis for sets : application to pollutant concentration maps

Noé Fellmann , Mathis Pasquier , Christophette Blanchet-Scalliet , C. Helbert , Adrien Spagnol et al.

Quality and Reliability Engineering International, 2024, 40 (8), pp.4209-4227. ⟨10.1002/qre.3638⟩

Article dans une revue hal-04312097v1
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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

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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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

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 & finance = Journal of banking and finance, 2007, 31 (5), pp.1351-1373. ⟨10.1016/j.jbankfin.2006.10.017⟩

Article dans une revue istex 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
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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. ⟨10.1142/9781786341952_0007⟩

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
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Processus à sauts et risque de défaut

Christophette Blanchet-Scalliet

Mathématiques [math]. Université d'Evry-Val d'Essonne, 2001. Français. ⟨NNT : ⟩

Thèse tel-00192209v1
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Activity report ciroquo research & industry consortium

Christophette Blanchet-Scalliet , Céline Helbert , Delphine Sinoquet , Miguel Munoz Munoz Zuniga , Rodolphe Le Riche et al.

Ecole Centrale de Lyon; Mines Saint-Etienne; Université Toulouse 3 (Paul Sabatier); Stellantis France; BRGM (Bureau de recherches géologiques et minières); CEA; IFP Energies Nouvelles; Institut de Radioprotection et de Sûreté Nucléaire; Storengy; INRIA; CNRS. 2024, pp.1-11

Rapport (rapport contrat/projet) hal-04661116v1