Access content directly

Christophette Blanchet-Scalliet

36
Documents

Publications

Image document

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⟩
Journal articles hal-03159498v1
Image document

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⟩
Journal articles hal-02405853v1
Image document

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⟩
Journal articles hal-01935756v1
Image document

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⟩
Journal articles hal-02935599v1
Image document

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⟩
Journal articles hal-01258645v1
Image document

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⟩
Journal articles hal-01421056v1
Image document

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⟩
Journal articles hal-01496521v3
Image document

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⟩
Journal articles hal-01887402v1
Image document

Risk assessment using suprema data

Christophette Blanchet-Scalliet , Diana Dorobantu , Laura Gay , Véronique Maume-Deschamps , Pierre Ribereau et al.
Stochastic Environmental Research and Risk Assessment, 2018, 32 (10), pp.2839 - 2848. ⟨10.1007/s00477-018-1595-0⟩
Journal articles hal-01615196v2
Image document

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
Journal articles hal-01259711v1
Image document

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⟩
Journal articles hal-01227899v2
Image document

Optimal liquidation with additional information

Stefan Ankirchner , Christophette Blanchet-Scalliet , Anne Eyraud-Loisel
Mathematics and Financial Economics, 2016, 10 (1)
Journal articles hal-00735298v3
Image document

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⟩
Journal articles hal-01017160v1
Image document

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⟩
Journal articles hal-00937071v1
Image document

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⟩
Journal articles hal-00625099v3
Image document

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⟩
Journal articles hal-00402313v3
Image document

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/
Journal articles hal-00341431v2
Image document

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/
Journal articles hal-01107525v1

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
Journal articles 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 et al.
Journal of Banking and Finance, 2007, 31 (5), pp.1351-1373. ⟨10.1016/j.jbankfin.2006.10.017⟩
Journal articles 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
Journal articles 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
Journal articles hal-00594290v1

Information et risque de défaut

Christophette Blanchet-Scalliet , Monique Jeanblanc
Journal de la Société Française de Statistique, 2000, 141, pp.87-103
Journal articles hal-00765045v1
Image document

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
Book sections 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
Book sections 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 et al.
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⟩
Book sections hal-00594200v1
Image document

Some properties for ν-zeros of Parabolic Cylinder functions

Christophette Blanchet-Scalliet , Diana Dorobantu , Benoît Nieto
2022
Preprints, Working Papers, ... hal-03737404v1

Coupling and selecting constraints in Bayesian optimization under uncertainties

Julien Pelamatti , Rodolphe Le Riche , Céline Helbert , Christophette Blanchet-Scalliet
2022
Preprints, Working Papers, ... emse-03657028v1
Image document

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

Christophette Blanchet-Scalliet , Diana Dorobantu , Benoît Nieto
2022
Preprints, Working Papers, ... hal-03847613v2
Image document

Gaussian process regression on nested spaces

Thierry Gonon , Céline Helbert , Christophette Blanchet-Scalliet , Bruno Demory
2021
Preprints, Working Papers, ... hal-03299132v2
Image document

A sampling criterion for constrained Bayesian optimization with uncertainties

Reda El Amri , Rodolphe Le Riche , Céline Helbert , Christophette Blanchet-Scalliet , Sébastien da Veiga et al.
2021
Preprints, Working Papers, ... emse-03167452v1
Image document

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

Mélina Ribaud , Christophette Blanchet-Scalliet , Céline Helbert , Frederic Gillot
2020
Preprints, Working Papers, ... hal-01829889v3
Image document

Hitting time for correlated three-dimensional Brownian motion

Christophette Blanchet-Scalliet , Areski Cousin , Diana Dorobantu
2013
Preprints, Working Papers, ... hal-00846450v2
Image document

Counterparty risk valuation for CDS.

Christophette Blanchet-Scalliet , Frédéric Patras
2008
Preprints, Working Papers, ... hal-00292620v1
Image document

Processus à sauts et risque de défaut

Christophette Blanchet-Scalliet
Mathématiques [math]. Université d'Evry-Val d'Essonne, 2001. Français. ⟨NNT : ⟩
Theses tel-00192209v1