Christophette Blanchet-Scalliet
36
Documents
Publications
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Enlargement of filtration in discrete timePauline Barrieu. Risk And Stochastics: Ragnar Norberg, Worl Scientific, pp.99-126, 2019, 9781786341945
Book sections
hal-01253214v1
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Structural Counterparty Risk Valuation for Credit Default SwapsCredit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, WILEY, pp.437-456, 2011
Book sections
hal-00594194v1
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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⟩
Book sections
hal-00594200v1
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Some properties for ν-zeros of Parabolic Cylinder functions2022
Preprints, Working Papers, ...
hal-03737404v1
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Coupling and selecting constraints in Bayesian optimization under uncertainties2022
Preprints, Working Papers, ...
emse-03657028v1
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A pseudo-likelihood estimator of the Ornstein-Uhlenbeck parameters from suprema observations2022
Preprints, Working Papers, ...
hal-03847613v2
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Gaussian process regression on nested spaces2021
Preprints, Working Papers, ...
hal-03299132v2
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A sampling criterion for constrained Bayesian optimization with uncertainties2021
Preprints, Working Papers, ...
emse-03167452v1
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Robust optimization: a kriging-based multi-objective optimization approach2020
Preprints, Working Papers, ...
hal-01829889v3
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Hitting time for correlated three-dimensional Brownian motion2013
Preprints, Working Papers, ...
hal-00846450v2
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Counterparty risk valuation for CDS.2008
Preprints, Working Papers, ...
hal-00292620v1
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Processus à sauts et risque de défautMathématiques [math]. Université d'Evry-Val d'Essonne, 2001. Français. ⟨NNT : ⟩
Theses
tel-00192209v1
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Contribution à l'analyse des risques financiers: risque de crédit, asymétrie d'information, analyse chartisteProbabilités [math.PR]. Université Lyon 1, 2016
Habilitation à diriger des recherches
tel-03163237v1
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