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Economics and Finance

D-Index
38
Citations
6381
World Ranking
2545
National Ranking
63

Overview

Monique Jeanblanc is affiliated with the University of Évry Val d'Essonne in France. Their research primarily focuses on the intersection of economics, econometrics, finance, and mathematics. They have contributed extensively to the study of stochastic processes and financial applications, credit risk, financial regulations, and banking stability, among other topics.

The main fields of study covered in their work include:

  • Economics, Econometrics and Finance
  • Mathematics

Their subfields of study are mainly:

  • Finance
  • Applied Mathematics
  • Economics and Econometrics
  • Mathematical Physics
  • Management Science and Operations Research

Jeanblanc's research touches upon various main topics, including:

  • Stochastic processes and financial applications
  • Credit Risk and Financial Regulations
  • Banking stability, regulation, efficiency
  • Advanced Harmonic Analysis Research
  • Financial Risk and Volatility Modeling
  • Stochastic processes and statistical mechanics
  • Point processes and geometric inequalities

Recent publications from Jeanblanc cover multiple aspects of probability theory and financial mathematics. Selected papers include:

  • Characteristics and Constructions of Default Times, 2020, SIAM Journal on Financial Mathematics
  • Semimartingales and shrinkage of filtration, 2021, The Annals of Applied Probability
  • Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis, 2021, Electronic Journal of Probability
  • Generalized Cox model for default times, 2022, Frontiers of Mathematical Finance
  • On the Construction of Conditional Probability Densities in the Brownian and Compound Poisson Filtrations, 2023, ESAIM Probability and Statistics

Jeanblanc has frequently collaborated with several co-authors throughout their career. These include:

  • Pavel V. Gapeev
  • Tomasz R. Bielecki
  • Jacek Jakubowski
  • Mariusz Niewęgłowski
  • Libo Li

Their publications have appeared in a number of academic journals, with recurrent appearances in:

  • Electronic Journal of Probability
  • International Journal of Theoretical and Applied Finance
  • The Annals of Applied Probability
  • SIAM Journal on Financial Mathematics
  • ESAIM Probability and Statistics

Best Publications

  • Mathematical Methods for Financial Markets

    Monique Jeanblanc;Marc Yor;Marc Chesney

  • ON MODELS OF DEFAULT RISK

    R. J. Elliott;M. Jeanblanc;M. Yor

  • Financial Markets in Continuous Time

    Rose-Anne Dana;Monique Jeanblanc

  • On the Starting and Stopping Problem: Application in Reversible Investments

    Said Hamadène;Monique Jeanblanc

  • Hazard rate for credit risk and hedging defaultable contingent claims

    Christophette Blanchet-Scalliet;Monique Jeanblanc

  • Optimal portfolio management with American capital guarantee

    Nicole El Karoui;Monique Jeanblanc;Vincent Lacoste

  • What happens after a default: The conditional density approach

    Nicole El Karoui;Monique Jeanblanc;Ying Jiao

  • Hedging of Defaultable Claims

    Tomasz R. Bielecki;Monique Jeanblanc;Marek Rutkowski

  • Optimal investment decisions when time-horizon is uncertain

    Christophette Blanchet-Scalliet;Nicole El Karoui;Monique Jeanblanc;Lionel Martellini

  • Modelling of Default Risk: An Overview

    Monique Jeanblanc;Marek Rutkowski

  • Incompleteness of markets driven by a mixed diffusion

    Nadine Bellamy;Monique Jeanblanc

  • Enlargement of Filtration with Finance in View

    Anna Aksamit;Monique Jeanblanc

  • Progressive enlargement of filtrations with initial times

    Monique Jeanblanc;Yann Le Cam

  • Self-similar processes with independent increments associated with Lévy and Bessel processes

    M. Jeanblanc;J. Pitman;M. Yor

  • Paris-Princeton Lectures on Mathematical Finance 2002

    Areski Cousin;Stéphane Crépey;Olivier Guéant;David Hobson

  • Default Risk and Hazard Process

    Monique Jeanblanc;Marek Rutkowski

  • Pricing and trading credit default swaps in a hazard process model

    Tomasz R. Bielecki;Monique Jeanblanc;Marek Rutkowski;Marek Rutkowski

  • Valuation of default-sensitive claims under imperfect information

    Delia Coculescu;Hélyette Geman;Hélyette Geman;Monique Jeanblanc

  • Financial Markets in Continuous Time

    Monique Jeanblanc;Rose-Anne Dana

  • MINIMAL f q -MARTINGALE MEASURES FOR EXPONENTIAL LÉVY PROCESSES

    Monique Jeanblanc;Susanne Klöppel;Yoshio Miyahara

  • Credit risk modeling

    Tomasz R. Bielecki;Monique Jeanblanc;Marek Rutkowski

Frequent Co-Authors

Tomasz R. Bielecki
Tomasz R. Bielecki Illinois Institute of Technology
Robert J. Elliott
Robert J. Elliott University of Calgary
Damiano Brigo
Damiano Brigo Imperial College London
Hélyette Geman
Hélyette Geman Birkbeck, University of London

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