Welcome on Stéphane Crépey’s web page
|
FORTHCOMING May (March
IJTAJ Issue)
Special counterparty risk issue (WORKSHOP) I am professor at the Mathematics Department of Evry University, where I am in charge of the MSC Financial Engineering. My research
interests are financial modeling, counterparty and credit risk, numerical
finance, and related mathematical topics in the fields of backward
stochastic differential equations and partial differential equations o Email stephane.crepey@univ-evry.fr o Address Université
d'Evry, Laboratoire Analyse & Probabilités, Bâtiment IBGBI, 23 Boulevard
de France, 91037 Evry cedex (RER D Evry Courouronnes). Office 324 (3ème
étage). Tel +33 (0) 1 6485 3480 (secr.
3488) |
Get some of my works
·
Financial Modeling
- Multiple Curves
- S. Crépey,
Z. Grbac, N. Ngor and
D. Skovmand. A multiple-curve CVA interest rate model (to appear
on this page soon).
- S. Crépey and R. Douady. The Whys of
the of the LOIS: Credit
Skew and Funding Rates Volatility. Risk Magazine (forthcoming).
- S. Crépey, Z. Grbac
and H. N. Nguyen. A multiple-curve HJM model of
interbank risk. Mathematics and Financial Economics 6(3) 155-190, 2012.
- Funding
- S. Crépey,
R. Gerboud, Z. Grbac and N. Ngor. Counterparty Risk and Funding: The Four
Wings of the TVA. International Journal of Theoretical
and Applied Finance (forthcoming).
- S. Crépey. Bilateral Counterparty Risk under Funding
Constraints – Part I: Pricing. Mathematical Finance online first January
2013.
- S.
Crépey. Bilateral Counterparty Risk under Funding
Constraints – Part II: CVA. Mathematical Finance online first January
2013.
- Counterparty Credit Risk
- S. Crépey,
M. Jeanblanc and D. L. Wu. Informationally
Dynamized Gaussian Copula. International Journal of Theoretical
and Applied Finance (forthcoming).
- T. Bielecki, S.
Crépey. Dynamic Hedging
of Counterparty Exposure. Forthcoming in The Musiela Festschrift, T.
Zariphopoulou, M. Rutkowski and Y. Kabanov, eds, Springer Berlin.
- S.
Assefa, T. Bielecki, S. Crépey, M. Jeanblanc. CVA computation for
counterparty risk assessment in credit portfolios. Short version of
the paper forthcoming under the same title in the book Credit Risk
Frontiers, T. Bielecki, D.
Brigo and F. Patras, eds, Wiley (Hard-copy
of the long, copyrighted version, available upon e-mail request).
- T. Bielecki, S.
Crépey, M. Jeanblanc and B. Zargari. Valuation and
Hedging of CDS Counterparty Exposure in a Markov Copula Model. IJTAF 15 (1) 1250004, 2012.
- S.
Crépey, M. Jeanblanc and B. Zargari. Counterparty Risk on a CDS in a Markov
Chain Copula Model with Joint Defaults. Recent Advances in Financial
Engineering
o
Portfolio Credit Risk
- T. Bielecki, A. Cousin, S. Crépey, A. Herbertsson. A Bottom-Up Dynamic Model of
Portfolio Credit Risk - Part
I: Markov Copula Perspective and Part
II: Common-Shock Interpretation, Calibration and Hedging issues.
Submitted.
- T. Bielecki, A.
Cousin, S.
Crépey, A. Herbertsson. A
Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic
Intensities and Random Recoveries. Submitted.
- A. Cousin, S.
Crépey and Y.-H Kan. Delta-hedging Correlation Risk? Review
of Derivatives Research 15 (1) 25-56, 2012.
- T. Bielecki, S. Crépey, A. Herbertsson. Markov
Chain Models of Portfolio Credit Risk. Short version of the paper
forthcoming under the same title in Oxford Handbook of Credit Derivatives,
A. Lipton and A. Rennie, eds (Hard-copy of the long, copyrighted version,
available upon e-mail request).
§ T.R. Bielecki, S. Crépey, M.
Jeanblanc. Up and Down Credit Risk.
Quantitative
Finance 10 (10)
1137-1151, 2010.
§ T.R. Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Valuation of Basket Credit Derivatives in the Credit Migrations Environment. Handbook of Financial Engineering, 2007.
- Defaultable
Game Options
- T.R. Bielecki, S. Crépey,
M. Jeanblanc and M. Rutkowski. Convertible Bonds in a
Defaultable Diffusion Model. Convertible Bonds in
a Defaultable Diffusion Model. Stochastic Analysis with Financial
Applications, A.
Kohatsu-Higa, N. Privault and S.J. Sheu eds, p. 255-298, Birkhäuser / Springer Basel, 2011.
- T.R.
Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Defaultable Options in a
Markovian Intensity Model of Credit Risk. New
Updated Version of the paper published under the same title in Mathematical Finance, 2008.
- T.R.
Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Valuation and Hedging of
Defaultable Game Options in a Hazard Process Model. Journal of Applied Mathematics and
Stochastic Analysis,
Article ID 695798, 33 pages, 2009 (and Long Preprint Version).
- T.R.
Bielecki, S. Crépey, M. Jeanblanc and M. Rutkowski. Arbitrage Pricing of
Defaultable Game Options with Applications to Convertible Bonds. Quantitative Finance, Volume 8, Issue 8 December 2008
, pages 795 - 810.
- Local Volatility
§
S. Crépey. Delta-hedging Vega Risk? Quantitative Finance 4, p.559–579, 2004.
·
Numerical
Finance
- Monte Carlo
- S.
Crépey and A. Rahal. Simulation/Regression
Pricing Schemes for CVA Computations on CDO Tranches (submitted).
- S.
Crépey and A. Rahal. Pricing Convertible
Bonds with Call Protection. Journal of Computational Finance Vol.15 Num. 2,
37-75, Winter 2011/12.
- R.
Carmona, S. Crépey. Particle Methods for the Estimation of
Markovian Credit Portfolios Loss Distribution. International Journal of Theoretical and Applied Finance Vol 13, Issue 4, p.
577-602, 2010.
- Calibration
- S.
Crépey. Tikhonov
Regularization. Encyclopedia of Quantitative Finance, editor Rama Cont, p. 1807-1812,
2010.
§ S. Crépey. Calibration
of the local volatility in a trinomial tree using Tikhonov regularization. Inverse Problems, 19 (2003), p. 91-127.
·
BSDEs and/or
PDEs
- J.-F. Chassagneux and S.
Crépey. Doubly reflected BSDEs with Call Protection and their
Approximation. Submitted.
- S.
Crépey. About
the Pricing Equations in Finance. Paris-Princeton Lectures in
Mathematical Finance 2010, Lecture Notes in Mathematics, Springer, p.63-203, 2011.
- S.
Crépey, A. Matoussi. Reflected and Doubly Reflected BSDEs
with Jumps: A Priori Estimates and Comparison Principle. Annals of Applied Probability, Vol 18, Issue 5 (October 2008),
p. 2041-69.
- S.
Crépey Calibration of the local volatility in a generalized
Black-Scholes model using Tikhonov regularization. SIAM Journal on Mathematical Analysis,
Vol 34 No 5 (2003), p. 1183-1206.