Welcome on Stéphane Crépey’s web page

 

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

·        Working Papers

·        Financial Modeling

o   Portfolio Credit Risk

§  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.

§  S. Crépey. Delta-hedging Vega Risk? Quantitative Finance 4, p.559–579, 2004.

·        BSDEs and/or PDEs

·        Numerical Finance

§  S. Crépey. Calibration of the local volatility in a trinomial tree using Tikhonov regularization. Inverse Problems, 19 (2003), p. 91-127.