Stéphane Crépey

Welcome on Stéphane Crépey's Page

o Address Université d'Evry, Département de Mathématiques, Bâtiment Maupertuis, 3ème étage, Aile Sud, 91025 Evry, France. Bureau : 03S07 (RER D Evry Courouronnes).

o E-mail stephane.crepey@univ-evry.fr

o Tel/Fax +33 (0)1 6947 0200 or 0205 / +33 (0)1 6947 0218

I am currently Associate Professor at the Mathematics Department of Evry University, where I am in charge of the MSC Financial Engineering.

My research interests are financial modeling, credit risk, numerical finance, and related mathematical topics like backward stochastic differential equations or partial differential equations.

Get some of my works

My Computational Finance Lecture Notes (2009 edition, 188 pages).
My Habilitation Thesis (December 2008).

· Financial Modeling

Single-Name Credit Risk

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.
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, 2009 (and Long Preprint Version).
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. Convertible Bonds in a Defaultable Diffusion Model. Forthcoming in Stochastic Analysis with Financial Applications, A. Kohatsu-Higa, N. Privault, S.J. Sheu, eds, Birkhäuser Verlag, 2010 (36 pages).

Multi-Name Credit Risk

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.
T.R. Bielecki, S. Crépey, M. Jeanblanc. Up and Down Credit Risk. Forthcoming in Quantitative Finance.
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).
R. Cont, A. Cousin, S. Crépey and Y.-H Kan. Delta-hedging Correlation Risk? Preliminary Version.

Counterparty Credit Risk

S. Crépey, M. Jeanblanc and B. Zargari. Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults. Forthcoming in Recent Advances in Financial Engineering 2009, M. Kijima, C. Hara, Y. Muromachi and K. Tanaka, eds, World Scientific Publishing Co. Pte., 2010 (32 pages).
S. Crépey, M. Jeanblanc and B. Zargari. Counterparty Risk on a CDS in a Model with Joint Defaults and Stochastic Spreads. Submitted.
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 Recent advancements in theory and practice of credit derivatives, T. Bielecki, D. Brigo and F. Patras, eds, Bloomberg Press (Hard-copy of the long, copyrighted version, available upon e-mail request).

Local Volatility

S. Crépey. Delta-hedging Vega Risk? Quantitative Finance, October 2004.

· Numerical Finance

Monte Carlo

R. Carmona, S. Crépey. Particle Methods for the Estimation of Markovian Credit Portfolios Loss Distribution. Forthcoming in International Journal of Theoretical and Applied Finance, June 2010.
S. Crépey and A. Rahal. Pricing Convertible Bonds with Call Protection. Submitted.

Calibration

S. Crépey. Tikhonov Regularization. Forthcoming in Encyclopedia of Quantitative Finance, editor Rama Cont, 2008.
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

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. About the Pricing Equations in Finance. Forthcoming in Paris-Princeton Lectures on Mathematical Finance, Springer.
J.-F. Chassagneux and S. Crépey. Doubly reflected BSDEs with Call Protection and their Approximation. Preliminary Version.
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.

· Differential Games

P. Bernhard, S. Crépey and A. Rapaport. Comparison of two numerical approaches for the Barrier and Value of a simple pursuit-evasion game. E. Altman and O. Pourtallier, eds, Annals of Dynamic Games , 6 Advances in Dynamic Games and Applications, p. 253–273. Birkhäuser, 2001.
My PhD Thesis (January 2001).

Stéphane Crépey / Last update 6 March 2010