Welcome
on Stéphane Crépey's Page
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Address Université d'Evry, Département de
Mathématiques, Bâtiment Maupertuis, 3ème étage, Aile Sud, 91025 Evry, France.
Bureau : 03S07 (RER D Evry Courouronnes).
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E-mail stephane.crepey@univ-evry.fr
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Tel/Fax +33 (0)1 6947 0200 or 0205 / +33 (0)1 6947 0218
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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, credit and counterparty risk, numerical
finance, and related mathematical topics in the fields of backward
stochastic differential equations and partial differential equations. |
Get some of my works
·
Financial
Modeling
- Counterparty Credit Risk
- S. Crépey. Bilateral Counterparty Risk under Funding
Constraints – Part I: Pricing. Forthcoming in Mathematical Finance.
- S. Crépey. Bilateral Counterparty Risk under Funding
Constraints – Part II: CVA. Forthcoming in Mathematical Finance.
- S. Crépey, Z. Grbac and H. N. Nguyen. A
multiple-curve HJM model of interbank risk. Accepted
with minor revision in Mathematics and Financial Economics.
- T. Bielecki, S. Crépey. Dynamic Hedging
of Counterparty Exposure. Forthcoming in The Musiela Festschrift, T.
Zariphopoulou, M. Rutkowski and Y. Kabanov, eds, Springer.
- 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, Vol 15, Num 1,
2012.
- 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
- Portfolio Credit Risk
- T. Bielecki, A. Cousin, S. Crépey, A.
Herbertsson. Dynamic Modeling of Portfolio
Credit Risk with Common Shocks. Submitted.
- A. Cousin, S. Crépey and
- 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. Forthcoming in Quantitative Finance.
- 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,
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, 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, October 2004.
·
Numerical Finance
- 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. Forthcoming
in Journal of Computational Finance.
- 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.
·
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 5 April 2012