Stéphane Crépey - researchr alias

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Viewing Publication 1 - 10 from 10

2022

Anomaly Detection in Financial Time Series by Principal Component Analysis and Neural NetworksStéphane Crépey, Noureddine Lehdili, Nisrine Madhar, Maud Thomas. algorithms, 15(10):385, 2022. [doi]

2021

Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape ConstraintsMarc Chataigner, Areski Cousin, Stéphane Crépey, Matthew F. Dixon, Djibril Gueye. siamfm, 12(3), 2021. [doi]

2020

When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value AdjustmentsStéphane Crépey, Wissal Sabbagh, Shiqi Song. siamfm, 11(1):99-130, 2020. [doi]

Uncertainty Quantification for Stochastic Approximation Limits Using Chaos ExpansionStéphane Crépey, Gersende Fort, Emmanuel Gobet, Uladzislau Stazhynski. juq, 8(3):1061-1089, 2020. [doi]

2018

Multivariate Shortfall Risk Allocation and Systemic RiskYannick Armenti, Stéphane Crépey, Samuel Drapeau, Antonis Papapantoleon. siamfm, 9(1):90-126, 2018. [doi]

2017

Central Clearing Valuation AdjustmentYannick Armenti, Stéphane Crépey. siamfm, 8(1):274-313, 2017. [doi]

2016

Counterparty risk and funding: immersion and beyondStéphane Crépey, Shiqi Song. fs, 20(4):901-930, 2016. [doi]

2014

Dynamic Hedging of Portfolio Credit Risk in a Markov Copula ModelTomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson. jota, 161(1):90-102, 2014. [doi]

2006

Arbitrage Pricing of Convertible Securities with Credit RiskTomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski. cdc 2006: 2889-2894 [doi]

2003

Calibration of the Local Volatility in a Generalized Black-Scholes Model Using Tikhonov RegularizationStéphane Crépey. siamma, 34(5):1183-1206, 2003. [doi]

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