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Journal Articles
- 2022
[j9]Stéphane Crépey, Noureddine Lehdili, Nisrine Madhar, Maud Thomas
:
Anomaly Detection in Financial Time Series by Principal Component Analysis and Neural Networks. Algorithms 15(10): 385 (2022)- 2021
- [j8]Marc Chataigner, Areski Cousin, Stéphane Crépey, Matthew F. Dixon, Djibril Gueye:
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints. SIAM J. Financial Math. 12(3) (2021) - 2020
- [j7]Stéphane Crépey, Gersende Fort, Emmanuel Gobet, Uladzislau Stazhynski:
Uncertainty Quantification for Stochastic Approximation Limits Using Chaos Expansion. SIAM/ASA J. Uncertain. Quantification 8(3): 1061-1089 (2020) - [j6]Stéphane Crépey, Wissal Sabbagh, Shiqi Song:
When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments. SIAM J. Financial Math. 11(1): 99-130 (2020) - 2018
- [j5]Yannick Armenti, Stéphane Crépey, Samuel Drapeau, Antonis Papapantoleon:
Multivariate Shortfall Risk Allocation and Systemic Risk. SIAM J. Financial Math. 9(1): 90-126 (2018) - 2017
- [j4]Yannick Armenti, Stéphane Crépey:
Central Clearing Valuation Adjustment. SIAM J. Financial Math. 8(1): 274-313 (2017) - 2016
- [j3]Stéphane Crépey, Shiqi Song:
Counterparty risk and funding: immersion and beyond. Finance Stochastics 20(4): 901-930 (2016) - 2014
- [j2]Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Alexander Herbertsson:
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model. J. Optim. Theory Appl. 161(1): 90-102 (2014) - 2003
- [j1]Stéphane Crépey:
Calibration of the Local Volatility in a Generalized Black-Scholes Model Using Tikhonov Regularization. SIAM J. Math. Anal. 34(5): 1183-1206 (2003)
Conference and Workshop Papers
- 2006
- [c1]Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Marek Rutkowski:
Arbitrage Pricing of Convertible Securities with Credit Risk. CDC 2006: 2889-2894
Informal and Other Publications
- 2024
- [i1]Lokman A. Abbas-Turki, Stéphane Crépey, Botao Li, Bouazza Saadeddine:
An Explicit Scheme for Pathwise XVA Computations. CoRR abs/2401.13314 (2024)
Coauthor Index
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