EDP Sciences logo
Subscriber Authentication Point
Search
Menu
All issues ESAIM: PS, 17 (2013) 550-566 Article references

Articles citing this article

The Citing articles tool gives a list of articles citing the current article.
The citing articles come from EDP Sciences database, as well as other publishers participating in CrossRef Cited-by Linking Program. You can set up your personal account to receive an email alert each time this article is cited by a new article (see the menu on the right-hand side of the abstract page).

Cited article:

Utility maximization of the exponential Lévy switching models

Yuchao Dong and Lyudmila Vostrikova
Теория вероятностей и ее применения 69 (1) 161 (2024)
https://doi.org/10.4213/tvp5445

On the Propagation of the Weak Representation Property in Independently Enlarged Filtrations: The General Case

Paolo Di Tella
Journal of Theoretical Probability 35 (4) 2194 (2022)
https://doi.org/10.1007/s10959-021-01145-x

A Note on the Strong Predictable Representation Property and Enlargement of Filtration

Antonella Calzolari and Barbara Torti
Mathematics 10 (10) 1783 (2022)
https://doi.org/10.3390/math10101783

Projections of martingales in enlargements of Brownian filtrations under Jacod’s equivalence hypothesis

Pavel V. Gapeev, Monique Jeanblanc and Dongli Wu
Electronic Journal of Probability 26 (none) (2021)
https://doi.org/10.1214/21-EJP694

FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS

PAVEL V. GAPEEV and MONIQUE JEANBLANC
International Journal of Theoretical and Applied Finance 24 (04) 2150022 (2021)
https://doi.org/10.1142/S0219024921500229

CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS

PAVEL V. GAPEEV and MONIQUE JEANBLANC
International Journal of Theoretical and Applied Finance 23 (02) 2050010 (2020)
https://doi.org/10.1142/S0219024920500107

Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach

Alessandro Calvia and Emanuela Rosazza Gianin
SIAM Journal on Financial Mathematics 11 (3) 815 (2020)
https://doi.org/10.1137/19M1259134

Integral representations of martingales for progressive enlargements of filtrations

Anna Aksamit, Monique Jeanblanc and Marek Rutkowski
Stochastic Processes and their Applications 129 (4) 1229 (2019)
https://doi.org/10.1016/j.spa.2018.04.009

Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications

Antonella Calzolari and Barbara Torti
Springer Proceedings in Mathematics & Statistics, Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications 289 109 (2019)
https://doi.org/10.1007/978-3-030-22285-7_4

Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case

Antonella Calzolari and Barbara Torti
Stochastics 91 (2) 265 (2019)
https://doi.org/10.1080/17442508.2018.1533015

Information uncertainty related to marked random times and optimal investment

Ying Jiao and Idris Kharroubi
Probability, Uncertainty and Quantitative Risk 3 (1) (2018)
https://doi.org/10.1186/s41546-018-0029-8

The strong predictable representation property in initially enlarged filtrations under the density hypothesis

Claudio Fontana
Stochastic Processes and their Applications 128 (3) 1007 (2018)
https://doi.org/10.1016/j.spa.2017.06.015

An enlargement of filtration formula with applications to multiple non-ordered default times

Monique Jeanblanc, Libo Li and Shiqi Song
Finance and Stochastics 22 (1) 205 (2018)
https://doi.org/10.1007/s00780-017-0349-z

Optimal investment in markets with over and under-reaction to information

Giorgia Callegaro, M’hamed Gaïgi, Simone Scotti and Carlo Sgarra
Mathematics and Financial Economics 11 (3) 299 (2017)
https://doi.org/10.1007/s11579-016-0182-8

Dynamics of multivariate default system in random environment

Nicole El Karoui, Monique Jeanblanc and Ying Jiao
Stochastic Processes and their Applications 127 (12) 3943 (2017)
https://doi.org/10.1016/j.spa.2017.03.017

Martingale representation property in progressively enlarged filtrations

Monique Jeanblanc and Shiqi Song
Stochastic Processes and their Applications 125 (11) 4242 (2015)
https://doi.org/10.1016/j.spa.2015.06.007

ROLE OF INFORMATION IN PRICING DEFAULT-SENSITIVE CONTINGENT CLAIMS

MONIQUE JEANBLANC and MARTA LENIEC
International Journal of Theoretical and Applied Finance 18 (01) 1550007 (2015)
https://doi.org/10.1142/S0219024915500077

Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities

A. Ellanskaya and L. Vostrikova
Proceedings of the Steklov Institute of Mathematics 287 (1) 68 (2014)
https://doi.org/10.1134/S0081543814080057

Information, no-arbitrage and completeness for asset price models with a change point

Claudio Fontana, Zorana Grbac, Monique Jeanblanc and Qinghua Li
Stochastic Processes and their Applications 124 (9) 3009 (2014)
https://doi.org/10.1016/j.spa.2014.04.010

The Dynamic Spread of the Forward CDS with General Random Loss

Kun Tian, Dewen Xiong and Zhongxing Ye
Abstract and Applied Analysis 2014 1 (2014)
https://doi.org/10.1155/2014/580713

Malliavin Calculus and Stochastic Analysis

Younes Kchia, Martin Larsson and Philip Protter
Springer Proceedings in Mathematics & Statistics, Malliavin Calculus and Stochastic Analysis 34 469 (2013)
https://doi.org/10.1007/978-1-4614-5906-4_21