Concepedia

Stéphane Crépey

SC

Statistics

Publications

35

Citations

11.6K

H-Index

21

Active since

2003

Affiliations

Université d'Évry Val-d'Essonne(Current)

Illinois Institute of Technology

Centre National de la Recherche Scientifique

Université Claude Bernard Lyon 1

Laboratoire de Mathématiques Blaise Pascal

Stéphane Crépey is an author at Université d'Évry Val-d'Essonne specializing in finance, business, and financial economics.

Publications per year

2003–2022

35

Publications

35

Lecture Notes in Mathematics

Stéphane Crépey, Olivier Guéant, David Hobson et al. · HAL (Le Centre pour la Communication Scientifique Directe) · 2011 · 10.2K citations

Natural Sciences, Mathematics, Mathematics Education +4

BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA

Stéphane Crépey · Mathematical Finance · 2012 · 174 citations · Full text

Business, Economics, Finance +17

BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING

Stéphane Crépey · Mathematical Finance · 2012 · 137 citations · Full text

Business, Economics, Finance +12

Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization

Stéphane Crépey · SIAM Journal on Mathematical Analysis · 2003 · 118 citations

Natural Sciences, Finance, Mathematics +14

A multiple-curve HJM model of interbank risk

Stéphane Crépey, Zorana Grbac, Hai-Nam Nguyen · Mathematics and Financial Economics · 2012 · 70 citations

Business, Economics, Finance +14

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