Stéphane Crépey - Concepedia

Author

Stéphane Crépey

Also Known As

BNP Paribas Stress Testing Methodologies & Models, France, Cr\'epey, St\'ephane, Crepey, Stephane, Crepey, Stéphane, Crépey Stéphane, Crépey, Stéphane, Lokman Abbas Turki, S. CRÉPEY, S. Crépey, STÉPHANE CRÉPEY

168

Publications

12.3K

Citations

H-Index

Concepts

All Affiliations

Université d'Évry Val-d'Essonne Illinois Institute of Technology Centre National de la Recherche Scientifique Université Claude Bernard Lyon 1 Laboratoire de Mathématiques Blaise Pascal

About

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

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Business	17	22	989
2	Engineering	11	11	512
3	Management	11	12	378
4	Accounting	3	3	39
5	Education	1	1	10.1K

Stéphane Crépey

Publications

11.5K

Citations

H-Index

Page 1

	Year	Citations
Lecture Notes in Mathematics Stéphane Crépey, Olivier Guéant, David Hobson, HAL (Le Centre pour la Communication Scientifique Directe) Theoretical MathematicsMathematics CurriculumLecture NotesEducationDiscrete Mathematics	2011	10.1K
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA Stéphane Crépey Mathematical Finance Counterparty RiskOption PricingMarkov SetupAsset PricingEngineering	2012	174
BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING Stéphane Crépey Mathematical Finance Counterparty RiskEconomicsOption PricingAsset PricingDynamic Pricing	2012	137
Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization Stéphane Crépey SIAM Journal on Mathematical Analysis Numerical AnalysisInverse ProblemMultivariate Stochastic VolatilityEngineeringVariational Analysis	2003	117
A multiple-curve HJM model of interbank risk Stéphane Crépey, Zorana Grbac, Hai-Nam Nguyen Mathematics and Financial Economics EconomicsFinancial Risk ManagementMultiple-curve Hjm ModelFinancial IntermediationBusiness	2012	70
Arbitrage pricing of defaultable game options with applications to convertible bonds Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, Quantitative Finance Convertible Corporate BondsOption PricingEconomicsAsset PricingArbitrage Pricing	2008	64
Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model Tomasz R. Bielecki, Areski Cousin, Stéphane Crépey, Journal of Optimization Theory and Applications Portfolio OptimizationAsset PricingPortfolio AllocationManagementBusiness	2013	62
Counterparty Risk on a CDS in a Markov Chain Copula Model with Joint Defaults Stéphane Crépey, Monique Jeanblanc, Behnaz Zargari	2010	53
VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc, International Journal of Theoretical and Applied Finance Counterparty RiskEngineeringRisk ManagementDerivative PricingBusiness	2011	52
Up and down credit risk Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc Quantitative Finance	2010	50

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