Concepedia

Marie-Claire Quenez

MQ

14

Publications

1.3K

Citations

13

H-Index

1995

Active since

Affiliations

Université Paris Cité(Current)

Délégation Paris 7

Laboratoire de Probabilités et Modèles Aléatoires

Institut national de recherche en sciences et technologies du numérique

Marie-Claire Quenez is an author at Université Paris Cité specializing in engineering, stochastic calculus, and mathematical programming.

Top concepts

EngineeringStochastic CalculusBusinessProbabilityMathematical ProgrammingFinanceEconomicsAsset PricingStochastic OptimizationEconomic Analysis

Publications per year

1995–2019

14

Publications

14

Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market

Nicole El Karoui, Marie-Claire Quenez · SIAM Journal on Control and Optimization · 1995 · 658 citations

Mathematical Programming, Engineering, Market Equilibrium Computation +24

BSDEs with jumps, optimization and applications to dynamic risk measures

Marie-Claire Quenez, Agnès Sulem · Stochastic Processes and their Applications · 2013 · 146 citations · Full text

Engineering, Stochastic Optimization, Uncertainty Quantification +5

Optimal Portfolio in Partially Observed Stochastic Volatility Models

Huy en Pham, Marie-Claire Quenez · The Annals of Applied Probability · 2001 · 99 citations · Full text

Mathematical Programming, Volatility Modeling, Portfolio Optimization +15

Optimal stopping time problem in a general framework

Magdalena Kobylanski, Marie-Claire Quenez · Electronic Journal of Probability · 2012 · 63 citations · Full text

Mathematical Programming, Time Problem, Engineering +13

Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

Marie-Claire Quenez, Agnès Sulem · Stochastic Processes and their Applications · 2014 · 56 citations · Full text

Dynamic Risk Measures, Stochastic System, Stochastic Calculus +4

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