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researcher /
Stéphane Crépey
Stéphane Crépey
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Disciplines:
Applied mathematics
Applied sciences
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Thesis:
Contribution a des methodes numeriques appliquees a la finance et aux jeux differentiels
Directed Thesis:
X-Valuation adjustments computations by nested simulation on graphics processing units
XVA analysis, risk measures and applications to centrally cleared trading
Malliavin calculus for Markov chains and counterparty risk
Problème de contrôle stochastique sous contraintes de risque de liquidité
Contributions to credit risk and interest rate modeling
Density models and applications to counterparty credit risk
Le risque de crédit et les produits dérivés de crédit : modélisation mathématique et numérique