CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP, International Journal of Theoretical and Applied Finance, vol.13, issue.07, 2009. ,
DOI : 10.1142/S0219024910006133
URL : https://hal.archives-ouvertes.fr/hal-00402313
Modeling and Valuation of Credit Risk, Stochastic methods in finance, pp.27-126, 2004. ,
DOI : 10.1007/978-3-540-44644-6_2
Credit risk: modelling, valuation and hedging, 2002. ,
DOI : 10.1007/978-3-662-04821-4
Credit risk: Pricing, measurement and management, 2003. ,
BSDEs and applications " , Indifference pricing, theory and applications, 2008. ,
What happens after a default: The conditional density approach, Stoc. Proc. Appli, 2009. ,
DOI : 10.1016/j.spa.2010.02.003
URL : https://hal.archives-ouvertes.fr/hal-00381090
Utility maximization in incomplete markets, The Annals of Applied Probability, vol.15, issue.3, pp.1691-1712, 2005. ,
DOI : 10.1214/105051605000000188
Grossissement initial, hypothese (H???) et theoreme de Girsanov, Lect. Notes in Maths, vol.45, 1982. ,
DOI : 10.1007/BF00715187
Progressive enlargement of filtrations with initial times, Stochastic Proc. and their Appli, 2009. ,
Semimartingales et grossissements d'une filtration, Lect. Notes in Maths, vol.833, 1980. ,
Grossissements de filtration: exemples et applications, Lect. Notes in Maths, vol.1118, 1985. ,
DOI : 10.1007/BFb0075765
Pricing and optimal investment under multiple defaults risk, 2009. ,
DOI : 10.1214/11-aap829
URL : http://arxiv.org/abs/1102.5678
Optimal investment under counterparty risk: a defaultdensity approach, 2009. ,
Utility maximization in incomplete markets with default, 2008. ,
URL : https://hal.archives-ouvertes.fr/hal-00342531
Random times and enlargements of filtrations in Brownian setting, Lect. Notes in Mathematics, 2006. ,
URL : https://hal.archives-ouvertes.fr/hal-00016598
Portfolio choice under dynamic investment performance criteria, Quantitative Finance, vol.31, issue.2, pp.161-170, 2008. ,
DOI : 10.1007/BF00933093
Applied Stochastic Control of Jump-diffusion processes, 2007. ,
Continuous-time Stochastic Control and Optimization with Financial Applications, 2008. ,
DOI : 10.1007/978-3-540-89500-8
URL : https://hal.archives-ouvertes.fr/hal-00401892
BSDEs with random default time and their applications to default risk, p.910, 2009. ,
Stochastic integration and differential equations, 2005. ,
Pricing Via Utility Maximization and Entropy, Mathematical Finance, vol.10, issue.2, pp.259-276, 2000. ,
DOI : 10.1111/1467-9965.00093
Credit derivatives pricing models, 2003. ,
Dynamic programming for stochastic target problems and geometric flows, Journal of the European Mathematical Society, vol.4, issue.3, pp.201-236, 2002. ,
DOI : 10.1007/s100970100039
Survey of measurable selection theorems: An update, Lect. Notes in Math, vol.59, 1980. ,
DOI : 10.2140/pjm.1975.59.267