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researcher

St'ephane Cr'epey Lpsm

4 papers hereh-index 331 citations5 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

fields
  • q-fin.RM2
  • econ.GN1
  • q-fin.ST1

identity via Semantic Scholar / OpenAlex

activity
20222025
most citedThe Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims

1 citations · 1 across the 3 of their papers we have counts for

collaborators
Showing 2023Show all

1 paper · 1 filter

q-fin.RM2023★ 1 cited

The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims

Cyril Bénézet, Stéphane Crépey, Dounia Essaket

The dynamic hedging theory only makes sense in the setup of one given model, whereas the practice of dynamic hedging is just the opposite, with models fleeing after the data throug…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.