15 citations · 24 across the 8 of their papers we have counts for
8 papers
Sensitivity analysis for sets : application to pollutant concentration maps
Noé Fellmann, Mathis Pasquier, Christophette Blanchet-Scalliet +3
In the context of air quality control, our objective is to quantify the impact of uncertain inputs such as meteorological conditions and traffic parameters on pollutant dispersion…
Kernel-based sensitivity analysis for (excursion) sets
Noé Fellmann, Christophette Blanchet-Scalliet, Céline Helbert +2
In this paper, we aim to perform sensitivity analysis of set-valued models and, in particular, to quantify the impact of uncertain inputs on feasible sets, which are key elements i…
Coupling and selecting constraints in Bayesian optimization under uncertainties
Julien Pelamatti, Rodolphe Le Riche, Céline Helbert +1
We consider chance constrained optimization where it is sought to optimize a function while complying with constraints, both of which are affected by uncertainties. The high comput…
A sampling criterion for constrained Bayesian optimization with uncertainties
Reda El Amri, Rodolphe Le Riche, Céline Helbert +2
We consider the problem of chance constrained optimization where it is sought to optimize a function and satisfy constraints, both of which are affected by uncertainties. The real…
Risk assessment using suprema data
Christophette Blanchet-Scalliet, Diana Dorobantu, Laura Gay +2
This paper proposes a stochastic approach to model temperature dynamic and study related risk measures. The dynamic of temperatures can be modelled by a mean-reverting process such…
Credit risk premia and quadratic BSDEs with a single jump
Stefan Ankirchner, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel
This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility pr…
Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon
Christophette Blanchet-Scalliet, Anne Eyraud-Loisel, Manuela Royer-Carenzi
This article focuses on the mathematical problem of existence and uniqueness of BSDE with a random terminal time which is a general random variable but not a stopping time, as it h…
Counterparty risk valuation for CDS
Christophette Blanchet-Scalliet, Frédéric Patras
The valuation of counterparty risk for single name credit derivatives requires the computa- tion of joint distributions of default times of two default-prone entities. For a Merton…