Delia Coculescu - Publikationen

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Journal Articles (7)

Shareholder Risk Measures
Jean-Charles Rochet, Delia Coculescu
In: Mathematical Finance, Vol. 28 (No. 1), p. 5-28, Januar 2018.

From the decompositions of a stopping times to risk premium decompositions
Delia Coculescu
In: ESAIM: Proceedings and Surveys, Vol. 60, p. 1-60, Juni 2017.

Endogenous trading in Credit Default Swaps
Marc Chesney, Delia Coculescu, Selim Gokay
In: Decisions in Economics and Finance, Vol. 39 (No. 1), p. 1-31, April 2016.

Default times, no-arbitrage conditions and changes of probability measures
Delia Coculescu, Monique Jeanblanc, Ashkan Nikeghbali
In: Finance and Stochastics, Vol. 16 (No. 3), p. 513-535, Juli 2012.

Hazard Processes and Martingale Hazard Processes
Delia Coculescu, Ashkan Nikeghbali
In: Mathematical Finance, Vol. 22 (No. 3), p. 519-537, 2012.

Dividends and leverage: How to optimally exploit a non-renewable investment
Delia Coculescu
In: Journal of Economic Dynamics and Control, Vol. 35 (No. 3), p. 312-329, März 2011.

Valuation of default-sensitive claims under imperfect information
Delia Coculescu, Hélyette Geman, Monique Jeanblanc
In: Finance and Stochastics, Vol. 12 (No. 2), p. 195-218, April 2008.

Kapitel in Büchern (1)

Delia Coculescu, Ashkan Nikeghbali
Herausgeber: Rama Cont
In: Encyclopedia of Quantitative Finance, Wiley & Sons, Chichester, UK, p. 1-5, 2010.

Working Papers (3)

Some No-Arbitrage Rules for Converging Asset Prices under Short-Sales Constraints
Delia Coculescu, Monique Jeanblanc
HAL, No. 01589416, September 2017.

A default system with overspilling contagion
Delia Coculescu
SSRN, No. 3004484, Juli 2017.

From the decompositions of a stopping time to risk premium decompositions
Delia Coculescu, No. arXiv:0912, Mai 2010.