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Delia Coculescu - Publications

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@ucselucoc.ailedbf.uzh.ch
PLD-E 03, Plattenstr. 32, 8032 Zürich
+41 44 634 51 66
vCard Team Chesney Teaching Publications

Journal Articles (7)

Shareholder Risk Measures
Jean-Charles Rochet, Delia Coculescu
In: Mathematical Finance, forthcoming, 2017.


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


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, March 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, July 2012.


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


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.


Book Chapters (1)

Filtrations
Delia Coculescu, Ashkan Nikeghbali
Editor(s): 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. hal-01589416, September 2017.


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


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