Journal Publications

ZORA Publication List

Publications

• 2024

  • Coculescu, Delia; Motte, Mederic; Pham, Huyen (2024). Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation Mathematics and Financial Economics, 18(2-3):333-377.
  • Coculescu, Delia; Visentin, Gabriele (2024). A default system with overspilling contagion Frontiers of Mathematical Finance, 3(1):127-162.

• 2022

  • Coculescu, Delia; Delbaen, Freddy (2022). Fairness principles for insurance contracts in the presence of default risk Mathematical Finance, 32(2):595-626.
  • Coculescu, Delia; Delbaen, Freddy (2022). Group cohesion under individual regulatory constraints Scandinavian Actuarial Journal, 2022(1):80-93.
  • Coculescu, Delia; Dandapani, Aditi (2022). Insiders and Their Free Lunches: The Role of Short Positions SIAM Journal on Financial Mathematics, 13(3):877-902.

• 2019

  • Coculescu, Delia; Jeanblanc, Monique (2019). Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices Finance and Stochastics, 23(2):397-421.
  • Coculescu, Delia; Delbaen, Freddy (2019). Surplus Sharing with Coherent Utility Functions Risks, 7(1):7.

• 2018

  • Rochet, Jean-Charles; Coculescu, Delia (2018). Shareholder Risk Measures Mathematical Finance, 28(1):5-28.

• 2017

  • Coculescu, Delia (2017). From the decompositions of a stopping times to risk premium decompositions ESAIM: Proceedings and Surveys, 60:1-60.

• 2016

  • Chesney, Marc; Coculescu, Delia; Gokay, Selim (2016). Endogenous trading in Credit Default Swaps Decisions in Economics and Finance, 39(1):1-31.

• 2012

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

• 2011

  • Coculescu, Delia (2011). Dividends and leverage: How to optimally exploit a non-renewable investment Journal of Economic Dynamics and Control, 35(3):312-329.

• 2008

  • Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique (2008). Valuation of default-sensitive claims under imperfect information Finance and Stochastics, 12(2):195-218.