All Publications

ZORA Publication List

Publications

Journal Article
- 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; Delbaen, Freddy (2019). Surplus Sharing with Coherent Utility Functions. Risks, 7(1):7.
  - 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.
- 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, D; Nikeghbali, Ashkan (2012). Hazard processes and martingale hazard processses. Mathematical Finance, 22(3):519-537.
  - 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.
Book Section
- 2010
  - Coculescu, Delia; Nikeghbali, Ashkan (2010). Filtrations. In: Cont, Rama. Encyclopedia of Quantitative Finance. Chichester, UK: Wiley & Sons, 1-5.
  - Coculescu, D; Nikeghbali, A (2010). Filtrations. In: Cont, R. Encyclopedia of quantitative finance. Chichester, UK: John Wiley & Sons, 683-686.
Working Paper
- 2023
  - Coculescu, Delia; Pham, Huyen; Motte, Mederic (2023). Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation. ArXiv.org 2306.16553, Cornell University.
- 2021
  - Coculescu, Delia; Lupascu Stamate, Oana; Visentin, Gabriele (2021). Emergence and Evolution of Cooperation for Survival: A Continuous Time Model. SSRN 1189182, University of Zurich.
- 2020
  - Coculescu, Delia; Delbaen, Freddy (2020). Fairness principles for insurance contracts in the presence of default risk. ArXiv.org 2009.04408, Cornell University.
  - Coculescu, Delia; Dandapani, Aditi (2020). Insiders and their Free Lunches: the Role of Short Positions. ArXiv.org 2012.00359, Cornell University.
  - Coculescu, Delia; Delbaen, Freddy (2020). Group cohesion under individual regulatory constraints. ArXiv.org 2010.0142, Cornell University.
- 2017
  - Coculescu, Delia (2017). A default system with overspilling contagion. SSRN 3004484, University of Zurich.
  - Coculescu, Delia; Jeanblanc, Monique (2017). Some No-Arbitrage Rules under Short-Sales Constraints and Applications to Converging Asset Prices. Mathematical Finance n/a, University of Zurich.
- 2010
  - Coculescu, Delia (2010). From the decompositions of a stopping time to risk premium decompositions. ArXiv.org arXiv:0912, Cornell University.