Journal Publications

ZORA Publication List

Publications

• 2024

  • Coculescu, D., Motte, M., & Pham, H. (2024). Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation Mathematics and Financial Economics, 18, 333–377. https://doi.org/10.1007/s11579-024-00355-1
  • Coculescu, D., & Visentin, G. (2024). A default system with overspilling contagion Frontiers of Mathematical Finance, 3, 127–162. https://doi.org/10.3934/fmf.2024003

• 2022

  • Coculescu, D., & Delbaen, F. (2022). Fairness principles for insurance contracts in the presence of default risk Mathematical Finance, 32, 595–626. https://doi.org/10.1111/mafi.12344
  • Coculescu, D., & Delbaen, F. (2022). Group cohesion under individual regulatory constraints Scandinavian Actuarial Journal, 2022, 80–93. https://doi.org/10.1080/03461238.2021.1934104
  • Coculescu, D., & Dandapani, A. (2022). Insiders and Their Free Lunches: The Role of Short Positions SIAM Journal on Financial Mathematics, 13, 877–902. https://doi.org/10.1137/20M1375826

• 2019

  • Coculescu, D., & Delbaen, F. (2019). Surplus Sharing with Coherent Utility Functions Risks, 7, 7. https://doi.org/10.3390/risks7010007
  • Coculescu, D., & Jeanblanc, M. (2019). Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices Finance and Stochastics, 23, 397–421. https://doi.org/10.1007/s00780-019-00386-3

• 2018

  • Rochet, J.-C., & Coculescu, D. (2018). Shareholder Risk Measures Mathematical Finance, 28, 5–28. https://doi.org/10.1111/mafi.12142

• 2017

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

• 2016

  • Chesney, M., Coculescu, D., & Gokay, S. (2016). Endogenous trading in Credit Default Swaps Decisions in Economics and Finance, 39, 1–31. https://doi.org/10.1007/s10203-015-0168-7

• 2012

  • Coculescu, D., Jeanblanc, M., & Nikeghbali, A. (2012). Default times, no-arbitrage conditions and changes of probability measures Finance and Stochastics, 16, 513–535. https://doi.org/10.1007/s00780-011-0170-z

• 2011

  • Coculescu, D. (2011). Dividends and leverage: How to optimally exploit a non-renewable investment Journal of Economic Dynamics and Control, 35, 312–329. https://doi.org/10.1016/j.jedc.2010.11.007

• 2008

  • Coculescu, D., Geman, H., & Jeanblanc, M. (2008). Valuation of default-sensitive claims under imperfect information Finance and Stochastics, 12, 195–218. https://doi.org/10.1007/s00780-007-0060-6