News

Shrink with Purpose: Optimal Covariance Matrix Estimation for Portfolio Selection / Nathan Lassance, Rodolphe Vanderveken, Frédéric Vrins. > We introduce analytical linear and nonlinear shrink

On the distribution of the integral of a function with respect to a Brownian Bridge / Frédéric Vrins. > We derive a couple of results associated with the distribution of the integral J of a sq

The role of CDS spreads in explaining bond recovery rates / Matteo Barbagli, Pascal François, Geneviève Gauthier, Frédéric Vrins. In: Journal of Banking & Finance, 2025, vol.

 Ready to explore quantitative finance like never before? Discover "Derivatives Pricing" : The latest book by Professor Frédéric Vrins (LFIN)!

 A sense of risk: Responses to crowdfunding risk disclosures / Prabal Shrestha, James Thewissen, Özgür Arslan-Ayaydin, Annaleena Parhankangas. In: Strategic Entrepreneurship Journal, 2023, v