Mathematical Finance
lfin |
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2025Vrins, F. (2025). On the distribution of the integral of a function with respect to a Brownian Bridge (LIDAM Discussion Paper LFIN 2025/01).
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2024Cai, Z., Cui, Z., Lassance, N., & Simaan, M. (2024). The Economic Value of Mean Squared Error: Evidence from Portfolio Selection (LIDAM Discussion Paper LFIN 2024/03).
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Germain, A., & Vrins, F. (2024). Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering (LIDAM Discussion Paper LFIN 2024/06).
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2022Mbaye, C., Sagna, A., & Vrins, F. (2022). A general firm-value model under partial information (LIDAM Discussion Paper LFIN 2022/09).
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Leccadito, A., Staino, A., & Toscano, P. (2022). A Novel Robust Method for Estimating the Covariance Matrix of Financial Returns with Applications to Risk Management (LIDAM Discussion Paper LFIN 2022/11).
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2021Vrins, F., & Wang, L. (2021). Asymmetric short-rate model without lower bound (LIDAM Discussion Paper LFIN 2021/06).
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Lassance, N., & Vrins, F. (2021). Portfolio Selection: A Target-Distribution Approach (LIDAM Discussion Paper LFIN 2021/05).
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Lassance, N. (2021). Maximizing the Out-of-Sample Sharpe Ratio (LIDAM Discussion Paper LFIN 2021/13).
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2019Mbaye, C., & Vrins, F. (2019). Affine term-structure models: A time-changed approach with perfect fit to market curves (LFIN Working Papers 2019/5).
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2015Agrell, P. J., & Brea Solís, H. (2015). Stationarity of heterogeneity in production technology using latent class modelling (CORE Discussion Paper 2015/47).
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