Mathematical Finance

Document de travail

Document de travail
- 2026
  
  Brigo, D., & Vrins, F. (2026). On the boundaries, asymptotic law and Bernoulli-Doob representation of homogeneous bounded martingales (LIDAM Discussion Paper LFIN 2026/03).
  
  https://research.dial.uclouvain.be/handle/2078.5/278742
- 2025
  
  Vrins, F. (2025). On the distribution of the integral of a function with respect to a Brownian Bridge (LIDAM Discussion Paper LFIN 2025/01).
  
  https://research.dial.uclouvain.be/handle/2078.5/243046
- 2024
  
  Cai, 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).
  
  https://research.dial.uclouvain.be/handle/2078.5/215340
- Germain, A., & Vrins, F. (2024). Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering (LIDAM Discussion Paper LFIN 2024/06).
  
  https://research.dial.uclouvain.be/handle/2078.5/233435
- 2022
  
  Mbaye, C., Sagna, A., & Vrins, F. (2022). A general firm-value model under partial information (LIDAM Discussion Paper LFIN 2022/09).
  
  https://research.dial.uclouvain.be/handle/2078.5/102824
- 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).
  
  https://research.dial.uclouvain.be/handle/2078.5/100197
- 2021
  
  Lassance, N. (2021). Maximizing the Out-of-Sample Sharpe Ratio (LIDAM Discussion Paper LFIN 2021/13).
  
  https://research.dial.uclouvain.be/handle/2078.5/107256
- Lassance, N., & Vrins, F. (2021). Portfolio Selection: A Target-Distribution Approach (LIDAM Discussion Paper LFIN 2021/05).
  
  https://research.dial.uclouvain.be/handle/2078.5/107595
- Vrins, F., & Wang, L. (2021). Asymmetric short-rate model without lower bound (LIDAM Discussion Paper LFIN 2021/06).
  
  https://research.dial.uclouvain.be/handle/2078.5/107591
- 2019
  
  Mbaye, C., & Vrins, F. (2019). Affine term-structure models: A time-changed approach with perfect fit to market curves (LFIN Working Papers 2019/5).
  
  https://research.dial.uclouvain.be/handle/2078.5/268930
- 2015
  
  Agrell, P. J., & Brea Solís, H. (2015). Stationarity of heterogeneity in production technology using latent class modelling (CORE Discussion Paper 2015/47).
  
  https://research.dial.uclouvain.be/handle/2078.5/268415

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Mathematical Finance

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