Mathematical Finance
lfin |
Journal Articles
1. Kan, Raymond; Lassance, Nathan. Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty. In: Journal of Financial and Quantitative Analysis, (2025). (Accepté/Sous presse). http://hdl.handle.net/2078.1/293928
2. Vrins, Frédéric. Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part. In: European Journal of Operational Research, (2025). doi:10.1016/j.ejor.2025.09.043 (Accepté/Sous presse). http://hdl.handle.net/2078.1/306066
3. Mbaye, Cheikh; Vrins, Frédéric. Affine term structure models: a time-change approach with perfect fit to market curves. In: Mathematical Finance, Vol. 32, no. 2, p. 678-724 (2022). doi:10.1111/mafi.12342. http://hdl.handle.net/2078.1/254447
4. Mbaye, Cheikh; Sagna, Abass; Vrins, Frédéric. A general firm value model under partial information. In: The Journal of Computational Finance, Vol. 26, no. 1 (2022). doi:10.21314/JCF.2022.020. http://hdl.handle.net/2078.1/259523