Mathematical Finance
lfin |
Journal Articles
1. Vrins, Frédéric. On the distribution of the integral of a function with respect to a Brownian bridge. In: Journal of Computational and Applied Mathematics, Vol. 477, p. 117174 (2026). http://hdl.handle.net/2078.1/307212
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, Vol. 329, no. 1, p. 180-197 (2026). doi:10.1016/j.ejor.2025.09.043. http://hdl.handle.net/2078.1/306066
3. Kan, Raymond; Lassance, Nathan. Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty. In: Journal of Financial and Quantitative Analysis, Vol. 60, no. 8, p. 3753-3790 (2025). http://hdl.handle.net/2078.1/293928
4. 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
5. 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