Mathematical Finance
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2026
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Vrins, F. (2026). Joint pricing of default-free and defaultable claims in a reduced-form model featuring a martingale part. European Journal of Operational Research, 329(1), 180-197. https://doi.org/10.1016/j.ejor.2025.09.043 (Original work published 2026)
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2025Kan, R., & Lassance, N. (2025). Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty. Journal of Financial and Quantitative Analysis, 60(8), 3753-3790. (Original work published 2025)
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2022Mbaye, C., Sagna, A., & Vrins, F. (2022). A general firm value model under partial information. The Journal of Computational Finance, 26(1). https://doi.org/10.21314/JCF.2022.020 (Original work published 2022)
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Mbaye, C., & Vrins, F. (2022). Affine term structure models: a time-change approach with perfect fit to market curves. Mathematical Finance, 32(2), 678-724. https://doi.org/10.1111/mafi.12342 (Original work published 2022)
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2019Profeta, C., & Vrins, F. (2019). Piecewise constant martingales and lazy clocks. Probability, Uncertainty and Quantitative Risk, 4(2). https://doi.org/10.1186/s41546-019-0036-4 (Original work published 2019)
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2018Lassance, N., & Vrins, F. (2018). A Comparison of Pricing and Hedging Performances of Equity Derivatives Models. Applied Economics, 50(10), 1122-1137. https://doi.org/10.1080/00036846.2017.1352080 (Original work published 2018)
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Mbaye, C., & Vrins, F. (2018). A subordinated CIR intensity model with application to wrong-way risk CVA. International Journal of Theoretical and Applied Finance, 21(7), 22. https://doi.org/10.1142/s0219024918500450 (Original work published 2018)
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Jeanblanc, M., & Vrins, F. (2018). Conic martingales from Stochastic integrals. Mathematical Finance, 28(2), 516-535. https://doi.org/10.1111/mafi.12147 (Original work published 2018)
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2017
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2018
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2017Mbaye, C., Pagès, G., & Vrins, F. (2017). An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDES. In Dimov, Ivan and Faragó, István and Vulkov, Lubin (eds.) (ed.), Numerical Analysis and its Applications (p. p. 482--491). Springer. https://doi.org/10.1007/978-3-319-57099-0_54
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