Mathematical Finance
lfin |
-
-
2026Vrins, F. (2026). On the distribution of the integral of a function with respect to a Brownian bridge. Journal of Computational and Applied Mathematics, 477, 117-174. https://hdl.handle.net/2078.5/272953 (Original work published 2026)
-
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)
-
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)
-
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)
-
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)
-
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)
-
Vrins, F. (2019). Advances in Credit Risk Modeling and Management. Risks. Published. https://hdl.handle.net/2078.5/123633 (Original work published 2019)
-
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)
-
Vrins, F. (2018). Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. European Journal of Operational Research, 269, 1154-1164. https://hdl.handle.net/2078.5/172657 (Original work published 2018)
-
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)
-
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)
-
2017Vrins, F. (2017). Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics. International Journal of Theoretical and Applied Finance, 20(7:1750045). https://hdl.handle.net/2078.5/176281 (Original work published 2017)
-
-
-
2018Gambetti, P., Gauthier, G., & Vrins, F. (2018). Stochastic recovery rate: Impact of pricing measure’s choice and financial consequences on single-name products. In M. Mili, R. Samaniego Medina, F. di Pietro (eds.) (ed.), New Methods in Fixed Income Modeling (p. p. 181-203). Springer International. https://hdl.handle.net/2078.5/225505
-
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
-
Brigo, D., Hvolby, T., & Vrins, F. (2017). Wrong-way risk adjusted exposure: Analytical approximations for options in default intensity models. In Glau Kathrin, Linders Daniël, Min Aleksey, Scherer Matthias, Zagst Rudi (ed.), Innovations in Insurance, Risk- and Asset Management. Springer. https://hdl.handle.net/2078.5/175378
-