Mathematical Finance

Vrins, 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. (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)

Kan, 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)

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)

Mbaye, 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)