LSM
Chaussée de Binche 151/M1.01.01
7000 Mons
Frédéric Vrins
Professeur
Frédéric Vrins holds a Master’s degree in Electromechanical Engineering (specializing in mechatronics) from the École Polytechnique de Louvain (UCLouvain), where he also completed his PhD within the Machine Learning Group. He earned his doctorate in 2007, with his thesis focusing on adaptive signal processing and specifically on signal separation techniques with biomedical applications. His research particularly explored the filtering of fetal ECG signals from those of the mother, recorded externally using non-invasive techniques. Subsequently, Frédéric entered the banking sector, where he spent 7 years as a Front-Office Quant (Senior Expert), working in the trading room of a major European bank. He was responsible for developing mathematical pricing and hedging models related to credit-sensitive derivative products (CDS, CDO, CVA, etc.). Since 2014, he has been a full-time Professor of Quantitative Finance at the Louvain School of Management (UCLouvain), where he has coordinated the Financial Engineering major since its inception. He is a member of the Louvain Institute for Data Analysis and Modeling in Economics and Statistics (LIDAM) and is Chairman of the Louvain Finance research center (LFIN) since 2019.
Frédéric's main research area is mathematical finance (Stochastic Finance), with a focus on credit risk. He serves as an associate editor for several journals, notably Regards Economiques (the UCLouvain economists' journal), Risks, and Statistical Methods and Applications (the journal of the Italian Statistical Society). He is also an Adjunct Professor at EM Lyon (France) and an Affiliate Professor at HEC Montréal (Canada).
- Diploma
Year Label Educational Organization 1999 Candidat ingénieur civil Université catholique de Louvain 2002 Ingénieur civil électro-mécanicien Université catholique de Louvain 2005 Diplômé d'études approfondies en sciences appliquées Université catholique de Louvain 2007 Docteur en sciences appliquées Université catholique de Louvain
My centers of interest include
- stochastic models applied to the valuation and risk management of financial products
- credit risk, counterparty risk
- information theory & portfolio optimlization
- stochastic processes
My research has been published in leading journals, including IEEE Transactions on Signal Processing, IEEE Transactions on Information Theory, Operations Research, European Journal of Operational Research, Mathematical Fnance, Quantitative Finance, Journal of Banking and Finance, Journal of Business & Economic Statistics
2024
Lassance, Nathan ; Vanderveken, Rodolphe ; Vrins, Frédéric. On the Combination of Naive and Mean-Variance Portfolio Strategies. In: Journal of Business and Economic Statistics, Vol. 42, no. 3, p. 875-889 (2024).
2023
Barbagli, Matteo ; Vrins, Frédéric. Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. In: Economic Modelling, Vol. 125, p. 106321 (2023). doi:10.1016/j.econmod.2023.106321.
2023
Vrins, Frédéric ; Wang, Linqi. Asymmetric short-rate model without lower bound. In: Quantitative Finance, Vol. 23, no.2, p. 279-295 (2023). doi:10.1080/14697688.2022.2156384.
2023
Lassance, Nathan ; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. In: European Journal of Operational Research, Vol. 310, no. 1, p. 302-314 (2023). doi:10.1016/j.ejor.2023.02.014.
2023
Vrins, Frédéric. SVB, Crédit Suisse, ... au suivant ?. In: Regards économiques, Vol. Focus, no. 30 (2023). doi:10.14428/regardseco2023.03.30.01.
2022
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.
2022
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.
2022
Gambetti , Paolo ; Roccazzella, Francesco ; Vrins, Frédéric. Meta-Learning Approaches for Recovery Rate Prediction. In: Risks, Vol. 10, no.6, p. 124 (2022). doi:10.3390/risks10060124.
2022
Roccazzella, Francesco ; Gambetti, Paolo ; Vrins, Frédéric. Optimal and robust combination of forecasts via constrained optimization and shrinkage. In: International Journal of Forecasting, Vol. 38, no. 1, p. 97-116 (2022). doi:10.1016/j.ijforecast.2021.04.002.
2022
Lassance, Nathan ; Vrins, Frédéric ; DeMiguel, Victor. Optimal portfolio diversification via independent component analysis. In: Operations Research, Vol. 70, no. 1, p. 55-72 (2022). doi:10.1287/opre.2021.2140.
2021
Herr, Donovan ; Clausse, Emilien ; Vrins, Frédéric. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?. In: Revue Bancaire et Financière, Vol. 3, p. 138-148 (2021).
2021
Lassance, Nathan ; Vrins, Frédéric. Minimum Rényi entropy portfolios. In: Annals of Operations Research, Vol. 299, p. 23–46 (2021). doi:10.1007/s10479-019-03364-2.
2020
Bellotti, Anthony ; Brigo, Damiano ; Gambetti, Paolo ; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning. In: International Journal of Forecasting, Vol. 37, no. 1, p. 428-444.
2020
Brigo, Damiano ; Jeanblanc, Monique ; Vrins, Frédéric. SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions. In: Stochastic Processes and Their Applications, Vol. 130, no. 7, p. 3895-3919 (2020). doi:10.1016/j.spa.2019.11.003.
2019
Vrins, Frédéric. Advances in Credit Risk Modeling and Management. In: Risks, (2019).
2019
Profeta, Christophe ; Vrins, Frédéric. Piecewise constant martingales and lazy clocks. In: Probability, Uncertainty and Quantitative Risk, Vol. 4, no. 2 (2019). doi:10.1186/s41546-019-0036-4.
2019
Gambetti, Paolo ; Gauthier, Geneviève ; Vrins, Frédéric. Recovery rates: Uncertainty certainly matters. In: Journal of Banking & Finance, Vol. 106, no.9, p. 371-383 (2019). doi:10.1016/j.jbankfin.2019.07.010.
2018
Lassance, Nathan ; Vrins, Frédéric. A Comparison of Pricing and Hedging Performances of Equity Derivatives Models. In: Applied Economics, Vol. 50, no. 10, p. 1122-1137 (2018). doi:10.1080/00036846.2017.1352080.
2018
Mbaye, Cheikh ; Vrins, Frédéric. A subordinated CIR intensity model with application to wrong-way risk CVA. In: International Journal of Theoretical and Applied Finance, Vol. 21, no.7, p. 22 (2018). doi:10.1142/s0219024918500450.
2018
Vrins, Frédéric. Bannissement des produits dérivés: la bonne affaire ?. In: Regards économiques, no. 142, p. 1-15 (2018).
2018
Jeanblanc, Monique ; Vrins, Frédéric. Conic martingales from Stochastic integrals. In: Mathematical Finance, Vol. 28, no. 2, p. 516-535. doi:10.1111/mafi.12147.
2018
Vrins, Frédéric. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures, collab. Damiano Brigo. In: European Journal of Operational Research, Vol. 269, p. 1154-1164 (2018).
2018
Vrins, Frédéric ; Petitjean, Mikael. Extreme events and the cumulative distribution of net gains in gambling and structured products. In: Applied Economics, Vol. 50, no. 58, p. 6285-6300 (2018). doi:10.1080/00036846.2018.1489514.
2018
Vrins, Frédéric. Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint. In: Risks, Vol. 6, no. 3, p. 64 (2018). doi:10.3390/risks6030064.
2017
Vrins, Frédéric. Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics. In: International Journal of Theoretical and Applied Finance, Vol. 20, no. 7:1750045 (2017).
2016
Vrins, Frédéric. Characteristic Function of Time-Inhomogeneous Lévy-Driven Ornstein-Uhlenbeck Processes. In: Statistics & Probability Letters, Vol. 116, no.2016, p. 55-61 (14/5/2016). doi:10.1016/j.spl.2016.04.013.
2015
Vrins, Frédéric. Lose for Life. In: La Libre Belgique, Vol. 0, no.0, p. 48-49 (27/7/2015).
2013
Vrins, Frédéric. Sibuya copulas, collab. Hofert, Marius. In: Journal of Multivariate Analysis, Vol. 114, p. 318-337 (2013). doi:10.1016/j.jmva.2012.08.007.
2011
Vrins, Frédéric. Getting CVA up and running, collab. Gregory, Jon. In: Risk Magazine, p. 76-79 (November 2011).
2010
Vrins, Frédéric. Analytical Pricing of Basket Default Swaps in a Dynamic Hull & White Framework. In: The Journal of Credit Risk, Vol. 6, no.4, p. 85-111 (Winter 2010/2011).
2010
Vrins, Frédéric. On the Consistency of "European Proxy" of Structural Models for Credit Derivatives. In: Wilmott Journal, Vol. 2, no. 5, p. 247-260 (October 2010). doi:10.1002/wilj.44.
2009
Vrins, Frédéric ; Schoutens, Wim. Credit default swaps: the quest of the hedge. In: Wilmott Journal, Vol. 1, no.5-6, p. 245-253 (2009). doi:10.1002/wilj.21.
2009
Vrins, Frédéric. Double t Copula Pricing of Structured Credit Products : Practical Aspects of a Trustworthy Implementation. In: The Journal of Credit Risk, Vol. 5, no.2, p. 91-109 (Fall 2009).
2008
Lee, John Aldo ; Vrins, Frédéric ; Verleysen, Michel. Blind source separation based on endpoint estimation with application to the MLSP 2006 data competition. In: Neurocomputing, Vol. 72, no. 1-3, p. 47-56 (2008). doi:10.1016/j.neucom.2007.12.047.
2008
Pham, Dinh-Tuan ; Vrins, Frédéric ; Verleysen, Michel. On the risk of using Renyi's entropy for blind source separation. In: IEEE Transactions on Signal Processing, Vol. 56, no. 10, p. 4611-4620. doi:10.1109/TSP.2008.928109.
2007
Vrins, Frédéric ; Lee, John Aldo ; Verleysen, Michel. A minimum-range approach to blind extraction of bounded sources.. In: IEEE Transactions on Neural Networks, Vol. 18, no. 3, p. 809-822 (2007). doi:10.1109/TNN.2006.889941.
2007
Vrins, Frédéric ; Pham, Dinh-Tuan. Minimum range approach to blind partial simultaneous separation of bounded sources: Contrast and discriminacy properties. In: Neurocomputing, Vol. 70, no. 7-9, p. 1207-1214 (2007). doi:10.1016/j.neucom.2006.11.011.
2007
Vrins, Frédéric ; Pham, Dinh-Tuan ; Verleysen, Michel. Mixing and non-mixing local minima of the entropy contrast for blind source separation. In: IEEE Transactions on Information Theory, Vol. 53, no. 3, p. 1030-1042 (2007). doi:10.1109/TIT.2006.890716.
2006
De Vroey, Laurent ; Vrins, Frédéric ; Labrique, Francis ; Trullemans, Charles ; Eugène, Christian ; Grenier, Damien. Apprentissage par projet en électricité : exemples et mise en oeuvre. In: J3eA - Journal sur l'enseignement des sciences et technologies de l'information et des systèmes, , no. 5, p. 23 pages (2006). doi:10.1051/j3ea:2006020.
2005
Vrins, Frédéric ; Verleysen, Michel. Information theoretic versus cumulant-based contrasts for multimodal source separation. In: IEEE Signal Processing Letters, Vol. 12, no. 3, p. 190-193 (Mars 2005). doi:10.1109/LSP.2004.840863.
2005
Pham, Dinh-Tuan ; Vrins, Frédéric. Local minima of information-theoretic criteria in blind source separation. In: IEEE Signal Processing Letters, Vol. 12, no. 11, p. 788-791 (2005). doi:10.1109/LSP.2005.856868.
2005
Vrins, Frédéric ; Verleysen, Michel. On the entropy minimization of a linear mixture of variables for source separation. In: Signal Processing, Vol. 85, no. 5, p. 1029-1044 (2005). doi:10.1016/j.sigpro.2004.11.026.
2020
Vrins, Frédéric. Advances in Credit Risk Modeling and Management (RISKS), MDPI: Basel, 2020. 978-3-03928-761-1. 177 p.
2018
Vrins, Frédéric ; Chevalier, Philippe. Jeu de hasard en Belgique: la modélisation mathématique au service de la transparence. In: Alain Strowel, Denis Philippe, Geneviève Schamps, Droit des jeux de hasard, Larcier, 2018, p. 199-215. 9782807906006.
2018
Gambetti, Paolo ; Gauthier, Geneviève ; Vrins, Frédéric. 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.), New Methods in Fixed Income Modeling, Springer International: USA, 2018, p. 181-203. 978-3-030-07008-3 / 978-3-319-95284-0.
2017
Mbaye, Cheikh ; Pagès, Gilles ; Vrins, Frédéric. An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDES. In: Dimov, Ivan and Faragó, István and Vulkov, Lubin (eds.), Numerical Analysis and its Applications (Lecture Notes in Computer Science; 10187), Springer: Cham, 2017, p. 482--491. 978-3-319-57099-0. doi:10.1007/978-3-319-57099-0_54.
2017
Brigo, Damiano ; Hvolby, Thomas ; Vrins, Frédéric. Wrong-way risk adjusted exposure: Analytical approximations for options in default intensity models. In: Glau Kathrin, Linders Daniël, Min Aleksey, Scherer Matthias, Zagst Rudi, Innovations in Insurance, Risk- and Asset Management, Springer: Berlin, 2017 (Accepté/Sous presse).
2007
Vrins, Frédéric ; Dinh-Tuan Pham ; Verleysen, Michel. Is the general form of Renyi's entropy a contrast for source separation?. In: Davies, M.E.; James, C.; Davies, M.; Abdallah, S.; Plumbley, M., Independent Component Analysis and Signal Separation, ICA 2007 (Lecture Notes in Computer Science; 4666), Springer: Berlin-Heidelberg, 2007, 129-136. 3-540-74493-2.
2006
Vrins, Frédéric ; Verleysen, Michel. Minimum support ICA using order statistics. Part I: Quasi-range based support estimation. In: J. Rosca, D. Erdogmus, J. Principe and S. Haykin, Independent Component Analysis and Blind Signal Sepration, ICA 2006 (Lecture Notes in Computer Sciences; 3889), Springer-Verlag: Berlin-Heidelberg, 2006, 262-269. 3-540-32630-8. doi:10.1007/11679363_33.
2006
Vrins, Frédéric ; Verleysen, Michel. Minimum support ICA using order statistics. Part II: Performance analysis. In: J. Rosca, D. Erdogmus, J. Principe and S. Haykin, Independent Component Analysis and Blind Signal Sepration, ICA 2006 (Lecture Notes in Computer Sciences; 3889), Springer-Verlag: Berlin-Heidelberg, 2006, 270-277. 3-540-32630-8. doi:10.1007/11679363_34.
2006
Vrins, Frédéric ; Erdogmus, D ; Jutten, Christian ; Verleysen, Michel. Zero-entropy minimization for blind extraction of bounded sources (BEBS). In: J. Rosca, D. Erdogmus, J. Principe and S. Haykin, Independent Component Analysis and Blind Signal Sepration, ICA 2006 (Lecture Notes in Computer Sciences; 3889), Springer-Verlag: Berlin-Heidelberg, 2006, 747-754. 3-540-32630-8. doi:10.1007/11679363_93.
2005
Vrins, Frédéric ; Lee, John Aldo ; Verleysen, Michel. Filtering-free blind separation of correlated images. In: J. Canestany, A. Prieto, F. Sandoval, Computational Intelligence and Bioinspired Systems, IWANN 2005 (Lecture Notes in Computer Sciences; 3512), Springer-verlag Berlin: Berlin, 2005, 1091-1099. 3-540-26208-3.
2004
Vrins, Frédéric ; Jutten, Christian ; Verleysen, Michel. Sensor array and electrode selection for non-invasive fetal electrocardiogram extraction by independent component analysis. In: G. Puntonet, A. Prieto, Independent Component Analysis and Blind Signal Separation, ICA 2004 (Lecture Notes in Computer Sciences; 3195), Springer-Verlag: Berlin-Heidelberg, 2004, 1017-1024. 3-540-23056-4.
2023
Vanderveken, Rodolphe ; Vrins, Frédéric ; Lassance, Nathan. On the Combination of Naive and Mean-Variance Portfolio Strategies. AF MATH 2023 (Brussels, du 09/02/2023 au 10/02/2023).
2023
Vanderveken, Rodolphe ; Vrins, Frédéric ; Lassance, Nathan. On the Combination of Naive and Mean-Variance Portfolio Strategies. BFRF 2023 (Belgian Financial Research Forum) (Brussels, du 20/04/2023 au 21/04/2023).
2022
Vrins, Frédéric ; Vanderveken, Rodolphe ; Lassance, Nathan. On the optimal combination and mean-variance strategies. IFABS2022 (International Finance and Banking Society) (Naples, Italie, du 07/09/2022 au 09/09/2022).
2022
Vanderveken, Rodolphe ; Lassance, Nathan ; Vrins, Frédéric. On the optimal combination of naive and mean-variance portfolio strategies. CFE2022 (International Conference on Computational and Financial Econometrics) (Londres, du 17/12/2022 au 19/12/2022).
2021
Lassance, Nathan ; Vrins, Frédéric. Portfolio selection with parsimonious higher comoments estimation. 37th International Conference of the French Finance Association (AFFI) (virtual, du 26/05/2021 au 28/05/2021). In: Journal of Banking and Finance, Vol. 126, p. 106115 (2021). doi:10.1016/j.jbankfin.2021.106115.
2020
Lassance, Nathan ; DeMiguel, Victor ; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis. Wolfe 3rd Annual Virtual QES European Quant and Macro Investing Conference (London (virtual because of COVID-19), 15/06/2020).
2020
Lassance, Nathan ; Vrins, Frédéric. Portfolio selection: A target-distribution approach. Actuarial and Financial Mathematics Conference (Brussels, du 06/02/2020 au 07/02/2020).
2019
Mbaye, Cheikh ; Vrins, Frédéric. Fitting default intensity models to market curves: a time change approach. Quantitative Finance and Risk Analysis (QFRA) (Kos (Greece), du 26/06/2019 au 29/06/2019).
2019
Bellotti, Anthony ; Brigo, Damiano ; Gambetti, Paolo ; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning. Credit Scoring and Credit Control Conference XVI (Edinburgh, du 28/08/2019 au 30/08/2019).
2019
Lassance, Nathan ; DeMiguel, Victor ; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis. Actuarial and Financial Mathematics Conference (Brussels, du 07/02/2019 au 08/02/2019).
2019
Lassance, Nathan ; Vrins, Frédéric. Portfolio selection: A target-distribution approach. 7th Paris Financial Management Conference (Paris, du 16/12/2019 au 18/12/2019).
2018
Vrins, Frédéric. A Dynamic Stochastic Recovery Rate Model With Applications to Credit Derivatives Pricing. Quantitative Finance and Risk Analysis (QFRA) (Mykonos (Grece), du 07/06/2018 au 08/06/2018).
2018
Lassance, Nathan ; Vrins, Frédéric. Minimum Rényi Entropy Portfolios. Belgian Financial Research Forum (Brussels, 01/06/2018).
2018
Lassance, Nathan ; Vrins, Frédéric. Minimum Rényi Entropy Portfolios. Actuarial and Financial Mathematics Conference (Brussels, du 08/02/2018 au 09/02/2018).
2018
Lassance, Nathan ; Vrins, Frédéric. Minimum Rényi Entropy Portfolios. 35th Annual Conference of the French Finance Association (AFFI) (Paris, du 22/05/2018 au 24/05/2018).
2018
Lassance, Nathan ; DeMiguel, Victor ; Vrins, Frédéric. Optimal Portfolio Diversification via Independent Component Analysis. 2018 INFORMS Annual Meeting (Phoenix, Arizona, du 04/11/2018 au 07/11/2018).
2018
Mbaye, Cheikh ; Vrins, Frédéric. Time-changed affine models: fitting interest-rates and CDS term-structures without shift. 10th world congress of the Bachelier Finance Society (Dublin).
2018
Vrins, Frédéric. Wrong-way risk via change of measure : theory, implementation and performance analysis. Actuarial and Financial Mathematics conference (Brussels, du 08/02/2018 au 09/02/2018).
2017
Mbaye, Cheikh ; Vrins, Frédéric. A subordinated CIR model for CVA with wrong-way risk. 2nd International Conference on Computational Finance 2017 (Lisbon, Portugal, du 04/09/2017 au 08/09/2017). In: International Journal of Theoretical and Applied Finance, Vol. 21, no. 7, p. 1850045 (2018). In: Proceedings of the 2nd International Conference on Computational Finance - ICCF 2017, World Scientific, 2017.
2017
Vrins, Frédéric. CVA wrong way risk via change of measure : actuarial vs risk-neutral pricing. Innovatios in Insurance, Risk- and Asset Management (Munich, Germany, du 05/04/2017 au 07/04/2017).
2015
Vrins, Frédéric ; Jeanblanc, Monique. The Phi-martingale. International Actuarial Association Colloquium (Oslo, Norway, du 07/06/2015 au 10/06/2015).
2014
Vrins, Frédéric. Conic Martingales. 8th world congress of the Bachelier Finance Society (Brussels, Belgium, du 02/06/2014 au 06/06/2014).
2014
Vrins, Frédéric ; Willemen, Jan. Positive default intensities. 8th world congress of the Bachelier Finance Society (Brussels, Belgium, du 02/06/2014 au 06/06/2014).
2006
Lee, John Aldo ; Vrins, Frédéric ; Verleysen, Michel. A least absolute bound approach to ICA: application to the MLSP 2006 competition. IEEE International Workshop on Machine Learning for Signal Processing (MLSP 2006) (Maynooth, Ireland, du 06/09/2006 au 08/09/2006). In: Proceedings of the IEEE International Workshop on Machine Learning for Signal Processing, IEEE, 2006. 1-4244-0657-9, 41-46.
2006
Vrins, Frédéric ; Pham, Dinh-Tuan. Discriminacy of the minimum range approach to blind separation of bounded sources.. 14th European Symposium on Artificial Neural Networs (ESANN 2006) (Bruges, Belgium). In: Proceedings of the 14th European Symposium on Artificial Neural Networs (ESANN 2006), d-side, 2006. 2-930307-06-4, p. 377-382.
2006
Sameni, R. ; Vrins, Frédéric ; Parmentier, F. ; Vigneron, Vincent ; Verleysen, Michel ; Jutten, Christian ; Shamsollahi, M.B. ; Hérail, C.. Electrode Selection for Noninvasive Fetal Electrocardiogram Extraction using Mutual Information Criteria. 26th International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering (MaxEnt 2006) (CNRS (Paris/France), du 08/07/2006 au 13/07/2006). In: Proceedings of MaxEnt 2006, 2006.
2006
Lee, John Aldo ; Vrins, Frédéric ; Verleysen, Michel. Non-Orthogonal Support-Width ICA. 14th European Symposium on Artificial Neural Networks (ESANN 2006) (Bruges (Belgium), du 26/04/2006 au 28/04/2006). In: Proceedings the 14th European Symposium on Artificial Neural Networks (ESANN 2006), D-side, 2006. 2-930307-06-4, p. 351-358.
2005
Lee, John Aldo ; Vrins, Frédéric ; Verleysen, Michel. A simple ICA algorithm for non-differentiable contrasts. 13th European Signal Processing Conference (EUSIPCO 2005) (Antalya (Turkey), du 04/09/2005 au 08/09/2005). In: Proceedings of EUSIPCO 2005, 2005, 1412: 1-4.
2005
Vrins, Frédéric ; Lee, John Aldo ; Verleysen, Michel. Can we always trust entropy minima in the ICA context ?. 13th European Signal Processing Conference (EUSIPCO 2005) (Antalya, Turkey, du 04/09/2005 au 08/09/2005). In: Proceedings of EUSIPCO 2005, 2005, 1107: 1-4.
2005
Vrins, Frédéric ; Verleysen, Michel ; Jutten, Christian. SWM : a class of convex contrasts for source separation. IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP 2005) (Philadelphia, PA, USA, du 18/03/2005 au 23/03/2005). In: IEEE International Conference on Acoustics, Speech, and SignalProcessing (ICASSP 2005), IEEE, 2005. 0-7803-8874-7, Vol. 5, p. 16:1-4.
2005
Pham, Dinh-Tuan ; Vrins, Frédéric ; Verleysen, Michel. Spurious entropy minima for multimodal source separation. 8th International Symposium on Signal Processing and its Applications (ISSPA 2005) (Sydney, Australia, du 28/08/2005 au 31/08/2005). In: Proceedings of ISSPA 2005, 2005, 37-40.
2004
Vrins, Frédéric ; Vigneron, Vincent ; Jutten, Christian ; Verleysen, Michel. Abdominal electrodes analysis by statistical processing for fetal eletrocardiogram extraction. Second IASTED International Conference on Biomedical Engineering (BIOMED 2004) (Innsbruck, Austria, du 16/02/2004 au 18/02/2004). In: Proceedings of the Second IASTED International Conference on Biomedical Engineering ( BIOMED), 2004, p. 244-249.
2004
Vrins, Frédéric ; Archambeau, Cédric ; Verleysen, Michel. Entropy Minima and Distribution Structural Modifications in Blind Separation of Multimodal Sources. 24th International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering (MaxEnt 2004) (Garching/Munich, Germany, du 25/07/2004 au 30/07/2004). In: Proceedings of MaxEnt 2004, American Institute of Physics, 2004, 589-596.
2004
Archambeau, Cédric ; Vrins, Frédéric ; Verleysen, Michel. Flexible and Robust Bayesian Classification by Finite Mixture Models. ESANN 2004, European Symposium on Artificial Neural Networks (Bruges (Belgium), du 28/04/2004 au 30/04/2004). In: Proceedings of ESANN 2004, European Symposium on Artificial Neural Networks, 2004, p. 75-80.
2004
Vrins, Frédéric ; Bouillon, V. ; Deswert, J. ; Bouvy, D. ; Lee, John Aldo ; Eugène, Christian ; Verleysen, Michel. On the extraction of the snore acoustic signal by independent component analysis. Second IASTED International Conference on Biomedical Engineering (BIOMED 2004) (Innsbruck (Austria), du 16/02/2004 au 18/02/2004). In: Proceedings of the Second IASTED International Conference on Biomedical Engineering ( BIOMED), 2004, p. 326-331.
2004
Vrins, Frédéric ; Archambeau, Cédric ; Verleysen, Michel. Towards a Local Separation Performances Estimator Using Common ICA Contrast Functions ?. European Symposium on Artificial Neural Networks (ESANN 2004) (Bruges, Belgium, du 28/04/2004 au 30/04/2004). In: Proceedings of ESANN 2004, 2004, 211-216.
2003
Vrins, Frédéric ; De Vroey, Laurent ; Labrique, Francis ; Trullemans, Charles. Apprentissage par projet en électricité (partie 1): Conception et réalisation d’un système de filoguidage électromagnétique. CETSIS-EEA (Toulouse). In: Actes du colloque cetsis-eea, 2003. 0, p. 431-434.
2003
Vrins, Frédéric ; Lee, John Aldo ; Verleysen, Michel ; Vigneron, Vincent ; Jutten, Christian. Improving independent component analysis performances by variable selection. 2003 IEEE XIII Workshop on Neural Networks for Signal Processing (NNSP 2003) (Toulouse (France), du 17/09/2003 au 19/09/2003). In: 2003 IEEE XIII Workshop on Neural Networks for Signal Processing (IEEECat. No.03TH8718), IEEE, 2003. 0-7803-8177-7, p. 359-368.
2007
Vrins, Frédéric. Contrast properties of entropic criteria for blind source separation : a unifying framework based on information-theoretic inequalities/, prom. : Verleysen, Michel, 2007-03-02.
2024
Germain, Arnaud ; Vrins, Frédéric. Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering (LIDAM Discussion Paper LFIN; 2024/06), 2024. 41 p.
2024
Hainaut, Donatien ; Vrins, Frédéric. European option pricing with model constrained Gaussian process regressions (LIDAM Discussion Paper ISBA LIDAM Discussion Paper LFIN; 2024/21 2024/05), 2024. 27 p.
2024
Vanderveken, Rodolphe ; Lassance, Nathan ; Vrins, Frédéric. Optimal Portfolio Size under Parameter Uncertainty (LIDAM Discussion Paper LFIN; 2024/04), 2024. 80 p.
2024
Barbagli, Matteo ; François, Pascal ; Gauthier, Geneviève ; Vrins, Frédéric. The role of CDS spreads in explaining bond recovery rates (LIDAM Discussion Paper LFIN; 2024/02), 2024. 38 p.
2023
Distaso, Walter ; Roccazzella, Francesco ; Vrins, Frédéric. Business cycle and realized losses in the consumer credit industry (LIDAM Discussion Paper LFIN; 2023/07), 2023. 36 p.
2022
Mbaye, Cheikh ; Sagna, Abass ; Vrins, Frédéric. A general firm-value model under partial information (LIDAM Discussion Paper LFIN; 2022/09), 2022. 27 p.
2022
Lassance, Nathan ; Vanderveken, Rodolphe ; Vrins, Frédéric. On the optimal combination of naive and mean-variance portfolio strategies (LIDAM Discussion Paper LFIN; 2022/06), 2022. 86 p.
2021
Vrins, Frédéric ; Wang, Linqi. Asymmetric short-rate model without lower bound (LIDAM Discussion Paper LFIN; 2021/06), 2021. 36 p.
2021
Barbagli, Matteo ; Vrins, Frédéric. Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default (LIDAM Discussion Paper LFIN; 2021/09), 2021. 40 p.
2021
Herr, Donovan ; Clausse, Emilien ; Vrins, Frédéric. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? (LIDAM Discussion Paper LFIN; 2021/12), 2021. 24 p.
2021
DeMiguel, Victor ; Lassance, Nathan ; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis (LIDAM Discussion Paper LFIN; 2021/14), 2021. 56 p.
2021
Lassance, Nathan ; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach (LIDAM Discussion Paper LFIN; 2021/05), 2021. 52 p.
2020
Bellotti, Anthony ; Brigo, Damiano ; Gambetti, Paolo ; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning (LFIN Working Paper; 2020/02), 2020. 36 p.
2020
Gambetti, Paolo ; Roccazzella, Francesco ; Vrins, Frédéric. Meta-learning approaches for recovery rate prediction (LFIN Working Paper; 2020/07), 2020. 30 p.
2020
Roccazzella, Francesco ; Gambetti, Paolo ; Vrins, Frédéric. Optimal and robust combination of forecasts via constrained optimization and shrinkage (LFIN Working Paper; 2020/06), 2020. 29 p.
2019
Mbaye, Cheikh ; Vrins, Frédéric. Affine term-structure models: A time-changed approach with perfect fit to market curves (LFIN Working Papers; 2019/5), 2019. 55 p.
2019
Lassance, Nathan ; Vrins, Frédéric. Minimum Rényi entropy portfolios (CORE Discussion Paper; 2019/01), 2019. 33 p.
2019
Lassance, Nathan ; Vrins, Frédéric. Robust portfolio selection using sparse estimation of comoment tensors (LFIN Working Paper; 2020/03), 2019. 25 p.
2017
Profeta, Christophe ; Vrins, Frédéric. Piecewise constant martingales and lazy clocks (CORE Discussion Paper; 2017/31), 2017. 18 p.
2016
Brigo, Damiano ; Jeanblanc, Monique ; Vrins, Frédéric. SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions (CORE Discussion Paper; 2016/46), 2016. 16 p.
2016
Petitjean, Mikael ; Vrins, Frédéric. Win or Lose for Life ? Regards croisés sur les jeux de hasard et les produits structurés (ILSM; 2016/18), 2016. 34 p.
2015
Vrins, Frédéric ; Jeanblanc, Monique. The Φ-Martingale (CORE Discussion Paper; 2015/22), 2015. 31 p.