LIDAM Discussion Papers LFIN - 2024
2024 / 06
Arnaud Germain, Frédéric Vrins
Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering
2024 / 05
Donatien Hainaut, Frédéric Vrins
European option pricing with model constrained Gaussian process regressions
2024 / 04
Rodolphe Vanderveken, Nathan Lassance, Frédéric Vrins
Optimal Portfolio Size under Parameter Uncertainty
2024 / 03
Zhaokun Cai, Zhenyu Cui, Nathan Lassance, Majeed Simaan
The Economic Value of Mean Squared Error: Evidence from Portfolio Selection
2024 / 02
Matteo Barbagli, Pascal François, Geneviève Gauthier, Frédéric Vrins
The role of CDS spreads in explaining bond recovery rates
2024 / 01
Bernardina Algieri, Kokulo Lawuobahsumo, Arturo Leccadito
Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets