Mathematical Finance

Working Papers

1. Mbaye, Cheikh; Sagna, Abass; Vrins, Frédéric. A general firm-value model under partial information. 2022. 27 p. LIDAM Discussion Paper LFIN 2022/09.

2. Leccadito, Arturo; Staino, Alessandro; Toscano, Pietro. A Novel Robust Method for Estimating the Covariance Matrix of Financial Returns with Applications to Risk Management. 2022. 38 p. LIDAM Discussion Paper LFIN 2022/11.

3. Vrins, Frédéric; Wang, Linqi. Asymmetric short-rate model without lower bound. 2021. 36 p. LIDAM Discussion Paper LFIN 2021/06.

4. Lassance, Nathan; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. 2021. 52 p. LIDAM Discussion Paper LFIN 2021/05.

5. Lassance, Nathan. Maximizing the Out-of-Sample Sharpe Ratio. 2021. 48 p. LIDAM Discussion Paper LFIN 2021/13.

6. Mbaye, Cheikh; Vrins, Frédéric. Affine term-structure models: A time-changed approach with perfect fit to market curves. 2019. 55 p. LFIN Working Papers 2019/5.

7. Agrell, Per Joakim; Brea Solís, Humberto. Stationarity of heterogeneity in production technology using latent class modelling. 2015. 21 p. CORE Discussion Paper 2015/47.