Mathematical Finance


Journal Articles


1. Vrins, Frédéric. Advances in Credit Risk Modeling and Management. In: Risks, (2019). http://hdl.handle.net/2078.1/215467

2. Profeta, Christophe; Vrins, Frédéric. Piecewise constant martingales and lazy clocks. In: Probability, Uncertainty and Quantitative Risk, Vol. 4, no. 2 (2019) (2019). http://hdl.handle.net/2078.1/211213

3. Damiano Brigo; Vrins, Frédéric. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. In: European Journal of Operational Research, Vol. 269, p. 1154-1164 (2018). http://hdl.handle.net/2078.1/196286

4. 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. http://hdl.handle.net/2078.1/204500

5. 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. http://hdl.handle.net/2078.1/186376

6. 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). http://hdl.handle.net/2078.1/187277


Book Chapters


1. Gambetti, Paolo; Gauthier, Geneviève; Vrins, Frédéric. Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products. In: New Methods in Fixed Income Modeling , Springer International: USA, 2018. http://hdl.handle.net/2078.1/196189

2. Mbaye, Cheikh; Pagès, Gilles; Vrins, Frédéric. An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDES. In: Numerical Analysis and its Applications (Lecture Notes in Computer Science; xxx), Springer: Cham, 2017, p. 482--491. 978-3-319-57099-0. doi:10.1007/978-3-319-57099-0_54. http://hdl.handle.net/2078.1/184499

3. Brigo, Damiano; Hvolby, Thomas; Vrins, Frédéric. Wrong-way risk adjusted exposure: Analytical approximations for options in default intensity models. In: Innovations in Insurance, Risk- and Asset Management , Springer: Berlin, 2017. http://hdl.handle.net/2078.1/190154


Working Papers


1. Mbaye, Cheikh; Vrins, Frédéric. Affine term-structure models: A time-changed approach with perfect fit to market curves (xxx), 2019. 55 p. http://hdl.handle.net/2078.1/221793