Mathematical Finance

Journal Articles

1. 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.

2. Vrins, Frédéric. Advances in Credit Risk Modeling and Management. In: Risks, (2019).

3. Jeanblanc, Monique; Vrins, Frédéric. Conic martingales from Stochastic integrals. In: Mathematical Finance, Vol. 28, no. 2, p. 516-535. doi:10.1111/mafi.12147.

4. 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).

5. 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.

6. 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.

7. 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).

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. xxx xxx.

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. xxx xxx. doi:10.1007/978-3-319-57099-0_54.

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. xxx xxx.

Working Papers

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

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

3. 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.

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