Journal Articles
1. Kan, Raymond; Lassance, Nathan.
Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty. In:
Journal of Financial and Quantitative Analysis, (2024). (Accepté/Sous presse).
http://hdl.handle.net/2078.1/293928
2. 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.
http://hdl.handle.net/2078.1/254447
3. 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.
http://hdl.handle.net/2078.1/259523
4. 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.
http://hdl.handle.net/2078.1/211213
5. Vrins, Frédéric.
Advances in Credit Risk Modeling and Management. In:
Risks, (2019).
http://hdl.handle.net/2078.1/215467
6. 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
7. 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
8. 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
9. Jeanblanc, Monique; Vrins, Frédéric.
Conic martingales from Stochastic integrals. In:
Mathematical Finance, Vol. 28, no. 2, p. 516-535. doi:10.1111/mafi.12147.
http://hdl.handle.net/2078.1/176590
10. 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, p. 181-203. 978-3-030-07008-3 / 978-3-319-95284-0. xxx xxx.
http://hdl.handle.net/2078.1/196189
2. 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.
http://hdl.handle.net/2078.1/190154
3. 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.
http://hdl.handle.net/2078.1/184499
