Mathematical Finance

You will find below our recent publications in mathematical finance.


Journal Articles


1. Vrins, Frédéric; Mbaye, Cheikh. 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

2. Vrins, Frédéric; Sagna, Abass; Mbaye, Cheikh. A general firm-value model under partial information. In: The Journal of Computational Finance, (2022). (Accepté/Sous presse). http://hdl.handle.net/2078.1/259523

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

4. Vrins, Frédéric; Profeta, Christophe. 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; Jeanblanc, Monique. 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

6. Vrins, Frédéric; Damiano Brigo. 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. Vrins, Frédéric; Mbaye, Cheikh. 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

8. 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

9. 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; Vrins, Frédéric; Gauthier, Geneviève. 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. Vrins, Frédéric; Pagès, Gilles; Mbaye, Cheikh. 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

3. Brigo, Damiano; Vrins, Frédéric; Hvolby, Thomas. 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


Working Papers


1. Lassance, Nathan. Maximizing the Out-of-Sample Sharpe Ratio. 2021. 48 p. LIDAM Discussion Paper LFIN 2021/13. http://hdl.handle.net/2078.1/255449

2. Vrins, Frédéric; Wang, Linqi. Asymmetric short-rate model without lower bound. 2021. 36 p. LIDAM Discussion Paper LFIN 2021/06. http://hdl.handle.net/2078.1/249984

3. Lassance, Nathan; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. 2021. 52 p. LIDAM Discussion Paper LFIN 2021/05. http://hdl.handle.net/2078.1/249982

4. Vrins, Frédéric; Mbaye, Cheikh. Affine term-structure models: A time-changed approach with perfect fit to market curves. 2019. 55 p. LFIN Working Papers 2019/5. http://hdl.handle.net/2078.1/221793

5. Brea Solís, Humberto; Agrell, Per Joakim. Stationarity of heterogeneity in production technology using latent class modelling. 2015. 21 p. CORE Discussion Paper 2015/47. http://hdl.handle.net/2078.1/166436