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- Frédéric Vrins
Frédéric Vrins
Professeur
Frédéric Vrins est titulaire d'un master Ingénieur Civil électro-mécanicien (orientation mécatronique) délivré par l’École Polytechnique de Louvain (UCLouvain). Il y réalise également son doctorat, évoluant au sein du Machine Learning Group. Il obtient son PhD en 2007. Sa thèse porte sur le traitement adaptatif du signal et, plus précisément, sur des techniques de séparation de signaux avec des applications biomédicales. Il s'intéresse en particulier au filtrage des signaux ECG fœtaux de ceux de la mère enregistrés de manière externe à l’aide de techniques non invasives. Par la suite, Frédéric rejoint le secteur bancaire où il passe 7 ans en tant que Front Office Quant (Senior Expert), travaillant dans la salle des marchés d’une grande banque européenne. Il est alors chargé de développer des modèles mathématiques de tarification et de couverture liés aux produits dérivés sensibles au risque de crédit (CDS, CDO, CVA, etc). Depuis 2014, il est professeur titulaire de Finance Quantitative à temps plein au sein de la Louvain School of Management (UCLouvain), où il coordonne la majeure Financial Engineering depuis sa création. Il est membre du Louvain Institute for Data Analysis and Modeling in economics and statistics (LIDAM) et dirige le centre de recherche Louvain Finance (LFIN) depuis 2019.
Le domaine de recherche de Frédéric sont les mathématiques financières (finance stochastique) et, plus spécifiquement, la modélisation du risque de crédit. Il est éditeur associé de plusieurs revues, en particulier Regards Economiques (revue des économistes de l'UC Louvain), Risks et Statistical Methods and Applications (journal de la Société Italienne de Statistiques). Il est Professeur Vacataire à l'EM Lyon (France) et Professeur Affilié à HEC Montréal (Canada).
- Diplômes
Année Label Institution 1999 Candidat ingénieur civil Université catholique de Louvain 2002 Ingénieur civil électro-mécanicien Université catholique de Louvain 2005 Diplômé d'études approfondies en sciences appliquées Université catholique de Louvain 2007 Docteur en sciences appliquées Université catholique de Louvain
Mes centres d'intérêts concernent essentiellement
- les modèles stochastiquqes appliqués à la tarification et à la gestion de risque de produits financiers
- le risque de crédit et de contre-partie
- l'optimisation de portefeuille
- les processus stochastiques
Ma recherche est publiée dans des revues de haut niveau, notamment IEEE Transactions on Signal Processing, IEEE Transactions on Information Theory, Operations Research, European Journal of Operational Research, Mathematical Fnance, Quantitative Finance, Journal of Banking and Finance, Journal of Business & Economic Statistics
Lassance, Nathan ; Vanderveken, Rodolphe ; Vrins, Frédéric. On the Combination of Naive and Mean-Variance Portfolio Strategies. In: Journal of Business and Economic Statistics, Vol. 42, no. 3, p. 875-889 (2024).
Barbagli, Matteo ; Vrins, Frédéric. Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. In: Economic Modelling, Vol. 125, p. 106321 (2023). doi:10.1016/j.econmod.2023.106321.
Vrins, Frédéric ; Wang, Linqi. Asymmetric short-rate model without lower bound. In: Quantitative Finance, Vol. 23, no.2, p. 279-295 (2023). doi:10.1080/14697688.2022.2156384.
Lassance, Nathan ; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach. In: European Journal of Operational Research, Vol. 310, no. 1, p. 302-314 (2023). doi:10.1016/j.ejor.2023.02.014.
Vrins, Frédéric. SVB, Crédit Suisse, ... au suivant ?. In: Regards économiques, Vol. Focus, no. 30 (2023). doi:10.14428/regardseco2023.03.30.01.
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.
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.
Gambetti , Paolo ; Roccazzella, Francesco ; Vrins, Frédéric. Meta-Learning Approaches for Recovery Rate Prediction. In: Risks, Vol. 10, no.6, p. 124 (2022). doi:10.3390/risks10060124.
Roccazzella, Francesco ; Gambetti, Paolo ; Vrins, Frédéric. Optimal and robust combination of forecasts via constrained optimization and shrinkage. In: International Journal of Forecasting, Vol. 38, no. 1, p. 97-116 (2022). doi:10.1016/j.ijforecast.2021.04.002.
Lassance, Nathan ; Vrins, Frédéric ; DeMiguel, Victor. Optimal portfolio diversification via independent component analysis. In: Operations Research, Vol. 70, no. 1, p. 55-72 (2022). doi:10.1287/opre.2021.2140.
Herr, Donovan ; Clausse, Emilien ; Vrins, Frédéric. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ?. In: Revue Bancaire et Financière, Vol. 3, p. 138-148 (2021).
Lassance, Nathan ; Vrins, Frédéric. Minimum Rényi entropy portfolios. In: Annals of Operations Research, Vol. 299, p. 23–46 (2021). doi:10.1007/s10479-019-03364-2.
Lassance, Nathan ; Vrins, Frédéric. Portfolio selection with parsimonious higher comoments estimation. In: Journal of Banking and Finance, Vol. 126, p. 106115 (2021). doi:10.1016/j.jbankfin.2021.106115.
Bellotti, Anthony ; Brigo, Damiano ; Gambetti, Paolo ; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning. In: International Journal of Forecasting, Vol. 37, no. 1, p. 428-444.
Brigo, Damiano ; Jeanblanc, Monique ; Vrins, Frédéric. SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions. In: Stochastic Processes and Their Applications, Vol. 130, no. 7, p. 3895-3919 (2020). doi:10.1016/j.spa.2019.11.003.
Vrins, Frédéric. Advances in Credit Risk Modeling and Management. In: Risks, (2019).
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.
Gambetti, Paolo ; Gauthier, Geneviève ; Vrins, Frédéric. Recovery rates: Uncertainty certainly matters. In: Journal of Banking & Finance, Vol. 106, no.9, p. 371-383 (2019). doi:10.1016/j.jbankfin.2019.07.010.
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.
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.
Vrins, Frédéric. Bannissement des produits dérivés: la bonne affaire ?. In: Regards économiques, no. 142, p. 1-15 (2018).
Jeanblanc, Monique ; Vrins, Frédéric. Conic martingales from Stochastic integrals. In: Mathematical Finance, Vol. 28, no. 2, p. 516-535. doi:10.1111/mafi.12147.
Vrins, Frédéric. Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures, collab. Damiano Brigo. In: European Journal of Operational Research, Vol. 269, p. 1154-1164 (2018).
Vrins, Frédéric ; Petitjean, Mikael. Extreme events and the cumulative distribution of net gains in gambling and structured products. In: Applied Economics, Vol. 50, no. 58, p. 6285-6300 (2018). doi:10.1080/00036846.2018.1489514.
Vrins, Frédéric. Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint. In: Risks, Vol. 6, no. 3, p. 64 (2018). doi:10.3390/risks6030064.
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).
Vrins, Frédéric. Characteristic Function of Time-Inhomogeneous Lévy-Driven Ornstein-Uhlenbeck Processes. In: Statistics & Probability Letters, Vol. 116, no.2016, p. 55-61 (14/5/2016). doi:10.1016/j.spl.2016.04.013.
Vrins, Frédéric. Lose for Life. In: La Libre Belgique, Vol. 0, no.0, p. 48-49 (27/7/2015).
Vrins, Frédéric. Sibuya copulas, collab. Hofert, Marius. In: Journal of Multivariate Analysis, Vol. 114, p. 318-337 (2013). doi:10.1016/j.jmva.2012.08.007.
Vrins, Frédéric. Getting CVA up and running, collab. Gregory, Jon. In: Risk Magazine, p. 76-79 (November 2011).
Vrins, Frédéric. Analytical Pricing of Basket Default Swaps in a Dynamic Hull & White Framework. In: The Journal of Credit Risk, Vol. 6, no.4, p. 85-111 (Winter 2010/2011).
Vrins, Frédéric. On the Consistency of "European Proxy" of Structural Models for Credit Derivatives. In: Wilmott Journal, Vol. 2, no. 5, p. 247-260 (October 2010). doi:10.1002/wilj.44.
Vrins, Frédéric ; Schoutens, Wim. Credit default swaps: the quest of the hedge. In: Wilmott Journal, Vol. 1, no.5-6, p. 245-253 (2009). doi:10.1002/wilj.21.
Vrins, Frédéric. Double t Copula Pricing of Structured Credit Products : Practical Aspects of a Trustworthy Implementation. In: The Journal of Credit Risk, Vol. 5, no.2, p. 91-109 (Fall 2009).
Lee, John Aldo ; Vrins, Frédéric ; Verleysen, Michel. Blind source separation based on endpoint estimation with application to the MLSP 2006 data competition. In: Neurocomputing, Vol. 72, no. 1-3, p. 47-56 (2008). doi:10.1016/j.neucom.2007.12.047.
Pham, Dinh-Tuan ; Vrins, Frédéric ; Verleysen, Michel. On the risk of using Renyi's entropy for blind source separation. In: IEEE Transactions on Signal Processing, Vol. 56, no. 10, p. 4611-4620. doi:10.1109/TSP.2008.928109.
Vrins, Frédéric ; Lee, John Aldo ; Verleysen, Michel. A minimum-range approach to blind extraction of bounded sources.. In: IEEE Transactions on Neural Networks, Vol. 18, no. 3, p. 809-822 (2007). doi:10.1109/TNN.2006.889941.
Vrins, Frédéric ; Pham, Dinh-Tuan. Minimum range approach to blind partial simultaneous separation of bounded sources: Contrast and discriminacy properties. In: Neurocomputing, Vol. 70, no. 7-9, p. 1207-1214 (2007). doi:10.1016/j.neucom.2006.11.011.
Vrins, Frédéric ; Pham, Dinh-Tuan ; Verleysen, Michel. Mixing and non-mixing local minima of the entropy contrast for blind source separation. In: IEEE Transactions on Information Theory, Vol. 53, no. 3, p. 1030-1042 (2007). doi:10.1109/TIT.2006.890716.
De Vroey, Laurent ; Vrins, Frédéric ; Labrique, Francis ; Trullemans, Charles ; Eugène, Christian ; Grenier, Damien. Apprentissage par projet en électricité : exemples et mise en oeuvre. In: J3eA - Journal sur l'enseignement des sciences et technologies de l'information et des systèmes, , no. 5, p. 23 pages (2006). doi:10.1051/j3ea:2006020.
Vrins, Frédéric ; Verleysen, Michel. Information theoretic versus cumulant-based contrasts for multimodal source separation. In: IEEE Signal Processing Letters, Vol. 12, no. 3, p. 190-193 (Mars 2005). doi:10.1109/LSP.2004.840863.
Pham, Dinh-Tuan ; Vrins, Frédéric. Local minima of information-theoretic criteria in blind source separation. In: IEEE Signal Processing Letters, Vol. 12, no. 11, p. 788-791 (2005). doi:10.1109/LSP.2005.856868.
Vrins, Frédéric ; Verleysen, Michel. On the entropy minimization of a linear mixture of variables for source separation. In: Signal Processing, Vol. 85, no. 5, p. 1029-1044 (2005). doi:10.1016/j.sigpro.2004.11.026.
Vrins, Frédéric. Advances in Credit Risk Modeling and Management (RISKS), MDPI: Basel, 2020. 978-3-03928-761-1. 177 p.
Vrins, Frédéric ; Chevalier, Philippe. Jeu de hasard en Belgique: la modélisation mathématique au service de la transparence. In: Alain Strowel, Denis Philippe, Geneviève Schamps, Droit des jeux de hasard, Larcier, 2018, p. 199-215. 9782807906006.
Gambetti, Paolo ; Gauthier, Geneviève ; Vrins, Frédéric. Stochastic recovery rate: Impact of pricing measure's choice and financial consequences on single-name products. In: M. Mili, R. Samaniego Medina, F. di Pietro (eds.), New Methods in Fixed Income Modeling, Springer International: USA, 2018, p. 181-203. 978-3-030-07008-3 / 978-3-319-95284-0.
Mbaye, Cheikh ; Pagès, Gilles ; Vrins, Frédéric. An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDES. In: Dimov, Ivan and Faragó, István and Vulkov, Lubin (eds.), Numerical Analysis and its Applications (Lecture Notes in Computer Science; 10187), Springer: Cham, 2017, p. 482--491. 978-3-319-57099-0. doi:10.1007/978-3-319-57099-0_54.
Brigo, Damiano ; Hvolby, Thomas ; Vrins, Frédéric. Wrong-way risk adjusted exposure: Analytical approximations for options in default intensity models. In: Glau Kathrin, Linders Daniël, Min Aleksey, Scherer Matthias, Zagst Rudi, Innovations in Insurance, Risk- and Asset Management, Springer: Berlin, 2017 (Accepté/Sous presse).
Vrins, Frédéric ; Dinh-Tuan Pham ; Verleysen, Michel. Is the general form of Renyi's entropy a contrast for source separation?. In: Davies, M.E.; James, C.; Davies, M.; Abdallah, S.; Plumbley, M., Independent Component Analysis and Signal Separation, ICA 2007 (Lecture Notes in Computer Science; 4666), Springer: Berlin-Heidelberg, 2007, 129-136. 3-540-74493-2.
Vrins, Frédéric ; Verleysen, Michel. Minimum support ICA using order statistics. Part I: Quasi-range based support estimation. In: J. Rosca, D. Erdogmus, J. Principe and S. Haykin, Independent Component Analysis and Blind Signal Sepration, ICA 2006 (Lecture Notes in Computer Sciences; 3889), Springer-Verlag: Berlin-Heidelberg, 2006, 262-269. 3-540-32630-8. doi:10.1007/11679363_33.
Vrins, Frédéric ; Verleysen, Michel. Minimum support ICA using order statistics. Part II: Performance analysis. In: J. Rosca, D. Erdogmus, J. Principe and S. Haykin, Independent Component Analysis and Blind Signal Sepration, ICA 2006 (Lecture Notes in Computer Sciences; 3889), Springer-Verlag: Berlin-Heidelberg, 2006, 270-277. 3-540-32630-8. doi:10.1007/11679363_34.
Vrins, Frédéric ; Erdogmus, D ; Jutten, Christian ; Verleysen, Michel. Zero-entropy minimization for blind extraction of bounded sources (BEBS). In: J. Rosca, D. Erdogmus, J. Principe and S. Haykin, Independent Component Analysis and Blind Signal Sepration, ICA 2006 (Lecture Notes in Computer Sciences; 3889), Springer-Verlag: Berlin-Heidelberg, 2006, 747-754. 3-540-32630-8. doi:10.1007/11679363_93.
Vrins, Frédéric ; Lee, John Aldo ; Verleysen, Michel. Filtering-free blind separation of correlated images. In: J. Canestany, A. Prieto, F. Sandoval, Computational Intelligence and Bioinspired Systems, IWANN 2005 (Lecture Notes in Computer Sciences; 3512), Springer-verlag Berlin: Berlin, 2005, 1091-1099. 3-540-26208-3.
Vrins, Frédéric ; Jutten, Christian ; Verleysen, Michel. Sensor array and electrode selection for non-invasive fetal electrocardiogram extraction by independent component analysis. In: G. Puntonet, A. Prieto, Independent Component Analysis and Blind Signal Separation, ICA 2004 (Lecture Notes in Computer Sciences; 3195), Springer-Verlag: Berlin-Heidelberg, 2004, 1017-1024. 3-540-23056-4.
Vanderveken, Rodolphe ; Vrins, Frédéric ; Lassance, Nathan. On the Combination of Naive and Mean-Variance Portfolio Strategies. AF MATH 2023 (Brussels, du 09/02/2023 au 10/02/2023).
Vanderveken, Rodolphe ; Vrins, Frédéric ; Lassance, Nathan. On the Combination of Naive and Mean-Variance Portfolio Strategies. BFRF 2023 (Belgian Financial Research Forum) (Brussels, du 20/04/2023 au 21/04/2023).
Vrins, Frédéric ; Vanderveken, Rodolphe ; Lassance, Nathan. On the optimal combination and mean-variance strategies. IFABS2022 (International Finance and Banking Society) (Naples, Italie, du 07/09/2022 au 09/09/2022).
Vanderveken, Rodolphe ; Lassance, Nathan ; Vrins, Frédéric. On the optimal combination of naive and mean-variance portfolio strategies. CFE2022 (International Conference on Computational and Financial Econometrics) (Londres, du 17/12/2022 au 19/12/2022).
Lassance, Nathan ; Vrins, Frédéric. Portfolio selection with parsimonious higher comoments estimation. 37th International Conference of the French Finance Association (AFFI) (virtual, du 26/05/2021 au 28/05/2021) (Soumis).
Lassance, Nathan ; DeMiguel, Victor ; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis. Wolfe 3rd Annual Virtual QES European Quant and Macro Investing Conference (London (virtual because of COVID-19), 15/06/2020).
Lassance, Nathan ; Vrins, Frédéric. Portfolio selection: A target-distribution approach. Actuarial and Financial Mathematics Conference (Brussels, du 06/02/2020 au 07/02/2020).
Mbaye, Cheikh ; Vrins, Frédéric. Fitting default intensity models to market curves: a time change approach. Quantitative Finance and Risk Analysis (QFRA) (Kos (Greece), du 26/06/2019 au 29/06/2019).
Bellotti, Anthony ; Brigo, Damiano ; Gambetti, Paolo ; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning. Credit Scoring and Credit Control Conference XVI (Edinburgh, du 28/08/2019 au 30/08/2019).
Lassance, Nathan ; DeMiguel, Victor ; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis. Actuarial and Financial Mathematics Conference (Brussels, du 07/02/2019 au 08/02/2019).
Lassance, Nathan ; Vrins, Frédéric. Portfolio selection: A target-distribution approach. 7th Paris Financial Management Conference (Paris, du 16/12/2019 au 18/12/2019).
Vrins, Frédéric. A Dynamic Stochastic Recovery Rate Model With Applications to Credit Derivatives Pricing. Quantitative Finance and Risk Analysis (QFRA) (Mykonos (Grece), du 07/06/2018 au 08/06/2018).
Lassance, Nathan ; Vrins, Frédéric. Minimum Rényi Entropy Portfolios. Actuarial and Financial Mathematics Conference (Brussels, du 08/02/2018 au 09/02/2018).
Lassance, Nathan ; Vrins, Frédéric. Minimum Rényi Entropy Portfolios. Belgian Financial Research Forum (Brussels, 01/06/2018).
Lassance, Nathan ; Vrins, Frédéric. Minimum Rényi Entropy Portfolios. 35th Annual Conference of the French Finance Association (AFFI) (Paris, du 22/05/2018 au 24/05/2018).
Lassance, Nathan ; DeMiguel, Victor ; Vrins, Frédéric. Optimal Portfolio Diversification via Independent Component Analysis. 2018 INFORMS Annual Meeting (Phoenix, Arizona, du 04/11/2018 au 07/11/2018).
Mbaye, Cheikh ; Vrins, Frédéric. Time-changed affine models: fitting interest-rates and CDS term-structures without shift. 10th world congress of the Bachelier Finance Society (Dublin).
Vrins, Frédéric. Wrong-way risk via change of measure : theory, implementation and performance analysis. Actuarial and Financial Mathematics conference (Brussels, du 08/02/2018 au 09/02/2018).
Mbaye, Cheikh ; Vrins, Frédéric. A subordinated CIR model for CVA with wrong-way risk. 2nd International Conference on Computational Finance 2017 (Lisbon, Portugal, du 04/09/2017 au 08/09/2017). In: International Journal of Theoretical and Applied Finance, Vol. 21, no. 7, p. 1850045 (2018). In: Proceedings of the 2nd International Conference on Computational Finance - ICCF 2017, World Scientific, 2017.
Vrins, Frédéric. CVA wrong way risk via change of measure : actuarial vs risk-neutral pricing. Innovatios in Insurance, Risk- and Asset Management (Munich, Germany, du 05/04/2017 au 07/04/2017).
Vrins, Frédéric ; Jeanblanc, Monique. The Phi-martingale. International Actuarial Association Colloquium (Oslo, Norway, du 07/06/2015 au 10/06/2015).
Vrins, Frédéric. Conic Martingales. 8th world congress of the Bachelier Finance Society (Brussels, Belgium, du 02/06/2014 au 06/06/2014).
Vrins, Frédéric ; Willemen, Jan. Positive default intensities. 8th world congress of the Bachelier Finance Society (Brussels, Belgium, du 02/06/2014 au 06/06/2014).
Lee, John Aldo ; Vrins, Frédéric ; Verleysen, Michel. A least absolute bound approach to ICA: application to the MLSP 2006 competition. IEEE International Workshop on Machine Learning for Signal Processing (MLSP 2006) (Maynooth, Ireland, du 06/09/2006 au 08/09/2006). In: Proceedings of the IEEE International Workshop on Machine Learning for Signal Processing, IEEE, 2006. 1-4244-0657-9, 41-46.
Vrins, Frédéric ; Pham, Dinh-Tuan. Discriminacy of the minimum range approach to blind separation of bounded sources.. 14th European Symposium on Artificial Neural Networs (ESANN 2006) (Bruges, Belgium). In: Proceedings of the 14th European Symposium on Artificial Neural Networs (ESANN 2006), d-side, 2006. 2-930307-06-4, p. 377-382.
Sameni, R. ; Vrins, Frédéric ; Parmentier, F. ; Vigneron, Vincent ; Verleysen, Michel ; Jutten, Christian ; Shamsollahi, M.B. ; Hérail, C.. Electrode Selection for Noninvasive Fetal Electrocardiogram Extraction using Mutual Information Criteria. 26th International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering (MaxEnt 2006) (CNRS (Paris/France), du 08/07/2006 au 13/07/2006). In: Proceedings of MaxEnt 2006, 2006.
Lee, John Aldo ; Vrins, Frédéric ; Verleysen, Michel. Non-Orthogonal Support-Width ICA. 14th European Symposium on Artificial Neural Networks (ESANN 2006) (Bruges (Belgium), du 26/04/2006 au 28/04/2006). In: Proceedings the 14th European Symposium on Artificial Neural Networks (ESANN 2006), D-side, 2006. 2-930307-06-4, p. 351-358.
Lee, John Aldo ; Vrins, Frédéric ; Verleysen, Michel. A simple ICA algorithm for non-differentiable contrasts. 13th European Signal Processing Conference (EUSIPCO 2005) (Antalya (Turkey), du 04/09/2005 au 08/09/2005). In: Proceedings of EUSIPCO 2005, 2005, 1412: 1-4.
Vrins, Frédéric ; Lee, John Aldo ; Verleysen, Michel. Can we always trust entropy minima in the ICA context ?. 13th European Signal Processing Conference (EUSIPCO 2005) (Antalya, Turkey, du 04/09/2005 au 08/09/2005). In: Proceedings of EUSIPCO 2005, 2005, 1107: 1-4.
Vrins, Frédéric ; Verleysen, Michel ; Jutten, Christian. SWM : a class of convex contrasts for source separation. IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP 2005) (Philadelphia, PA, USA, du 18/03/2005 au 23/03/2005). In: IEEE International Conference on Acoustics, Speech, and SignalProcessing (ICASSP 2005), IEEE, 2005. 0-7803-8874-7, Vol. 5, p. 16:1-4.
Pham, Dinh-Tuan ; Vrins, Frédéric ; Verleysen, Michel. Spurious entropy minima for multimodal source separation. 8th International Symposium on Signal Processing and its Applications (ISSPA 2005) (Sydney, Australia, du 28/08/2005 au 31/08/2005). In: Proceedings of ISSPA 2005, 2005, 37-40.
Vrins, Frédéric ; Vigneron, Vincent ; Jutten, Christian ; Verleysen, Michel. Abdominal electrodes analysis by statistical processing for fetal eletrocardiogram extraction. Second IASTED International Conference on Biomedical Engineering (BIOMED 2004) (Innsbruck, Austria, du 16/02/2004 au 18/02/2004). In: Proceedings of the Second IASTED International Conference on Biomedical Engineering ( BIOMED), 2004, p. 244-249.
Vrins, Frédéric ; Archambeau, Cédric ; Verleysen, Michel. Entropy Minima and Distribution Structural Modifications in Blind Separation of Multimodal Sources. 24th International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering (MaxEnt 2004) (Garching/Munich, Germany, du 25/07/2004 au 30/07/2004). In: Proceedings of MaxEnt 2004, American Institute of Physics, 2004, 589-596.
Archambeau, Cédric ; Vrins, Frédéric ; Verleysen, Michel. Flexible and Robust Bayesian Classification by Finite Mixture Models. ESANN 2004, European Symposium on Artificial Neural Networks (Bruges (Belgium), du 28/04/2004 au 30/04/2004). In: Proceedings of ESANN 2004, European Symposium on Artificial Neural Networks, 2004, p. 75-80.
Vrins, Frédéric ; Bouillon, V. ; Deswert, J. ; Bouvy, D. ; Lee, John Aldo ; Eugène, Christian ; Verleysen, Michel. On the extraction of the snore acoustic signal by independent component analysis. Second IASTED International Conference on Biomedical Engineering (BIOMED 2004) (Innsbruck (Austria), du 16/02/2004 au 18/02/2004). In: Proceedings of the Second IASTED International Conference on Biomedical Engineering ( BIOMED), 2004, p. 326-331.
Vrins, Frédéric ; Archambeau, Cédric ; Verleysen, Michel. Towards a Local Separation Performances Estimator Using Common ICA Contrast Functions ?. European Symposium on Artificial Neural Networks (ESANN 2004) (Bruges, Belgium, du 28/04/2004 au 30/04/2004). In: Proceedings of ESANN 2004, 2004, 211-216.
Vrins, Frédéric ; De Vroey, Laurent ; Labrique, Francis ; Trullemans, Charles. Apprentissage par projet en électricité (partie 1): Conception et réalisation d’un système de filoguidage électromagnétique. CETSIS-EEA (Toulouse). In: Actes du colloque cetsis-eea, 2003. 0, p. 431-434.
Vrins, Frédéric ; Lee, John Aldo ; Verleysen, Michel ; Vigneron, Vincent ; Jutten, Christian. Improving independent component analysis performances by variable selection. 2003 IEEE XIII Workshop on Neural Networks for Signal Processing (NNSP 2003) (Toulouse (France), du 17/09/2003 au 19/09/2003). In: 2003 IEEE XIII Workshop on Neural Networks for Signal Processing (IEEECat. No.03TH8718), IEEE, 2003. 0-7803-8177-7, p. 359-368.
Vrins, Frédéric. Contrast properties of entropic criteria for blind source separation : a unifying framework based on information-theoretic inequalities/, prom. : Verleysen, Michel, 2007-03-02.
Germain, Arnaud ; Vrins, Frédéric. Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering (LIDAM Discussion Paper LFIN; 2024/06), 2024. 41 p.
Hainaut, Donatien ; Vrins, Frédéric. European option pricing with model constrained Gaussian process regressions (LIDAM Discussion Paper ISBA LIDAM Discussion Paper LFIN; 2024/21 2024/05), 2024. 27 p.
Vanderveken, Rodolphe ; Lassance, Nathan ; Vrins, Frédéric. Optimal Portfolio Size under Parameter Uncertainty (LIDAM Discussion Paper LFIN; 2024/04), 2024. 80 p.
Barbagli, Matteo ; François, Pascal ; Gauthier, Geneviève ; Vrins, Frédéric. The role of CDS spreads in explaining bond recovery rates (LIDAM Discussion Paper LFIN; 2024/02), 2024. 38 p.
Distaso, Walter ; Roccazzella, Francesco ; Vrins, Frédéric. Business cycle and realized losses in the consumer credit industry (LIDAM Discussion Paper LFIN; 2023/07), 2023. 36 p.
Mbaye, Cheikh ; Sagna, Abass ; Vrins, Frédéric. A general firm-value model under partial information (LIDAM Discussion Paper LFIN; 2022/09), 2022. 27 p.
Lassance, Nathan ; Vanderveken, Rodolphe ; Vrins, Frédéric. On the optimal combination of naive and mean-variance portfolio strategies (LIDAM Discussion Paper LFIN; 2022/06), 2022. 86 p.
Vrins, Frédéric ; Wang, Linqi. Asymmetric short-rate model without lower bound (LIDAM Discussion Paper LFIN; 2021/06), 2021. 36 p.
Barbagli, Matteo ; Vrins, Frédéric. Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default (LIDAM Discussion Paper LFIN; 2021/09), 2021. 40 p.
Herr, Donovan ; Clausse, Emilien ; Vrins, Frédéric. Migration to the PRIIPs framework: what impact on the European risk indicator of UCITS funds ? (LIDAM Discussion Paper LFIN; 2021/12), 2021. 24 p.
DeMiguel, Victor ; Lassance, Nathan ; Vrins, Frédéric. Optimal portfolio diversification via independent component analysis (LIDAM Discussion Paper LFIN; 2021/14), 2021. 56 p.
Lassance, Nathan ; Vrins, Frédéric. Portfolio Selection: A Target-Distribution Approach (LIDAM Discussion Paper LFIN; 2021/05), 2021. 52 p.
Bellotti, Anthony ; Brigo, Damiano ; Gambetti, Paolo ; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning (LFIN Working Paper; 2020/02), 2020. 36 p.
Gambetti, Paolo ; Roccazzella, Francesco ; Vrins, Frédéric. Meta-learning approaches for recovery rate prediction (LFIN Working Paper; 2020/07), 2020. 30 p.
Roccazzella, Francesco ; Gambetti, Paolo ; Vrins, Frédéric. Optimal and robust combination of forecasts via constrained optimization and shrinkage (LFIN Working Paper; 2020/06), 2020. 29 p.
Mbaye, Cheikh ; Vrins, Frédéric. Affine term-structure models: A time-changed approach with perfect fit to market curves (LFIN Working Papers; 2019/5), 2019. 55 p.
Lassance, Nathan ; Vrins, Frédéric. Minimum Rényi entropy portfolios (CORE Discussion Paper; 2019/01), 2019. 33 p.
Lassance, Nathan ; Vrins, Frédéric. Robust portfolio selection using sparse estimation of comoment tensors (LFIN Working Paper; 2020/03), 2019. 25 p.
Profeta, Christophe ; Vrins, Frédéric. Piecewise constant martingales and lazy clocks (CORE Discussion Paper; 2017/31), 2017. 18 p.
Brigo, Damiano ; Jeanblanc, Monique ; Vrins, Frédéric. SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions (CORE Discussion Paper; 2016/46), 2016. 16 p.
Petitjean, Mikael ; Vrins, Frédéric. Win or Lose for Life ? Regards croisés sur les jeux de hasard et les produits structurés (ILSM; 2016/18), 2016. 34 p.
Vrins, Frédéric ; Jeanblanc, Monique. The Φ-Martingale (CORE Discussion Paper; 2015/22), 2015. 31 p.