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All Publications

Displaying 1 - 25 of 86 results.

Pages

    • Speech
    Portfolio selection: A target-distribution approach
    Lassance, Nathan[UCL] Vrins, Frédéric[UCL] (2020) Actuarial and Financial Mathematics Conference — Brussels
    • Journal article
    Conic martingales from Stochastic integrals
    Jeanblanc, Monique Vrins, Frédéric[UCL] (2018) Mathematical Finance — Vol. 28, no. 2, p. 516-535
    • Journal article
    Sibuya copulas
    Vrins, Frédéric[UCL] Hofert, Marius (2013) Journal of Multivariate Analysis — Vol. 114, p. 318-337 (February 2013)
    • Journal article
    Characteristic Function of Time-Inhomogeneous Lévy-Driven Ornstein-Uhlenbeck Processes
    Vrins, Frédéric[UCL] (2016) Statistics & Probability Letters — Vol. 116, no.2016, p. 55-61 (14/5/2016)
    • Journal article
    Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint
    Vrins, Frédéric[UCL] (2018) Risks — Vol. 6, no. 3, p. 64 (2018)
    • BookChapter
    An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDES
    Mbaye, Cheikh[UCL] Pagès, Gilles Vrins, Frédéric[UCL] (2017) Numerical Analysis and its Applications — [ISBN : 978-3-319-57099-0]
    • Journal article
    Extreme events and the cumulative distribution of net gains in gambling and structured products
    Vrins, Frédéric[UCL] Petitjean, Mikael[UCL] (2018) Applied Economics — Vol. 50, no. 58, p. 6285-6300 (2018)
    • Journal article
    Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
    Damiano Brigo Vrins, Frédéric[UCL] (2018) European Journal of Operational Research — Vol. 269, p. 1154-1164 (2018)
    • Journal article
    Wrong-Way Risk CVA Models with Analytical EPE Profiles under Gaussian Exposure Dynamics
    Vrins, Frédéric[UCL] (2017) International Journal of Theoretical and Applied Finance — Vol. 20, no. 7:1750045 (2017)
    • BookChapter
    Jeu de hasard en Belgique: la modélisation mathématique au service de la transparence
    Vrins, Frédéric[UCL] Chevalier, Philippe[UCL] (2018) Droit des jeux de hasard — [ISBN : 9782807906006]
    • Journal article
    A subordinated CIR intensity model with application to wrong-way risk CVA
    Mbaye, Cheikh[UCL] Vrins, Frédéric[UCL] (2018) International Journal of Theoretical and Applied Finance — Vol. 21, no.7, p. 22 (2018)
    • Journal article
    Advances in Credit Risk Modeling and Management
    Vrins, Frédéric[UCL] (2019) Risks — (2019)
    • Journal article
    Piecewise constant martingales and lazy clocks
    Profeta, Christophe Vrins, Frédéric[UCL] (2019) Probability, Uncertainty and Quantitative Risk — Vol. 4, no. 2 (2019) (2019)
    • Journal article
    Bannissement des produits dérivés: la bonne affaire ?
    Vrins, Frédéric[UCL] (2018) Regards économiques — , no.142, p. 1-15 (2018)
    • Journal article
    A Comparison of Pricing and Hedging Performances of Equity Derivatives Models
    Lassance, Nathan[UCL] Vrins, Frédéric[UCL] (2018) Applied Economics — Vol. 50, no. 10, p. 1122-1137 (2018)
    • Journal article
    Recovery rates: Uncertainty certainly matters
    Gambetti, Paolo[UCL] Gauthier, Geneviève Vrins, Frédéric[UCL] (2019) Journal of Banking & Finance — Vol. 106, no.9, p. 371-383 (2019)
    • Speech
    Forecasting recovery rates on non-performing loans with machine learning
    Bellotti, Anthony Brigo, Damiano Gambetti, Paolo[UCL] Vrins, Frédéric[UCL] (2019) Credit Scoring and Credit Control Conference XVI — Edinburgh
    • Journal article
    Analytical Pricing of Basket Default Swaps in a Dynamic Hull & White Framework
    Vrins, Frédéric[UCL] (2010) The Journal of Credit Risk — Vol. 6, no.4, p. 85-111 (Winter 2010/2011)

Pages