3

Credit default swaps: the quest of the hedge

Frédéric Vrins, Wim Schoutens
Journal:
Wilmott Journal
Year:
2009
Language:
english
File:
PDF, 555 KB
english, 2009
7

On the entropy minimization of a linear mixture of variables for source separation

Frédéric Vrins, Michel Verleysen
Journal:
Signal Processing
Year:
2005
Language:
english
File:
PDF, 564 KB
english, 2005
10

On the Consistency of “European Proxy” of Structural Models for Credit Derivatives

Frédéric D. Vrins
Journal:
Wilmott Journal
Year:
2010
Language:
english
File:
PDF, 168 KB
english, 2010
11

Sibuya copulas

Marius Hofert, Frédéric Vrins
Journal:
Journal of Multivariate Analysis
Year:
2013
Language:
english
File:
PDF, 2.30 MB
english, 2013
13

Conic martingales from stochastic integrals

Jeanblanc, Monique, Vrins, Frédéric
Journal:
Mathematical Finance
Year:
2017
Language:
english
File:
PDF, 699 KB
english, 2017
14

Sampling the Multivariate Standard Normal Distribution under a Weighted Sum Constraint

Vrins, Frédéric
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 599 KB
english, 2018
16

Understanding Decreasing CDS Curves

Adem, J., Theunissen, Arnaud, Verhasselt, S., Gerstein-Alvarez, Moises, Vrins, Frédéric D.
Journal:
SSRN Electronic Journal
Year:
2008
Language:
english
File:
PDF, 431 KB
english, 2008
18

Piecewise constant martingales and lazy clocks

Profeta, Christophe, Vrins, Frédéric
Journal:
Probability, Uncertainty and Quantitative Risk
Year:
2019
Language:
english
File:
PDF, 1002 KB
english, 2019
19

Minimum Rényi entropy portfolios

Lassance, Nathan, Vrins, Frédéric
Journal:
Annals of Operations Research
Year:
2019
Language:
english
File:
PDF, 736 KB
english, 2019