Fr\'ed\'eric Vrins

Identifiers

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Papers (8)

1. Closed form expression of the multivariate standard Normal distribution under a weighted sum constraint math.PR · 2018 · author #1
2. A subordinated CIR intensity model with application to Wrong-Way risk CVA q-fin.MF · 2018 · author #2
3. Piecewise Constant Martingales and Lazy Clocks math.PR · 2017 · author #2
4. Minimum R\'enyi Entropy Portfolios q-fin.PM · 2017 · author #2
5. Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment q-fin.MF · 2016 · author #2
6. Wrong-Way Risk Models: A Comparison of Analytical Exposures q-fin.MF · 2016 · author #1
7. Characteristic Function of Time-Inhomogeneous L\'evy-Driven Ornstein-Uhlenbeck Processes math.PR · 2016 · author #1
8. Conic Martingales from Stochastic Integrals math.PR · 2016 · author #1

Mentions

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Frequent Coauthors

• Cheikh Mbaye 1 shared papers
• Christophe Profeta 1 shared papers
• Damiano Brigo 1 shared papers
• Monique Jeanblanc 1 shared papers
• Nathan Lassance 1 shared papers