Frédéric Vrins

Available identifiers

zbMath Open vrins.fredericMaRDI QIDQ297141

List of research outcomes

Publication	Date of Publication	Type
On the Combination of Naive and Mean-Variance Portfolio Strategies	2024-10-28	Paper
Affine term structure models: A time‐change approach with perfect fit to market curves	2023-09-28	Paper
Portfolio selection: a target-distribution approach	2023-07-11	Paper
Asymmetric short-rate model without lower bound	2023-06-20	Paper
Optimal Portfolio Diversification via Independent Component Analysis	2022-02-18	Paper
Minimum Rényi entropy portfolios	2021-11-08	Paper
SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions	2020-05-26	Paper
Piecewise constant martingales and lazy clocks	2020-02-17	Paper
A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA	2018-11-23	Paper
On the Risk of Using RÉnyi's Entropy for Blind Source Separation	2018-06-27	Paper
Conic martingales from stochastic integrals	2018-05-25	Paper
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures	2018-05-17	Paper
Closed form expression of the multivariate standard Normal distribution under a weighted sum constraint	2018-01-19	Paper
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS	2017-11-29	Paper
An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES	2017-07-07	Paper
Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes	2016-06-24	Paper
SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions	2016-06-05	Paper
Sibuya copulas	2013-01-16	Paper
Is the General Form of Renyi’s Entropy a Contrast for Source Separation?	2009-03-05	Paper
Mixing and Non-Mixing Local Minima of the Entropy Contrast for Blind Source Separation	2008-12-21	Paper
On the entropy minimization of a linear mixture of variables for source separation	2008-11-25	Paper
Independent Component Analysis and Blind Signal Separation	2007-02-12	Paper
Independent Component Analysis and Blind Signal Separation	2007-02-12	Paper
Independent Component Analysis and Blind Signal Separation	2007-02-12	Paper

Research outcomes over time

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