Working papers
European option pricing with model constrained Gaussian process regressions with Hainaut, Donatien (2024) - LFIN DP 2024/05
The role of CDS spreads in explaining bond recovery rates with Barbagli, Matteo, François, Pascal and Gauthier, Geneviève (2024) - LFIN DP 2024/02
Business cycles and realized losses in the consumer credit industry with Roccazzella, Francesco and Distaso, Walter (2023) - LFIN DP 2023/07
On the optimal combination of naive and mean-variance portfolio strategies with Lassance, Nathan and Vanderveken, Rodolphe (2022) - LFIN DP 2022/06
A general firm-value model under partial information with Mbaye, Cheikh and Sagna, Abass (2022) - LFIN DP 2022/09
Asymptotic Single Risk Factor Models with Stochastic and Correlated Loss Given Default with Barbagli, Matteo (2021)- LFIN DP 2021/09
Asymmetric short-rate model without lower bound with Wang, Linqi (2021) - LFIN DP 2021/06
Affine term-structure models: A time-changed approach with perfect fit to market curves with Mbaye, Cheikh (2019)
Working papers
European option pricing with model constrained Gaussian process regressions with Hainaut, Donatien (2024) - LFIN DP 2024/05
The role of CDS spreads in explaining bond recovery rates with Barbagli, Matteo, Gauthier, Geneviève and François, Pascal (2024) - LFIN DP 2024/02
Working papers
Optimal portfolio size under parameter uncertainty with Lassance, Nathan and Vanderveken, Rodolphe (2024) - LFIN DP 2024/04
Portfolio selection : a target distribution approach with Lassance, Nathan (2021) - LFIN DP 2021/05
Robust portfolio selection using sparse estimation of comoment tensors with Lassance, Nathan (2019)
Optimal Portfolio Diversification via Independent Component Analysis with DeMiguel, Victor and Lassance, Nathan (2021) - LFIN DP 2021/14