Efficient Monte Carlo estimation of credit concentration risk with Barbagli, Matteo (2025) - LFIN DP 2025/03
Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering with Germain, Arnaud (2024) - LFIN DP 2024/06
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)
Clagging, an efficient alternative to bagging with Germain, Arnaud (2026) - LFIN DP 2026/02
Credit selection in Collateralized Loan Obligation: efficient approximation through linearization and clustering with Germain, Arnaud (2024) - LFIN DP 2024/06
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
Optimal and robust combination of forecasts via constrained optimization and shrinkage with Roccazzella, Francesco and Gambetti, Paolo (2020) - LFIN DP 2020/06
Forecasting recovery rates on non-performing loans with machine learning with Bellotti, Anthony, Brigo, Damiano and Gambetti, Paolo (2020) - LFIN DP 2020/02
Shrink with Purpose: Optimal Covariance Matrix Estimation for Portfolio Selection with Lassance, Nathan and Vanderveken, Rodolphe (2025) - LFIN DP 2025/02
Optimal portfolio size under parameter uncertainty with Lassance, Nathan and Vanderveken, Rodolphe (2024) - LFIN DP 2024/04
On the optimal combination of naive and mean-variance portfolio strategies with Lassance, Nathan and Vanderveken, Rodolphe (2022) - LFIN DP 2022/06
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) - LFIN DP 2019/03
Optimal Portfolio Diversification via Independent Component Analysis with DeMiguel, Victor and Lassance, Nathan (2021) - LFIN DP 2021/14
On the boundaries, asymptotic law and Bernoulli-Doob representation of homogeneous bounded martingales with Brigo, Damiano (2026) - LFIN DP 2026/03
On the distribution of the integral of a function with respect to a Brownian Bridge (2025) - LFIN DP 2025/01
Piecewise constant martingales and lazy clocks with Profeta, Christophe (2017) - CORE DP 2017/31
SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions with Brigo, Damiano and Jeanblanc, Monique (2016) - CORE DP 2016/46
The Phi-martingale with Jeanblanc, Monique (2015) - CORE DP 2015/22