21 citations · 35 across the 12 of their papers we have counts for
15 papers
Exact calibration of structural models via time-change
Frédéric Vrins, Damiano Brigo
In this note, we propose a general structural approach to model a default time as the first-passage time (FPT) of a (``firm-value'') process below a (``debt'') barrier …
On the boundaries, asymptotic law and Bernoulli-Doob representation of homogeneous bounded martingales
Damiano Brigo, Frédéric Vrins
We study homogeneous diffusion martingales evolving in a bounded state space , where and are zeros of the diffusion coefficient. We call a process of the form $Z_t…
Electrode Selection for Noninvasive Fetal Electrocardiogram Extraction using Mutual Information Criteria
Reza Sameni, Frédéric Vrins, Fabienne Parmentier +5
Blind source separation (BSS) techniques have revealed to be promising approaches for, among other, biomedical signal processing applications. Specifically, for the noninvasive ext…
An arbitrage-free conic martingale model with application to credit risk
Cheikh Mbaye, Frédéric Vrins
Conic martingales refer to Brownian martingales evolving between bounds. Among other potential applications, they have been suggested for the sake of modeling conditional survival…
Conditional survival probabilities under partial information: a recursive quantization approach with applications
Cheikh Mbaye, Abass Sagna, Frédéric Vrins
We consider a structural model where the survival/default state is observed together with a noisy version of the firm value process. This assumption makes the model more realistic…
Closed form expression of the multivariate standard Normal distribution under a weighted sum constraint
Frédéric Vrins
In this letter we derive the -dimensional distribution corresponding to a -dimensional i.i.d. Normal standard vector subjected to the weighted su…