| An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDEs C Mbaye, G Pagès, F Vrins International Conference on Numerical Analysis and Its Applications, 482-491, 2016 | 4 | 2016 |
| Affine term structure models: A time‐change approach with perfect fit to market curves C Mbaye, F Vrins Mathematical Finance 32 (2), 678-724, 2022 | 3 | 2022 |
| A subordinated CIR intensity model with application to Wrong-Way risk CVA C Mbaye, F Vrins International Journal of Theoretical and Applied Finance 21 (07), 1850045, 2018 | 1 | 2018 |
| " A subordinated CIR model for CVA with wrong-way risk C Mbaye, F Vrins 2nd International Conference on Computational Finance, 2017 | 1 | 2017 |
| A general firm value model under partial information C Mbaye, A Sagna, FD Vrins Journal of Computational Finance 26 (1), 2022 | | 2022 |
| Credit Risk Modelling: beyond standard intensity models C Mbaye UCL-Université Catholique de Louvain, 2019 | | 2019 |
| Conditional survival probabilities under partial information: a recursive quantization approach with applications C Mbaye, A Sagna, F Vrins | | 2019 |
| An arbitrage-free conic martingale model with application to credit risk C Mbaye, F Vrins arXiv preprint arXiv:1909.02474, 2019 | | 2019 |
| Fitting default intensity models to market curves: a time change approach C Mbaye, F Vrins Quantitative Finance and Risk Analysis (QFRA), 2019 | | 2019 |
| Time-changed affine models: fitting interest-rates and CDS term-structures without shift C Mbaye, F Vrins 10th world congress of the Bachelier Finance Society, 2018 | | 2018 |
| Fitting affine jump-diffusions to market curves using change of time C Mbaye, F Vrins | | |
