Finance Group

De Vinci Research Center


The finance research professors at the university are involved in both the school of management and the school of engineering where 30% of students specialize in finance. The group covers a variety of subjects including; applied mathematics, financial econometrics, asset valuation, portfolio management, business finance, and ethics. The strength of the finance group lies in its use of derived products in portfolio management and financial responsibility.




PROFESSORS – RESEARCHERS – THE TEAM

EMLV and ESILV’s professors and researchers of the Finance Group :




Publications

Publication of the professors and researchers of the Finance Group :

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2017

Marie Brière Jonathan Peillex, Loredana Ureche-Rangau

Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? Journal Article

Financial Analysts Journal, 73 (3), pp. 1-14, 2017.

Abstract | Links | BibTeX

KHEMIRI, Sabrina; SAHLI, Amel

Crise financière et performance du capital investissement en France Conference

International Finance Conference 9, ISC, Paris, 11-12 Mars , 2017.

BibTeX

2016

Martino, Grasselli; G., Callegaro; L., Fiorin

Quantized stochastic volatility Inproceedings

Quantitative Methods in Finance QMF 2016 , Sydney, Australia, 2016.

BibTeX

M., Moreno; A., Novales; Platania, F

Long-term swings and and seasonality in energy markets Conference

4th Paris Financial Management Conferen, hosted by IPAG Business School., 2016.

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M., Grasselli; M., Craddock

Lie symmetry methods for local volatility models Inproceedings

Mathematics and Finance: Research in Options, IMPA, Rio de Janeiro, Brazil, 2016.

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Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino

Pricing via Quantization in Stochastic Volatility Models Journal Article

Quantitative Finance, to appear, 2016.

Abstract | Links | BibTeX

Focardi, Sergio; Fallaghoul, H; Fabozzi, F

Fractional Calculus and Fractional Processes with Applications to Financial Economics, Book

John Wiley & Sons,105 pages, 2016.

BibTeX

Grasselli, Martino

The 4/2 stochastic volatility model Journal Article

Mathematical Finance, to appear, 2016.

Abstract | Links | BibTeX

Deelstra, Griselda; Grasselli, Martino; van Weverberg, Christopher

The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options Journal Article

Insurance: Mathematics and Economics, 71 , pp. 205-219, 2016, ISSN: 0167-6687.

Abstract | Links | BibTeX

Brunel, Vivien

Operational risk modelled analytically II: classification invariance Journal Article

Risk Magazine, on line, 2016.

BibTeX

Cissé, A; Fontaine, Patrice

Why do companies transfer the trading compartment of their common stocks Journal Article

Research In International Business and Finance, (36), pp. 624-640, 2016.

BibTeX

Peillex, Jonathan; Ureche-Rangau, Loredana

Identifying the determinants of the decision to create Socially Responsible funds : An empirical investigation Journal Article

Journal of Business Ethics, 136 (1), pp. 101-117, 2016, ISSN: 1573-0697.

Abstract | Links | BibTeX

Haikel-Elsabeh, Marie; Nouet, Sébastien; Narayadou, M

How personal finance management influences consumers motivations and behavior regarding online banking services Journal Article

Communications and Strategies - Digiworld Economic Journal, (103), pp. 15-34, 2016.

BibTeX

Engle, Robert; Focardi, Sergio; Fabozzi, Frank

Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management Journal Article

Journal of Portfolio Management, 42 (5), pp. 94-106, 2016.

Abstract | Links | BibTeX

Wagalath, Lakshithe; Cont, R

Institutional Investors and the Dependant Structure Of Asset Returns Journal Article

International Journal of Theoritical and Applied Finance, 19 (02), pp. 1650010-01 - 1650010-37 , 2016.

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Sahli, Amel

Le contrôleur de gestion, prescripteur d'information Journal Article

Revue Finance & Gestion, (342), pp. 30-32, 2016.

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Brunel, Vivien

Loan Classification under IFRS9 Journal Article

Risk Magazine, on line, 2016.

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Bosi, Stefano; Fontaine, Patrice; LeVan, Cuong

Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international asset and good markets Journal Article

Mathematical Social Sciences, 82 , pp. 26-36, 2016.

Abstract | BibTeX

Grasselli, Martino; Miglietta, Giulio

A Flexible Spot Multiple-Curve Model Journal Article

Quantitative Finance, 16 (10), pp. 1465-1477, 2016, ISSN: 1469-7688.

Abstract | Links | BibTeX

Brunel, Vivien; Crépey, Stéphane; Jeanblanc, Monique

Expected Credit Loss vs Credit Value Adjustment: a comparative Analysis Journal Article

Bankers Markets Investors, (141), pp. 6-18, 2016.

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M., Grasselli; G., Callegaro; L., Fiorin

Pricing via Recursive Quantization in Stochastic Volatility Models Inproceedings

Workshop in Quantitative Finance, Pisa, Italy, 2016.

BibTeX

Braouezec, Yann; Grunspan, Cyril

Option Pricing Bounds in a Finite Market Model: A Simple Geometric Approach Using Barycentric Coordinates Journal Article

European Journal of Operational Research, 249 (1), pp. 270–280, 2016, ISSN: 0377-2217.

Abstract | Links | BibTeX

Grasselli, Martino; Romo, Jacinto Marabel

Stochastic Skew and Target Volatility Options Journal Article

The Journal of Futures Markets, 36 (2), pp. 174-193, 2016.

Abstract | Links | BibTeX

Sergio M. Focardi, Frank Fabozzi J; Mitov, Ivan

A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance Journal Article

Journal of Banking and Finance, 2016.

BibTeX

2015

Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino

Pricing via Quantization in stochastic volatility models Conference

QMF Quantitative Methods in Finance, Sydney, UTS, 15-17 december, 2015.

BibTeX

Deelstra, Griselda; Grasselli, Martino; van Weverberg, Christopher

Explosion time for some Wishart transforms Technical Report

ULB 2015.

Abstract | Links | BibTeX

Fontaine, Patrice; Gu, Dany

Do Market and Creditworthiness Timings Drive Debt Maturity Decisions of Firms? Conference

conférence de la Financial Management Association, Orlando (Etats-Unis), october 16., 2015.

BibTeX

Fonseca, José Da; Gnoatto, Alessandro; Grasselli, Martino

Analytic Pricing of Volatility-Equity Options within Affine Models: an Efficient Conditioning Technique Journal Article

Operations Research Letters, 43 , pp. 601-607, 2015, ISSN: 0167-6377.

Abstract | Links | BibTeX

Grasselli, Martino; Gnoatto, Alessandro; Fusai, Gianluca; Caldana, Ruggero

General Closed-From Basket Option Pricing Bounds Journal Article

Quantitative Finance, 16 (4), pp. 535-554, 2015, ISSN: 1469-7688.

Abstract | Links | BibTeX

Fontaine, Patrice

Revisited Role of Industrial Specialization in Cross-border Mergers and Acquisitions from developed countries (European Union) to Emerging Countries Conference

IFABS 2015 Corporate Finance Conference, 2015, September 12 and 13, 2015.

BibTeX

Cisse, Abdoul; Fontaine, Patrice

Why Do Companies Switch the Listing Section of Their Common Stocks Journal Article

Research in International Business and Finance, on line , 2015.

Abstract | Links | BibTeX

Focardi, Gui Citovski Sergio

A novel view of suprathreshold stochastic resonance and its applications to financial markets Journal Article

Frontiers Applied Mathematics and Statistics, 2015.

Links | BibTeX

Fontaine, Patrice; Gu, Xuehua

Cross-border Mergers And Acquisitions From European Union To Emerging Countries: Industry Diversification Or Industry Specialization? Conference

32ème congrès de l’AFFI, 1-3 juin 2015, ESSEC, Paris, 2015.

BibTeX

Patrice, Fontaine; Khoali, Youssef

“Impacts of Introducing Short Maturity Options" Conference

onférencier invité, The Stevanovich Center for Financial Mathematics (The University of Chicago) – Market Microstructure and High-Frequency Data - Chicago, May 14-16., C, 2015.

BibTeX

Bellalah, Mondher; Zouari, Mohamed; Sahli, Amel; Miniaoui, Hela

Portfolio credit risk models and name concentration issues: theory and simulations Journal Article

International Journal of Business, 20 (2), pp. 111-117, 2015, ISSN: 1083-4346.

Abstract | Links | BibTeX

Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard

Pricing currency derivatives under the benchmark approach Journal Article

Journal of Banking and Finance, 53 , pp. 34-48, 2015, ISSN: 0378-4266.

Abstract | Links | BibTeX

Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino

Quantized calibration in local volatility models Journal Article

Risk Magazine, 9 , pp. 62-67, 2015, ISSN: 0952-8776.

Abstract | Links | BibTeX

Peillex, Jonathan

L’investissement conforme à la Charia est-il socialement responsable? Conference

XIIe Congrès ADERSE, 19-20 mars, 2015.

BibTeX

Nouet, Sébastien; Caton, Philippe; Revest, Michel

Le partage public/privé du marché de la dépendance Journal Article

Revue Risques , (101), pp. 124-130, 2015, ISBN: 978-2-35588-064-3.

Abstract | BibTeX

Bun, Joel; Allez, Romain; Bouchaud, Jean-Philippe; Potters, Marc

Rotational invariant estimator for general noisy matrices Unpublished

2015.

Abstract | Links | BibTeX

Peillex, Jonathan; Ureche-Rangau, Loredana

Comment expliquer la performance financière de l’investissement conforme à la Charia ? Journal Article

Management international / International Management / Gestión Internacional, 19 (2), pp. 128-139, 2015, ISSN: 1206-1697.

Abstract | Links | BibTeX

Grasselli, Martino; Craddock, Mark

Lie Symmetries Methods in Local Volatility Models Conference

Workshop in Quantitative Finance, Florence (Italy), 29-30 january, 2015.

BibTeX

Bun, Joel; Allez, Romain; Bouchaud, Jean-Philippe

Eigenvectors of a Gaussian matrix with an external source Unpublished

2015.

Abstract | Links | BibTeX

Focardi, Sergio; Fabozzi, Frank

Economics : An Empirical Science Capable of Forecasting Economic Events ? Journal Article

The Journal of Portfolio Management, 41 (4), pp. 145-151, 2015.

BibTeX

Focardi, Sergio M

Is economics an empirical science? If not, can it become one? Journal Article

Frontiers Applied Mathematics Statistics , 2015.

Links | BibTeX

2014

Lima, Marcos; Nivet, Bastien

L'Entreprise et son environnement: entreprendre, apprendre, s'adapter Book

EMLV, 2014, ISBN: 9781506147888.

Abstract | Links | BibTeX

Bun, Joel; Bouchaud, Jean-Philippe; Majumdar, Satya; Potters, Marc

An Instanton approach to large N Harish-Chandra—Itzykson-Zuber integrals Journal Article

Physical Review Letters, 113 (7), 2014.

Abstract | Links | BibTeX

Gnoatto, Alessandro; Grasselli, Martino

The Explicit Laplace Transform for the Wishart Process Journal Article

Journal of Applied Probability, 51 (3), pp. 640-656, 2014.

Abstract | Links | BibTeX

Brunel, Vivien; Benoit, Roger

Le risque de crédit : des modèles au pilotage de la banque Book

Economica, Paris, France, 2014, ISBN: 978-2-7178-6727-5.

Abstract | Links | BibTeX

Gnoatto, Alessandro; Grasselli, Martino

A tractable multi-currency model with stochastic volatility and stochastic interest rates Journal Article

SIAM Journal of Financial Mathematics, 5 (1), pp. 493-531, 2014, ISSN: 1945-497X.

Abstract | Links | BibTeX

200 entries « 1 of 4 »

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