Finance Group

Recherche académique en finance


Responsable : Martino Grasselli. Le Finance Group du Laboratoire De Vinci Research Center a pour objectif de développer une recherche de qualité en économie et en finance. Il est constitué d’enseignants-chercheurs de l’ESILV et de l’EMLV impliqués dans des activités de recherche à travers des publications dans des revues internationales avec comités de lecture.  Le département organise également des conférences et des ateliers de recherche en collaboration avec le « Club De Vinci Finance », l’association de finance des étudiants du pôle Léonard de Vinci.




Axes de recherche

Les principaux domaines d’activité du Finance Group sont :

la finance quantitative

Valorisation de produits dérivés, économétrie financière, problème de sélection de portefeuille, gestion d’actifs

la finance d’entreprise

Finance d’entreprise du point de vue théorique et pratique, gestion financière, fusion et acquisition, stratégie financière

la gestion et la régulation des institutions financières

Banques, compagnies d’assurance, intermédiation non-bancaire, finance juridique





Enseignants-chercheurs

L’équipe d’enseignants-chercheurs Finance Group issus de l’EMLV et de l’ESILV.




Publications

L’ensemble des travaux des enseignants-chercheurs en finance.

201 entries « 1 of 5 »

2017

Conferences

Sabrina KHEMIRI et Amel SAHLI (2017): Crise financière et performance du capital investissement en France. International Finance Conference 9, ISC, Paris, 11-12 Mars , 2017. (Type: Conference | BibTeX)

2016

Journal Articles

Giorgia Callegaro, Lucio Fiorin, Martino Grasselli (2016): Pricing via Quantization in Stochastic Volatility Models. In: Quantitative Finance, to appear, 2016. (Type: Journal Article | Abstract | Links | BibTeX)
Martino Grasselli (2016): The 4/2 stochastic volatility model. In: Mathematical Finance, to appear, 2016. (Type: Journal Article | Abstract | Links | BibTeX)
Griselda Deelstra, Martino Grasselli, Christopher van Weverberg (2016): The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options. In: Insurance: Mathematics and Economics, 71 , pp. 205-219, 2016, ISSN: 0167-6687. (Type: Journal Article | Abstract | Links | BibTeX)
Vivien Brunel (2016): Operational risk modelled analytically II: classification invariance. In: Risk Magazine, on line, 2016. (Type: Journal Article | BibTeX)
A. Cissé, Patrice Fontaine (2016): Why do companies transfer the trading compartment of their common stocks. In: Research In International Business and Finance, (36), pp. 624-640, 2016. (Type: Journal Article | BibTeX)
Jonathan Peillex, Loredana Ureche-Rangau (2016): Identifying the determinants of the decision to create Socially Responsible funds : An empirical investigation. In: Journal of Business Ethics, 136 (1), pp. 101-117, 2016, ISSN: 1573-0697. (Type: Journal Article | Abstract | Links | BibTeX)
Marie Haikel-Elsabeh, Sébastien Nouet, M. Narayadou (2016): How personal finance management influences consumers motivations and behavior regarding online banking services. In: Communications and Strategies - Digiworld Economic Journal, (103), pp. 15-34, 2016. (Type: Journal Article | BibTeX)
Robert Engle, Sergio Focardi, Frank Fabozzi (2016): Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management. In: Journal of Portfolio Management, 42 (5), pp. 94-106, 2016. (Type: Journal Article | Abstract | Links | BibTeX)
Lakshithe Wagalath, R. Cont (2016): Institutional Investors and the Dependant Structure Of Asset Returns. In: International Journal of Theoritical and Applied Finance, 19 (02), pp. 1650010-01 - 1650010-37 , 2016. (Type: Journal Article | BibTeX)
Amel Sahli (2016): Le contrôleur de gestion, prescripteur d'information . In: Revue Finance & Gestion, (342), pp. 30-32, 2016. (Type: Journal Article | BibTeX)
Vivien Brunel (2016): Loan Classification under IFRS9. In: Risk Magazine, on line, 2016. (Type: Journal Article | BibTeX)
Stefano Bosi, Patrice Fontaine, Cuong LeVan (2016): Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international asset and good markets. In: Mathematical Social Sciences, 82 , pp. 26-36, 2016. (Type: Journal Article | Abstract | BibTeX)
Martino Grasselli, Giulio Miglietta (2016): A Flexible Spot Multiple-Curve Model. In: Quantitative Finance, 16 (10), pp. 1465-1477, 2016, ISSN: 1469-7688. (Type: Journal Article | Abstract | Links | BibTeX)
Vivien Brunel, Stéphane Crépey, Monique Jeanblanc (2016): Expected Credit Loss vs Credit Value Adjustment: a comparative Analysis. In: Bankers Markets Investors, (141), pp. 6-18, 2016. (Type: Journal Article | BibTeX)
Yann Braouezec, Cyril Grunspan (2016): Option Pricing Bounds in a Finite Market Model: A Simple Geometric Approach Using Barycentric Coordinates. In: European Journal of Operational Research, 249 (1), pp. 270–280, 2016, ISSN: 0377-2217. (Type: Journal Article | Abstract | Links | BibTeX)
Martino Grasselli, Jacinto Marabel Romo (2016): Stochastic Skew and Target Volatility Options. In: The Journal of Futures Markets, 36 (2), pp. 174-193, 2016. (Type: Journal Article | Abstract | Links | BibTeX)
Sergio M. Focardi, Frank J. Fabozzi, Ivan Mitov (2016): A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance. In: Journal of Banking and Finance, 2016. (Type: Journal Article | BibTeX)

Books

Sergio Focardi, H. Fallaghoul, F. Fabozzi (2016): Fractional Calculus and Fractional Processes with Applications to Financial Economics, . John Wiley & Sons,105 pages, 2016. (Type: Book | BibTeX)

Conferences

Moreno M., Novales A., Platania, F. (2016): Long-term swings and and seasonality in energy markets. 4th Paris Financial Management Conferen, hosted by IPAG Business School., 2016. (Type: Conference | BibTeX)

Inproceedings

Grasselli Martino, Callegaro G., Fiorin L. (2016): Quantized stochastic volatility. In: Quantitative Methods in Finance QMF 2016 , Sydney, Australia, 2016. (Type: Inproceeding | BibTeX)
Grasselli M., Craddock M. (2016): Lie symmetry methods for local volatility models. In: Mathematics and Finance: Research in Options, IMPA, Rio de Janeiro, Brazil, 2016. (Type: Inproceeding | BibTeX)
Yoon, D., Peillex J., Fontaine P. (2016): Nationalism and Ownership Choice in Cross-border M&A by Emerging Market Firms. In: AOM 2016 (Annual Meeting of the Academy of Management), August 5-9, 2016, Anaheim, California, United States, 2016. (Type: Inproceeding | BibTeX)
Jaballah J., Peillex J. (2016): The effects of CSR ratings changes on financial performance. In: International Research Meeting in Business and Management, Nice., 2016. (Type: Inproceeding | BibTeX)
Grasselli M., Callegaro G., Fiorin L. (2016): Pricing via Recursive Quantization in Stochastic Volatility Models. In: Workshop in Quantitative Finance, Pisa, Italy, 2016. (Type: Inproceeding | BibTeX)

2015

Journal Articles

José Da Fonseca, Alessandro Gnoatto, Martino Grasselli (2015): Analytic Pricing of Volatility-Equity Options within Affine Models: an Efficient Conditioning Technique. In: Operations Research Letters, 43 , pp. 601-607, 2015, ISSN: 0167-6377. (Type: Journal Article | Abstract | Links | BibTeX)
Martino Grasselli, Alessandro Gnoatto, Gianluca Fusai, Ruggero Caldana (2015): General Closed-From Basket Option Pricing Bounds. In: Quantitative Finance, 16 (4), pp. 535-554, 2015, ISSN: 1469-7688. (Type: Journal Article | Abstract | Links | BibTeX)
Abdoul Cisse, Patrice Fontaine (2015): Why Do Companies Switch the Listing Section of Their Common Stocks. In: Research in International Business and Finance, on line , 2015. (Type: Journal Article | Abstract | Links | BibTeX)
Gui Citovski Sergio Focardi (2015): A novel view of suprathreshold stochastic resonance and its applications to financial markets. In: Frontiers Applied Mathematics and Statistics, 2015. (Type: Journal Article | Links | BibTeX)
Mondher Bellalah, Mohamed Zouari, Amel Sahli, Hela Miniaoui (2015): Portfolio credit risk models and name concentration issues: theory and simulations. In: International Journal of Business, 20 (2), pp. 111-117, 2015, ISSN: 1083-4346. (Type: Journal Article | Abstract | Links | BibTeX)
Jan Baldeaux, Martino Grasselli, Eckhard Platen (2015): Pricing currency derivatives under the benchmark approach. In: Journal of Banking and Finance, 53 , pp. 34-48, 2015, ISSN: 0378-4266. (Type: Journal Article | Abstract | Links | BibTeX)
Giorgia Callegaro, Lucio Fiorin, Martino Grasselli (2015): Quantized calibration in local volatility models. In: Risk Magazine, 9 , pp. 62-67, 2015, ISSN: 0952-8776. (Type: Journal Article | Abstract | Links | BibTeX)
Sébastien Nouet, Philippe Caton, Michel Revest (2015): Le partage public/privé du marché de la dépendance. In: Revue Risques , (101), pp. 124-130, 2015, ISBN: 978-2-35588-064-3. (Type: Journal Article | Abstract | BibTeX)
Jonathan Peillex, Loredana Ureche-Rangau (2015): Comment expliquer la performance financière de l’investissement conforme à la Charia ?. In: Management international / International Management / Gestión Internacional, 19 (2), pp. 128-139, 2015, ISSN: 1206-1697. (Type: Journal Article | Abstract | Links | BibTeX)
Sergio Focardi, Frank Fabozzi (2015): Economics : An Empirical Science Capable of Forecasting Economic Events ?. In: The Journal of Portfolio Management, 41 (4), pp. 145-151, 2015. (Type: Journal Article | BibTeX)
Sergio M. Focardi (2015): Is economics an empirical science? If not, can it become one?. In: Frontiers Applied Mathematics Statistics , 2015. (Type: Journal Article | Links | BibTeX)

Conferences

Giorgia Callegaro, Lucio Fiorin, Martino Grasselli (2015): Pricing via Quantization in stochastic volatility models. QMF Quantitative Methods in Finance, Sydney, UTS, 15-17 december, 2015. (Type: Conference | BibTeX)
Patrice Fontaine, Dany Gu (2015): Do Market and Creditworthiness Timings Drive Debt Maturity Decisions of Firms?. conférence de la Financial Management Association, Orlando (Etats-Unis), october 16., 2015. (Type: Conference | BibTeX)
Patrice Fontaine (2015): Revisited Role of Industrial Specialization in Cross-border Mergers and Acquisitions from developed countries (European Union) to Emerging Countries. IFABS 2015 Corporate Finance Conference, 2015, September 12 and 13, 2015. (Type: Conference | BibTeX)
Patrice Fontaine, Xuehua Gu (2015): Cross-border Mergers And Acquisitions From European Union To Emerging Countries: Industry Diversification Or Industry Specialization?. 32ème congrès de l’AFFI, 1-3 juin 2015, ESSEC, Paris, 2015. (Type: Conference | BibTeX)
Fontaine Patrice, Youssef Khoali (2015): “Impacts of Introducing Short Maturity Options". onférencier invité, The Stevanovich Center for Financial Mathematics (The University of Chicago) – Market Microstructure and High-Frequency Data - Chicago, May 14-16., C, 2015. (Type: Conference | BibTeX)
Jonathan Peillex (2015): L’investissement conforme à la Charia est-il socialement responsable?. XIIe Congrès ADERSE, 19-20 mars, 2015. (Type: Conference | BibTeX)
Martino Grasselli, Mark Craddock (2015): Lie Symmetries Methods in Local Volatility Models. Workshop in Quantitative Finance, Florence (Italy), 29-30 january, 2015. (Type: Conference | BibTeX)

Technical Reports

Griselda Deelstra, Martino Grasselli, Christopher van Weverberg (2015): Explosion time for some Wishart transforms. ULB 2015. (Type: Technical Report | Abstract | Links | BibTeX)

Unpublished

Joel Bun, Romain Allez, Jean-Philippe Bouchaud, Marc Potters (2015): Rotational invariant estimator for general noisy matrices. 2015. (Type: Unpublished | Abstract | Links | BibTeX)
Joel Bun, Romain Allez, Jean-Philippe Bouchaud (2015): Eigenvectors of a Gaussian matrix with an external source. 2015. (Type: Unpublished | Abstract | Links | BibTeX)

2014

Journal Articles

Joel Bun, Jean-Philippe Bouchaud, Satya Majumdar, Marc Potters (2014): An Instanton approach to large N Harish-Chandra—Itzykson-Zuber integrals. In: Physical Review Letters, 113 (7), 2014. (Type: Journal Article | Abstract | Links | BibTeX)
Alessandro Gnoatto, Martino Grasselli (2014): The Explicit Laplace Transform for the Wishart Process. In: Journal of Applied Probability, 51 (3), pp. 640-656, 2014. (Type: Journal Article | Abstract | Links | BibTeX)
Alessandro Gnoatto, Martino Grasselli (2014): A tractable multi-currency model with stochastic volatility and stochastic interest rates. In: SIAM Journal of Financial Mathematics, 5 (1), pp. 493-531, 2014, ISSN: 1945-497X. (Type: Journal Article | Abstract | Links | BibTeX)
Manuel Moreno AND Federico Platania (2014): A cyclical square-root model for the term structure of interest rates. In: European Journal of Operational Research, 241 , pp. 109–121, 2014. (Type: Journal Article | Abstract | BibTeX)
201 entries « 1 of 5 »

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