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.

184 entries « 1 of 4 »

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)
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)
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)
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, 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)
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)

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)
Jonathan Peillex, Loredana Ureche-Rangau (2014): How does the market price of the corporate sponsor reacts to SR fund introductions. In: Bankers, Markets and Investors, (131), pp. 17-29, 2014. (Type: Journal Article | Abstract | BibTeX)
Vivien Brunel (2014): Operational risk modelled analytically. In: Risk magazine, 2014. (Type: Journal Article | Abstract | Links | BibTeX)
José Da Fonseca, Martino Grasselli, Florian Ielpo (2014): Estimating the Wishart Affine Stochastic Correlation Model using the Empirical Characteristic Function. In: Studies in Nonlinear Dynamics & Econometrics, 18 (3), pp. 253-289, 2014. (Type: Journal Article | Abstract | Links | BibTeX)
Sergio Focardi, Frank Fabozzi, Caroline Jonas (2014): Investment Management: A Science to Teach or an Art to Learn?. In: CFA Institute Research Foundation, 2014 (3), 2014. (Type: Journal Article | Abstract | Links | BibTeX)
Sabrina Khemiri, Souad Brinette (2014): La performance à long terme des émetteurs d’actions et d’ABSA. In: Revue Gestion 2000, 31 (3), pp. 51-63, 2014. (Type: Journal Article | Abstract | Links | BibTeX)
Carl Chiarella, José Da Fonseca, Martino Grasselli (2014): Pricing Range Notes within Wishart Affine Models. In: Insurance: Mathematics and Economics, 58 , pp. 774-793, 2014, ISSN: 0167-6687. (Type: Journal Article | Abstract | Links | BibTeX)

Books

Patricia Baudier, Michel Dalmas, Najoua Elommal-Manita, Catherine Gilabert, Marie Haikel-Elsabeh, Sabrina Khemiri, Marcos Lima, Sylvie Matelly, Bastien Nivet, Amel Sahli, Philippe Spach (2014): L'Entreprise et son Environnement: Entreprendre, apprendre, s'adapter . Create Space, 2014, ISBN: 9781506147888. (Type: Book | Abstract | BibTeX)
Vivien Brunel, Roger Benoit (2014): Le risque de crédit : des modèles au pilotage de la banque. Economica, Paris, France, 2014, ISBN: 978-2-7178-6727-5. (Type: Book | Abstract | Links | BibTeX)
Frank Fabozzi, Sergio Focardi, Svetlozar Rachev, Bala Arshanapalli, Markus Hoechstoetter (2014): The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications. 2014, ISBN: 978-1-118-57320-4. (Type: Book | Abstract | Links | BibTeX)

Unpublished

Lakshithe Wagalath, Rama Cont (2014): Impact of large institutional investors on the dependence structure of asset returns. 2014. (Type: Unpublished | Abstract | Links | BibTeX)

2013

Journal Articles

Lakshithe Wagalath, Rama Cont (2013): Running for the exit: distressed selling and endogenous correlation in financial markets. In: Mathematical finance, 23 (4), pp. 718-741, 2013. (Type: Journal Article | Abstract | Links | BibTeX)
Alvise De Col, Alessandro Gnoatto, Martino Grasselli (2013): Smiles all around: FX joint calibration in a multi-Heston model. In: Journal of Banking & Finance, 37 (10), pp. 3799-3818, 2013, ISSN: 0378-4266. (Type: Journal Article | Abstract | Links | BibTeX)
Radu Burlacu, Patrice Fontaine, Sonia Jimenez (2013): Why are mutual fund alphas systematically negative? . In: Bankers, Markets and Investors, 125 , pp. 11-22, 2013. (Type: Journal Article | Abstract | BibTeX)
Sergio Focardi, Frank Fabozzi (2013): Factor Uniqueness in the S&P 500 Universe: Can Proprietary Factors Exist?. In: International Journal of Theoretical and Applied Finance, 16 (4), 2013. (Type: Journal Article | Abstract | Links | BibTeX)
Jonathan Peillex, Loredana Ureche-Rangau (2013): Is there a place for a Shariah – Compliant Index on the Paris Stock Market ?. In: International Journal of Business, 18.2013 (2), pp. 131-150, 2013, ISSN: 1083-4346. (Type: Journal Article | Abstract | BibTeX)
184 entries « 1 of 4 »

Research Center

Candidature
Documentation

En savoir plus ?

Contactez-nous et téléchargez une documentation


Aussi intéressé(e) par :