2018
|
Erragragui, Elias; Hassan, Kabir; Peillex, Jonathan; Khan, Faisal Does ethics improve stock market resilience in times of instability? Journal Article Economic Systems, 42 (3), pp. 450-469, 2018. Links | BibTeX @article{Erragragui2017,
title = {Does ethics improve stock market resilience in times of instability?},
author = {Elias Erragragui and Kabir Hassan and Jonathan Peillex and Faisal Khan},
url = {https://doi.org/10.1016/j.ecosys.2017.09.003},
doi = {doi.org/10.1016/j.ecosys.2017.09.003},
year = {2018},
date = {2018-09-10},
journal = {Economic Systems},
volume = {42},
number = {3},
pages = {450-469},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Ouadghiri, Imane El; Peillex, Jonathan Public attention to “Islamic terrorism” and stock market returns Journal Article Forthcoming Journal of Comparative Economics, Forthcoming. Links | BibTeX @article{Ouadghiri0101,
title = {Public attention to “Islamic terrorism” and stock market returns},
author = {Imane El Ouadghiri and Jonathan Peillex},
url = {https://www.sciencedirect.com/science/article/pii/S0147596718302506},
doi = {10.1016/j.jce.2018.07.014},
year = {2018},
date = {2018-07-28},
journal = {Journal of Comparative Economics},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Mohamed Benlemlih Jamil Jaballah, Jonathan Peillex Does It Really Pay to Do Better? Exploring the Financial Effects of Changes in CSR Ratings Journal Article Applied Economics, 50 (51), pp. 5464-5482, 2018. Links | BibTeX @article{Peillex1703,
title = {Does It Really Pay to Do Better? Exploring the Financial Effects of Changes in CSR Ratings},
author = {Mohamed Benlemlih, Jamil Jaballah, Jonathan Peillex},
url = {https://www.tandfonline.com/doi/abs/10.1080/00036846.2018.1486997},
doi = {10.1080/00036846.2018.1486997},
year = {2018},
date = {2018-07-11},
journal = {Applied Economics},
volume = {50},
number = {51},
pages = {5464-5482},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Contreras, Gabriela; Platania, Federico Economic and policy uncertainty in climate change mitigation: The London Smart City case scenario Journal Article Technological Forecasting & Social Change, 2018. Abstract | Links | BibTeX @article{Platania2018c,
title = {Economic and policy uncertainty in climate change mitigation: The London Smart City case scenario},
author = {Gabriela Contreras AND Federico Platania},
doi = {https://doi.org/10.1016/j.techfore.2018.07.018},
year = {2018},
date = {2018-06-15},
journal = {Technological Forecasting & Social Change},
abstract = {Despite the overwhelming consensus within the scientific community concerning the causes and effects of climate change, decision-making processes often do not point out in the same direction. In order to effectively and satisfactorily tackle climate change, a legally and politically binding long-term policy architecture is needed. In practice, however, central governments and international policymakers have been unable to provide a successful policy architecture. Yet, city-level initiatives within the Smart City framework are a promising way to tackle climate change. An example of such a Smart City framework is the London Environment Strategy (LES). In this paper, we propose a zero mean reverting model for greenhouse gas emissions to quantitatively analyze its consistency with the 2050 Zero Carbon objectives. We consider different policy scenarios proposed in the LES and the forward-looking policy uncertainty embedded in different economic sectors, primarily domestic, industrial and commercial and transport. We find that, on average, only transport improves the historical greenhouse gas emissions trend, and most of this reduction comes from Smart Mobility and/or Smart Regulation programs focusing on the environment.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Despite the overwhelming consensus within the scientific community concerning the causes and effects of climate change, decision-making processes often do not point out in the same direction. In order to effectively and satisfactorily tackle climate change, a legally and politically binding long-term policy architecture is needed. In practice, however, central governments and international policymakers have been unable to provide a successful policy architecture. Yet, city-level initiatives within the Smart City framework are a promising way to tackle climate change. An example of such a Smart City framework is the London Environment Strategy (LES). In this paper, we propose a zero mean reverting model for greenhouse gas emissions to quantitatively analyze its consistency with the 2050 Zero Carbon objectives. We consider different policy scenarios proposed in the LES and the forward-looking policy uncertainty embedded in different economic sectors, primarily domestic, industrial and commercial and transport. We find that, on average, only transport improves the historical greenhouse gas emissions trend, and most of this reduction comes from Smart Mobility and/or Smart Regulation programs focusing on the environment. |
et S. BRINETTE S. KHEMIRI, BENKRAIEM MILOUDI R A L’effet du système de gouvernance sur la stratégie de capital risque industriel des groupes français Conference 17ème Conférence Internationale de Gouvernance,, le 4 et 5 Juin 2018, Nice., 2018. BibTeX @conference{BRINETTE2018,
title = {L’effet du système de gouvernance sur la stratégie de capital risque industriel des groupes français},
author = {S. BRINETTE, S. KHEMIRI, R. BENKRAIEM et A. MILOUDI},
year = {2018},
date = {2018-06-04},
publisher = {17ème Conférence Internationale de Gouvernance,},
address = { le 4 et 5 Juin 2018, Nice.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Khemiri Sabrina Brinette Souad, Benkraiem Ramzi. Miloudi Anthony. Order of preference of debts under asymmetric information. Journal Article Journal of Governance & Regulation, 7 (2), pp. 49-56, 2018. BibTeX @article{Sabrina2018,
title = {Order of preference of debts under asymmetric information.},
author = {Khemiri Sabrina, Brinette Souad, Benkraiem Ramzi., Miloudi Anthony. },
year = {2018},
date = {2018-06-01},
journal = {Journal of Governance & Regulation},
volume = {7},
number = {2},
pages = {49-56},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
et ELOUAER-MRIZAK S., KHEMIRI SIYAHHAN S B L'impact du capital social de l'entrepreneur sur la réussite de sa campagne de financement participatif. Conference 7èmes Journées Georges Doriot - Entrepreneuriat et Société, , 16 et 17 mai 2018, Montréal., 2018. BibTeX @conference{ELOUAER-MRIZAK2018,
title = {L'impact du capital social de l'entrepreneur sur la réussite de sa campagne de financement participatif.},
author = {ELOUAER-MRIZAK, S., KHEMIRI, S., et SIYAHHAN, B., },
year = {2018},
date = {2018-05-16},
publisher = {7èmes Journées Georges Doriot - Entrepreneuriat et Société, },
address = {16 et 17 mai 2018, Montréal.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Platania, Federico; Serrano, Pedro; Tapia, Mikel Modelling the shape of the limit order book Journal Article Quantitative Finance, 18 (9), pp. 1575-1597, 2018. Abstract | Links | BibTeX @article{Tapia2018,
title = {Modelling the shape of the limit order book},
author = {Federico Platania AND Pedro Serrano AND Mikel Tapia},
doi = {10.1080/14697688.2018.1433312},
year = {2018},
date = {2018-02-23},
journal = {Quantitative Finance},
volume = {18},
number = {9},
pages = {1575-1597},
abstract = {This article develops a parsimonious way to use the shape of the limit order book to produce an estimate of the asset price. The posited model captures and describes the evolution of the distribution of limit orders on the bid and ask sides of the LOB during the trading session and provides estimates of the execution asset price over time. The performance of the model is evaluated against some existing standards from the market microstructure literature during the trading session. Empirical evidence on listed companies confirm a strong contribution of our methodology to the innovation in asset prices, according to the information share coefficients. We also document a significant improvement relative to the Hasbrouck [J. Finance, 1991, 46, 179–207] model when our model estimates are included as regressors.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This article develops a parsimonious way to use the shape of the limit order book to produce an estimate of the asset price. The posited model captures and describes the evolution of the distribution of limit orders on the bid and ask sides of the LOB during the trading session and provides estimates of the execution asset price over time. The performance of the model is evaluated against some existing standards from the market microstructure literature during the trading session. Empirical evidence on listed companies confirm a strong contribution of our methodology to the innovation in asset prices, according to the information share coefficients. We also document a significant improvement relative to the Hasbrouck [J. Finance, 1991, 46, 179–207] model when our model estimates are included as regressors. |
Moreno, Manuel; Novales, Alfonso; Platania, Federico A term structure model under cyclical fluctuations in interest rates Journal Article Economic Modelling, 72 , pp. 140-150, 2018. Abstract | BibTeX @article{Platania2018,
title = {A term structure model under cyclical fluctuations in interest rates},
author = {Manuel Moreno AND Alfonso Novales AND Federico Platania},
year = {2018},
date = {2018-02-07},
journal = {Economic Modelling},
volume = {72},
pages = {140-150},
abstract = {We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models. |
Moreno, Manuel; Novales, Alfonso; Platania, Federico A term structure model under cyclical fluctuations in interest rates Journal Article Economic Modelling, 72 , pp. 140-150, 2018. Abstract | Links | BibTeX @article{Platania2018b,
title = {A term structure model under cyclical fluctuations in interest rates},
author = {Manuel Moreno AND Alfonso Novales AND Federico Platania},
doi = { https://doi.org/10.1016/j.econmod.2018.01.015},
year = {2018},
date = {2018-02-07},
journal = {Economic Modelling},
volume = {72},
pages = {140-150},
abstract = {We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models. |
Weill, Jamil Jaballah; Jonathan Peillex; Laurent Is Being Sharia Compliant Worth It? Journal Article Economic Modelling, 72 , pp. 353-362, 2018. Links | BibTeX @article{Weill2018,
title = {Is Being Sharia Compliant Worth It?},
author = {Jamil Jaballah; Jonathan Peillex; Laurent Weill},
url = {https://doi.org/10.1016/j.econmod.2018.02.011},
doi = {10.1016/j.econmod.2018.02.011},
year = {2018},
date = {2018-01-01},
journal = {Economic Modelling},
volume = {72},
pages = {353-362},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Benlemlih, Jonathan Peillex; Elias Erragragui; Mohammad Bitar; Mohammed The contribution of market movements, asset allocation and active management to Islamic equity funds’ performance Journal Article Forthcoming Quarterly Review of Economics and Finance, Forthcoming. Links | BibTeX @article{Peillex2018,
title = {The contribution of market movements, asset allocation and active management to Islamic equity funds’ performance},
author = {Jonathan Peillex; Elias Erragragui; Mohammad Bitar; Mohammed Benlemlih},
url = {http://dx.doi.org/10.1016/j.qref.2018.03.013},
doi = {10.1016/j.qref.2018.03.013},
year = {2018},
date = {2018-01-01},
journal = {Quarterly Review of Economics and Finance},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
2017
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Brinette, Souad; Khemiri, Sabrina Identifying the determinants of corporate venture capital strategy: evidence from French firms Journal Article Forthcoming International Journal of entrepreneurship and Small business, Forthcoming. BibTeX @article{khemiri2017b,
title = {Identifying the determinants of corporate venture capital strategy: evidence from French firms},
author = {Souad Brinette and Sabrina Khemiri},
year = {2017},
date = {2017-12-30},
journal = {International Journal of entrepreneurship and Small business},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Fontaine, P; Jimenez, S; Seasholes, M Common Factors, Information, and Holdings Dispersion Journal Article Forthcoming Review of Finance, Forthcoming. BibTeX @article{fontaine2017bb,
title = {Common Factors, Information, and Holdings Dispersion},
author = {P. Fontaine and S. Jimenez and M. Seasholes},
year = {2017},
date = {2017-12-30},
journal = {Review of Finance},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Carassus, Laurence; Blanchard, R Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function Journal Article Forthcoming Annals of Applied Probability, Forthcoming. BibTeX @article{carassus2017,
title = {Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function},
author = {Laurence Carassus and R. Blanchard },
year = {2017},
date = {2017-12-30},
journal = {Annals of Applied Probability},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Grasselli, M; Fiorin, L; Callegaro, G Quantization meets Fourier: A New methodology for pricing options Inproceedings Quantitative Methods in Finance QMF2017, Sydney, Australie, 12-15 december., 2017. BibTeX @inproceedings{grasselli2017b,
title = {Quantization meets Fourier: A New methodology for pricing options},
author = {Grasselli, M. and Fiorin, L. and Callegaro, G. },
year = {2017},
date = {2017-12-30},
booktitle = {Quantitative Methods in Finance QMF2017, Sydney, Australie, 12-15 december.},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
F. Fabozzi, ; S. Focardi, ; C. Jonas, Equity Valuation: Science, Art, or Craft? Book CFA Institute, 2017. BibTeX @book{focardi2017bb,
title = {Equity Valuation: Science, Art, or Craft?},
author = {F. Fabozzi, and S. Focardi, and C. Jonas,},
year = {2017},
date = {2017-12-15},
publisher = {CFA Institute},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
|
Carassus, Laurence Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Inproceedings invitation, Mathematical Finance seminar at Oxfsord, novembre , 2017. BibTeX @inproceedings{carassus2017e,
title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework},
author = {Laurence Carassus},
year = {2017},
date = {2017-11-10},
booktitle = {invitation, Mathematical Finance seminar at Oxfsord, novembre },
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Grasselli, M; Fiorin, L; Callegaro, G Quantization meets Fourier: A New methodology for pricing options Inproceedings Mathematics in Finance 2017 International Conference, Cape Town, South Africa, 2-3 november, 2017. BibTeX @inproceedings{grasselli2017c,
title = {Quantization meets Fourier: A New methodology for pricing options},
author = {Grasselli, M. and Fiorin, L. and Callegaro, G. },
year = {2017},
date = {2017-11-10},
booktitle = {Mathematics in Finance 2017 International Conference, Cape Town, South Africa, 2-3 november},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Grasselli, M; Wagalath, L VIX versus VXX: a joint analytical framework Inproceedings Mathematics and Finance: Research in Options, Rio de Janeiro, Brazil, 25-30 november, 2017. BibTeX @inproceedings{grasselli2017e,
title = {VIX versus VXX: a joint analytical framework},
author = {Grasselli, M. and Wagalath, L. },
year = {2017},
date = {2017-11-10},
booktitle = {Mathematics and Finance: Research in Options, Rio de Janeiro, Brazil, 25-30 november},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Focardi, Sergio Money: What it is, how it’s created, who gets it, and why it matters Book Routledge, 208 p., 2017. BibTeX @book{focardi2017ab,
title = {Money: What it is, how it’s created, who gets it, and why it matters},
author = {Sergio Focardi},
year = {2017},
date = {2017-11-06},
publisher = {Routledge, 208 p.},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
|
Sougné, Tarik Bazgour; Laurent Bodson; Danielle What Style Liquidity Timing Skills Do Mutual Fund Managers Possess? Journal Article The Financial Review, 52 , pp. 597–626, 2017. Abstract | Links | BibTeX @article{Bazgour2017,
title = {What Style Liquidity Timing Skills Do Mutual Fund Managers Possess?},
author = {Tarik Bazgour; Laurent Bodson; Danielle Sougné},
doi = {10.1111/fire.12117},
year = {2017},
date = {2017-11-01},
journal = {The Financial Review},
volume = {52},
pages = {597–626},
abstract = {Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four-factor case and investigate liquidity timing skills with respect to the MARKET, SIZE, VALUE and MOMENTUM factors. Contrary to these claims, we find no evidence that fund managers adjust market exposure in anticipation of market liquidity changes. We find rather strong evidence that fund managers successfully overweight small stocks as market liquidity increases. Our study also demonstrates that it is easy to misidentify SIZE liquidity timing as MARKET liquidity timing in models that focus only on MARKET liquidity timing.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four-factor case and investigate liquidity timing skills with respect to the MARKET, SIZE, VALUE and MOMENTUM factors. Contrary to these claims, we find no evidence that fund managers adjust market exposure in anticipation of market liquidity changes. We find rather strong evidence that fund managers successfully overweight small stocks as market liquidity increases. Our study also demonstrates that it is easy to misidentify SIZE liquidity timing as MARKET liquidity timing in models that focus only on MARKET liquidity timing. |
Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino Pricing via Quantization in Stochastic Volatility Models Journal Article Quantitative Finance, 17 (6), pp. 855-872, 2017. Abstract | Links | BibTeX @article{Callegaro2017,
title = {Pricing via Quantization in Stochastic Volatility Models},
author = {Giorgia Callegaro and Lucio Fiorin and Martino Grasselli},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2669734},
year = {2017},
date = {2017-10-22},
journal = {Quantitative Finance},
volume = {17},
number = {6},
pages = {855-872},
abstract = {In this paper we apply a new methodology based on quantization to price options in stochastic volatility models. This method can be applied to any model for which an Euler scheme is available for the underlying process and it allows for pricing vanillas, as well as exotics, thanks to the knowledge of the transition probabilities for the discretized stock process. We apply the methodology to some celebrated stochastic volatility models, including the Stein and Stein (1991) model and the SABR model introduced in Hagan and Woodward (2002). A numerical exercise shows that the pricing of vanillas turns out to be accurate; in addition, when applied to some exotics like equity-volatility options, the quantization-based method overperforms by far the Monte Carlo simulation.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper we apply a new methodology based on quantization to price options in stochastic volatility models. This method can be applied to any model for which an Euler scheme is available for the underlying process and it allows for pricing vanillas, as well as exotics, thanks to the knowledge of the transition probabilities for the discretized stock process. We apply the methodology to some celebrated stochastic volatility models, including the Stein and Stein (1991) model and the SABR model introduced in Hagan and Woodward (2002). A numerical exercise shows that the pricing of vanillas turns out to be accurate; in addition, when applied to some exotics like equity-volatility options, the quantization-based method overperforms by far the Monte Carlo simulation. |
Grasselli, Martino The 4/2 stochastic volatility model Journal Article Mathematical Finance, 27 (4), pp. 1013-1034, 2017. Abstract | Links | BibTeX @article{Grassellibb,
title = {The 4/2 stochastic volatility model},
author = { Martino Grasselli},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2523635},
doi = {DOI: 10.1111/mafi.12124},
year = {2017},
date = {2017-10-15},
journal = {Mathematical Finance},
volume = {27},
number = {4},
pages = {1013-1034},
abstract = {We introduce a new stochastic volatility model that includes as special cases the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). The new model displays new features, namely the instantaneous volatility can be uniformly bounded away from zero, and it is highly tractable, meaning that the pricing procedure can be performed efficiently. This required the application of the Lie symmetries theory for PDEs, which allowed us to extend known results on Bessel processes. Finally, we provide an exact simulation and a second order discretization scheme for the model, which is useful in view of the numerical applications.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We introduce a new stochastic volatility model that includes as special cases the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). The new model displays new features, namely the instantaneous volatility can be uniformly bounded away from zero, and it is highly tractable, meaning that the pricing procedure can be performed efficiently. This required the application of the Lie symmetries theory for PDEs, which allowed us to extend known results on Bessel processes. Finally, we provide an exact simulation and a second order discretization scheme for the model, which is useful in view of the numerical applications. |
Focardi, S; Raberto, M; Ponta, L A multi-agent stock-flow consistent model of an economy with a banking system Inproceedings EAEPE Annual Conference, Budapest, 19-21 October , 2017. BibTeX @inproceedings{focardi2017c,
title = {A multi-agent stock-flow consistent model of an economy with a banking system},
author = {Focardi, S. and Raberto, M. and Ponta, L. },
year = {2017},
date = {2017-10-15},
booktitle = {EAEPE Annual Conference, Budapest, 19-21 October },
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Fontaine, P; Zhao, S The supply-side effect on the use of debt with very short and very long maturities Journal Article Finance Bulletin, 1 (1), pp. 10-28, 2017. BibTeX @article{fontaineZhao,
title = {The supply-side effect on the use of debt with very short and very long maturities},
author = {P. Fontaine and S. Zhao},
year = {2017},
date = {2017-09-15},
journal = {Finance Bulletin},
volume = {1},
number = {1},
pages = {10-28},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Bosi, S; P., Fontaine; C., Le Van How to determine exchange rates under risk neutrality: A note Journal Article Economic Letters, 157 , pp. 92-96, 2017. BibTeX @article{Fontaine2017a,
title = {How to determine exchange rates under risk neutrality: A note},
author = {Bosi, S. and Fontaine P. and Le Van C.},
year = {2017},
date = {2017-08-10},
journal = {Economic Letters},
volume = {157},
pages = {92-96},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Fontaine, P; Ross, S Le principe d’arbitrage au coeur de l’évaluation des actifs financiers Book Chapter in “Les grands auteurs en finance”, éditions EMS (Ed.): pp. 167-185, 2017. BibTeX @inbook{fontaineross,
title = {Le principe d’arbitrage au coeur de l’évaluation des actifs financiers },
author = {P. Fontaine and S. Ross},
editor = {in “Les grands auteurs en finance”, éditions EMS},
year = {2017},
date = {2017-07-15},
pages = {167-185},
keywords = {},
pubstate = {published},
tppubtype = {inbook}
}
|
Carassus, Laurence Mini-symposium Big Data Mégadonnées : quelques enjeux Conference organisation du minisymposium industriel Big Data au SMAI et modérateur de l’exposé Moulines, 2017. BibTeX @conference{carassus2017c,
title = {Mini-symposium Big Data Mégadonnées : quelques enjeux },
author = {Laurence Carassus},
year = {2017},
date = {2017-06-15},
booktitle = {organisation du minisymposium industriel Big Data au SMAI et modérateur de l’exposé Moulines},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Carassus, Laurence Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time Inproceedings AMAMEF, Amsterdam, juin 2017, 2017. BibTeX @inproceedings{carassus2017d,
title = {Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time},
author = {Laurence Carassus},
year = {2017},
date = {2017-06-14},
booktitle = {AMAMEF, Amsterdam, juin 2017},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Grasselli, Martino Organizer of a mini-symposium on Quantization Inproceedings 8th General AMaMeF Conference, Amsterdam, June 19-23, 2017. BibTeX @inproceedings{grasselli2017a,
title = {Organizer of a mini-symposium on Quantization},
author = {Martino Grasselli},
year = {2017},
date = {2017-06-14},
booktitle = {8th General AMaMeF Conference, Amsterdam, June 19-23},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Carassus, Laurence Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time Inproceedings of Alfred Rényi Institute of Mathematics, Hungarian Academy Sciences (Ed.): 2017. BibTeX @inproceedings{carassus2017b,
title = {Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time},
author = {Laurence Carassus},
editor = {Alfred Rényi Institute of Mathematics, Hungarian Academy of Sciences},
year = {2017},
date = {2017-05-15},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Anagnostidis, P;; P. Fontaine, Liquidity provision, Commonality and High-Frequency Trading Inproceedings Department of Economics - Bendheim Center for Finance, Princeton University, USA, May
Department of Finance, Arizona State University, W. P. Carey School of Business, USA, May , 2017. BibTeX @inproceedings{FontAgno2017a,
title = { Liquidity provision, Commonality and High-Frequency Trading },
author = {P; Anagnostidis and P. Fontaine, },
year = {2017},
date = {2017-05-15},
booktitle = {Department of Economics - Bendheim Center for Finance, Princeton University, USA, May
Department of Finance, Arizona State University, W. P. Carey School of Business, USA, May },
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Anagnostidis, P; Fontaine, P Information, learning and High-Frequency Trading in electronic call auction markets Conference AFFI May 2017, Valence, France, 2017. BibTeX @conference{FontAgno2017b,
title = {Information, learning and High-Frequency Trading in electronic call auction markets},
author = {P. Anagnostidis and P. Fontaine },
year = {2017},
date = {2017-05-15},
booktitle = {AFFI May 2017, Valence, France},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Fontaine, P; S., Zhao Do Industry Peers Matter? Evidence on Corporate Debt Maturity Policy? Inproceedings Banco de Portugal 2017 seminar, Portugal, may and the FMA Lisbon Meeting, Portugal June, 2017. BibTeX @inproceedings{fontaineZhaob,
title = {Do Industry Peers Matter? Evidence on Corporate Debt Maturity Policy?},
author = {Fontaine, P. and Zhao S. },
year = {2017},
date = {2017-05-15},
booktitle = {Banco de Portugal 2017 seminar, Portugal, may and the FMA Lisbon Meeting, Portugal June},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Grasselli, M; Mesias, A; Schlogl, E A consistent stochastic model of the term structure of interest rates for multiple tenors Inproceedings Second Paris-Asia Conference in Quantitative Finance, Suzhou, China, 26-27 mai, 2017. BibTeX @inproceedings{grasselli2017d,
title = {A consistent stochastic model of the term structure of interest rates for multiple tenors},
author = {Grasselli, M. and Mesias, A. and Schlogl, E},
year = {2017},
date = {2017-05-15},
booktitle = {Second Paris-Asia Conference in Quantitative Finance, Suzhou, China, 26-27 mai},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Jaballah, J; Peillex, J; Weill, L Is Being Islamic Worth It ? Conference AFFI, Valence, mai 2017 et IRMBM, Nice, 5 juillet, 2017. BibTeX @conference{peillex2017,
title = {Is Being Islamic Worth It ?},
author = {Jaballah, J. and Peillex, J. and Weill, L. },
year = {2017},
date = {2017-05-15},
booktitle = {AFFI, Valence, mai 2017 et IRMBM, Nice, 5 juillet},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Platania, Federico Long-term swings and seasonality in energy markets Conference 5th International Symposium on Environment and Energy Finance Issues (ISEFI-2017), Paris, 22-23 mai , 2017. BibTeX @conference{platania2017,
title = {Long-term swings and seasonality in energy markets},
author = {Federico Platania},
year = {2017},
date = {2017-05-15},
booktitle = {5th International Symposium on Environment and Energy Finance Issues (ISEFI-2017), Paris, 22-23 mai },
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
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 @article{Brière2017b,
title = {Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? },
author = {Marie Brière, Jonathan Peillex, Loredana Ureche-Rangau},
editor = {CFA Institute},
url = {http://www.cfapubs.org/doi/pdf/10.2469/faj.v73.n3.2},
doi = {10.2469/faj.v73.n3.2},
year = {2017},
date = {2017-05-06},
journal = {Financial Analysts Journal},
volume = {73},
number = {3},
pages = {1-14},
abstract = {Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices. },
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices. |
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 @conference{Khemiribbl,
title = {Crise financière et performance du capital investissement en France},
author = {Sabrina KHEMIRI and Amel SAHLI},
year = {2017},
date = {2017-03-11},
publisher = {International Finance Conference 9},
address = {ISC, Paris, 11-12 Mars },
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
2016
|
Martino, Grasselli; G., Callegaro; L., Fiorin Quantized stochastic volatility Inproceedings Quantitative Methods in Finance QMF 2016 , Sydney, Australia, 2016. BibTeX @inproceedings{GrasseliiConf1,
title = {Quantized stochastic volatility},
author = {Grasselli Martino and Callegaro G. and Fiorin L. },
year = {2016},
date = {2016-12-13},
booktitle = {Quantitative Methods in Finance QMF 2016 , Sydney, Australia},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
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. BibTeX @conference{Platania2016,
title = {Long-term swings and and seasonality in energy markets},
author = {Moreno M. and Novales A. and Platania, F. },
year = {2016},
date = {2016-12-12},
booktitle = {4th Paris Financial Management Conferen, hosted by IPAG Business School.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
M., Grasselli; M., Craddock Lie symmetry methods for local volatility models Inproceedings Mathematics and Finance: Research in Options, IMPA, Rio de Janeiro, Brazil, 2016. BibTeX @inproceedings{GrasselliConf2,
title = {Lie symmetry methods for local volatility models},
author = {Grasselli M. and Craddock M. },
year = {2016},
date = {2016-11-25},
booktitle = {Mathematics and Finance: Research in Options, IMPA, Rio de Janeiro, Brazil},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Focardi, Sergio; Fallaghoul, H; Fabozzi, F Fractional Calculus and Fractional Processes with Applications to Financial Economics, Book John Wiley & Sons,105 pages, 2016. BibTeX @book{FocardiFabozzi,
title = {Fractional Calculus and Fractional Processes with Applications to Financial Economics, },
author = {Sergio Focardi and H. Fallaghoul and F. Fabozzi},
year = {2016},
date = {2016-10-12},
publisher = {John Wiley & Sons,105 pages},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
|
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 @article{Deelstra2015b,
title = {The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options},
author = {Griselda Deelstra and Martino Grasselli and Christopher van Weverberg},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2667939
http://dx.doi.org/10.1016/j.insmatheco.2016.09.010},
doi = {http://dx.doi.org/10.1016/j.insmatheco.2016.09.010},
issn = {0167-6687},
year = {2016},
date = {2016-09-28},
journal = {Insurance: Mathematics and Economics},
volume = {71},
pages = {205-219},
institution = {ULB},
abstract = {In this paper we investigate the consequences on the pricing of insurance contingent claims when we relax the typical independence assumption made in the actuarial literature between mortality risk and interest rate risk. Starting from the Gaussian approach of Liu et al. (2014), we consider more general affine models where the mortality and interest rates remain positive and we derive pricing formulas for insurance contracts like Guaranteed Annuity Options (GAOs). In a Wishart affine model, which allows for a non-trivial dependence between the mortality and the interest rates, we go far beyond the results found in the Gaussian case by Liu et al. (2014), where the value of these insurance contracts can be explained only in terms of the initial pairwise linear correlation.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper we investigate the consequences on the pricing of insurance contingent claims when we relax the typical independence assumption made in the actuarial literature between mortality risk and interest rate risk. Starting from the Gaussian approach of Liu et al. (2014), we consider more general affine models where the mortality and interest rates remain positive and we derive pricing formulas for insurance contracts like Guaranteed Annuity Options (GAOs). In a Wishart affine model, which allows for a non-trivial dependence between the mortality and the interest rates, we go far beyond the results found in the Gaussian case by Liu et al. (2014), where the value of these insurance contracts can be explained only in terms of the initial pairwise linear correlation. |
Brunel, Vivien Operational risk modelled analytically II: classification invariance Journal Article Risk Magazine, on line, 2016. BibTeX @article{BrunelRisk2,
title = {Operational risk modelled analytically II: classification invariance},
author = {Vivien Brunel},
year = {2016},
date = {2016-09-15},
journal = {Risk Magazine, on line},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
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 @article{FontaineCissé,
title = {Why do companies transfer the trading compartment of their common stocks},
author = {A. Cissé and Patrice Fontaine},
year = {2016},
date = {2016-07-12},
journal = {Research In International Business and Finance},
number = {36},
pages = {624-640},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
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 @article{Peillexb,
title = {Identifying the determinants of the decision to create Socially Responsible funds : An empirical investigation},
author = { Jonathan Peillex and Loredana Ureche-Rangau},
editor = {Springer Netherlands},
url = {http://www.iae-aix.com/affi2014/docs/phd/identifying_the_determinants_of_the_decision_to_create_socially_responsible_funds_an_empirical_investigation.pdf},
doi = {10.1007/s10551-014-2507-y},
issn = {1573-0697},
year = {2016},
date = {2016-06-17},
journal = {Journal of Business Ethics},
volume = {136},
number = {1},
pages = {101-117},
abstract = {This paper proposes an empirical assessment of the main factors behind the decision of a corporate sponsor to launch a socially responsible (SR) fund. Our analysis is performed on a database that encompasses 414 SR fund creations by 46 corporate sponsors between 1990 and 2012. We provide evidence that economic and human resources slack, leverage, low media coverage and high extra-financial performance of the corporate sponsor contribute to an increase of the probability to propose SR funds. These results lead us to argue that the introduction of such funds goes beyond the economic objective of enlarging the market share of the corporate sponsor. It may thus be seen as a particular strategy in terms of communication and signaling, due to the specific characteristics of SR funds.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This paper proposes an empirical assessment of the main factors behind the decision of a corporate sponsor to launch a socially responsible (SR) fund. Our analysis is performed on a database that encompasses 414 SR fund creations by 46 corporate sponsors between 1990 and 2012. We provide evidence that economic and human resources slack, leverage, low media coverage and high extra-financial performance of the corporate sponsor contribute to an increase of the probability to propose SR funds. These results lead us to argue that the introduction of such funds goes beyond the economic objective of enlarging the market share of the corporate sponsor. It may thus be seen as a particular strategy in terms of communication and signaling, due to the specific characteristics of SR funds. |
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 @article{NouetHaikel,
title = {How personal finance management influences consumers motivations and behavior regarding online banking services},
author = {Marie Haikel-Elsabeh and Sébastien Nouet and M. Narayadou},
year = {2016},
date = {2016-06-15},
journal = {Communications and Strategies - Digiworld Economic Journal},
number = {103},
pages = {15-34},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
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 @article{Engle,
title = {Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management},
author = {Robert Engle and Sergio Focardi and Frank Fabozzi},
editor = {Institutional Investors},
doi = {10.3905/jpm.2016.42.5.094},
year = {2016},
date = {2016-06-01},
journal = { Journal of Portfolio Management},
volume = {42},
number = {5},
pages = {94-106},
abstract = {In this article, the authors provide a nontechnical discussion of a number of practical and theoretical issues associated with implementing factor models used to explain or forecast equity returns. The first issue is determining the number of factors (i.e., the number of variables needed to explain or forecast returns). In finite markets such as stock markets, the problem of determining the true number of factors cannot be solved theoretically. Instead, asset managers must be content with approximations using model selection criteria. The authors then discuss the questions of overfitting and dimensionality reduction—both of which can lead to poor out-of-sample performance of investment or trading strategies. Overfitting entails using a model that is too complex for the data available to the modeler; thus, the resulting model fits noise. Dimensionality reduction solves the problem of dimensionality by using approximate models of reduced dimensionality that can be estimated with small samples. An important instance of applying dimensionality reduction techniques is using factor GARCH models to forecast covariance matrices. Finally, the authors discuss problems associated with backtesting. In trying to choose the best-performing model or strategy, a modeler may be tempted to run multiple backtests, thereby creating the risk of using out-of-sample backtesting as a form of in-sample testing. In turn, this leads to overfitting.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this article, the authors provide a nontechnical discussion of a number of practical and theoretical issues associated with implementing factor models used to explain or forecast equity returns. The first issue is determining the number of factors (i.e., the number of variables needed to explain or forecast returns). In finite markets such as stock markets, the problem of determining the true number of factors cannot be solved theoretically. Instead, asset managers must be content with approximations using model selection criteria. The authors then discuss the questions of overfitting and dimensionality reduction—both of which can lead to poor out-of-sample performance of investment or trading strategies. Overfitting entails using a model that is too complex for the data available to the modeler; thus, the resulting model fits noise. Dimensionality reduction solves the problem of dimensionality by using approximate models of reduced dimensionality that can be estimated with small samples. An important instance of applying dimensionality reduction techniques is using factor GARCH models to forecast covariance matrices. Finally, the authors discuss problems associated with backtesting. In trying to choose the best-performing model or strategy, a modeler may be tempted to run multiple backtests, thereby creating the risk of using out-of-sample backtesting as a form of in-sample testing. In turn, this leads to overfitting. |
