Finance Group

De Vinci Research Center


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.




Quantitative and mathematical finance

Modeling of interest rates, stochastic or rough volatility, no-arbitrage and pricing theory, maximization of standard and non-standard expected utility, operational and credit risk, risk management and model uncertainty.

Fintech

Vast array of technologies from blockchain to cryptocurrencies.

Financial Economics

Financial aspects of the qualitative changes required to ensure sustainable economic growth as well as responsible investment, which has acquired an important place in the current financial landscape.

Corporate Finance: corporate venture capital and debt structure, namely the performance analysis of distressed debt investments, M&A and corporate strategy.

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 :

278 entries « 1 of 6 »

2021

Bosi, Stefano; Fontaine, Patrice; Van, Cuong Le

Long-run equilibrium in international asssets and goods markets: Why is the law of one price required? Journal Article

In: Journal Of Economic Behavior & Organization, 190 (september), pp. 891-904, 2021.

Abstract | Links | BibTeX

Benkraiem, Ramzi; Depoers, Florence; Guizani, Assil; Lakhal, Faten

How do powerful decision-makers affect firm's stock price crash risk? Journal Article

In: Economics Bulletin, 41 (3), pp. 1876-1886, 2021.

Abstract | Links | BibTeX

Shuwaikh, Fatima

Corporate Investors' Financial Performance: Does Dynamic Ambidexterity Matter? Inproceedings

In: Journal of Economic Behavioral & Organization: SI: ?Financial Crisis and Investors Behavior, Virtual, 2021.

Abstract | Links | BibTeX

Shuwaikh, Fatima

Venture Capital Activities under Uncertainty: US and UK Investors behavior Inproceedings

In: Annals of Operations Research: SI: ?Risk And Uncertainty Modelling In Financial And Economic Systems: Evidence From Advanced Operational Research Methods?, Virtual, 2021.

Abstract | Links | BibTeX

Bazgour, Tarik; Heuchenne, Cédric; Hübner, Georges; Sougné, Danielle

How do Volatility Regimes Affect the Pricing of Quality and Liquidity in the Stock Market? Journal Article

In: Studies In Nonlinear Dynamics And Econometrics, 25 (1), pp. 20180127, 2021.

Abstract | Links | BibTeX

Essid, Moez

Comptabilité « verte » : l'UE fait un pas en direction d'une harmonisation des normes Miscellaneous

The Conversation, 2021.

Links | BibTeX

Carassus, Laurence; Lépinette, Emmanuel

Pricing without no-arbitrage condition in discrete time Journal Article

In: Journal Of Mathematical Analysis And Applications, 505 (1), 2021.

Abstract | Links | BibTeX

Garcin, Matthieu

Forecasting with fractional Brownian motion: a financial perspective Conference

10th General AMaMeF, virtual, 2021.

Links | BibTeX

Garcin, Matthieu

From non-parametric estimation of tail dependence coefficients to portfolio diversification Conference

4th International Conference on Econometrics and Statistics, Virtual, 2021.

Abstract | Links | BibTeX

Shuwaikh, Fatima

The Power of Syndicates: Evidence from Venture Capital Investments in the United States Conference

Reshaping capitalism for a sustainable world, Virtual, 2021.

Abstract | Links | BibTeX

Waxin, Timothée; Belot, François

Family control, stock price levels and stock split activity Journal Article

In: Finance, 42 (1), pp. 155-219, 2021.

Abstract | Links | BibTeX

?apina, Matej; Karmakar, Chandan; Kramari?, Karolina; Kosmider, Marcin; Garcin, Matthieu; Brdari?, Dario; Milas, Kre?imir; Yearwood, John

Lempel-Ziv complexity of the pNNx statistics - an application to neonatal stress Journal Article

In: Chaos Solitons & Fractals, 146 (1), pp. 110703, 2021.

Abstract | Links | BibTeX

Waxin, Timothée; Belot, François

Family control, stock price levels, and stock split activity Journal Article

In: Finance, 42 (1), pp. 155-219, 2021.

Abstract | Links | BibTeX

Garcin, Matthieu

Fractional models: estimation, forecast, and market efficiency Conference

Financial modelling seminar, Université Paris 1 Panthéon-Sorbonne, Virtual, 2021.

Abstract | Links | BibTeX

Fontaine, Patrice; Zhao, Sujiao

Suppliers as Financial Intermediaries: Trade Credit for Undervalued Firms Journal Article

In: Journal Of Banking & Finance, 124 , pp. 106043, 2021.

Abstract | Links | BibTeX

Callegaro, Gorgia; Grasselli, Martino; Pagès, Gilles

Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Journal Article

In: Mathematics Of Operations Research, 46 (1), pp. 221-254, 2021.

Abstract | Links | BibTeX

Ouadghiri, Imane El; Guesmi, Khaled; Peillex, Jonathan; Ziegler, Andreas

Public attention to environnemental issues and stock market returns Journal Article

In: Ecological Economics, 180 , pp. 106836, 2021.

Abstract | Links | BibTeX

Figà-Talamanca, Gianna; Focardi, Sergio

Common dynamic factors for cryptocurrencies and multiple pair trading statistical arbitrages Journal Article

In: Decisions in Economics and Finance, 2021.

Abstract | Links | BibTeX

Grunspan, Cyril; Pérez-Marco, Ricardo

On Profitability of Nakamoto double spend Journal Article

In: Probability In The Engineering And Informational Sciences, 2021.

Abstract | Links | BibTeX

Ouadghiri, Imane El; Ziegler, Andreas; Peillex, Jonathan; Guesmi, Khaled

Les menaces écologiques affectent-elles les décisions des investisseurs ? Miscellaneous

The Conversation, 2021.

Links | BibTeX

Belot, François; Waxin, Timothée

Family control, stock prices, and stock splits Miscellaneous

Magazine des Professions Financières et de l'Économie », 2021.

Links | BibTeX

Blanchard, Romain; Carassus, Laurence

Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Journal Article

In: Mathematical Finance, 31 (1), pp. 366-398, 2021.

Abstract | Links | BibTeX

Peillex, Jonathan; Ouadghiri, Imane El; Gomes, Mathieu; Jaballah, Jamil

Extreme Heat and Stock Market Activity Journal Article

In: Ecological Economics, 179 , pp. 106810, 2021.

Abstract | Links | BibTeX

Francoeur, Claude; Lakhal, Faten; Gaaya, Safa; Saad, Itidel Ben

How Do Powerful CEOs Influence Corporate Environmental Performance? Journal Article

In: Economic Modelling, 94 , pp. 121-129, 2021.

Abstract | Links | BibTeX

Ach, Yves-Alain; Said, Sandra Rmadi

Information financière et valeur des marques Book

ISTE Editions, 2021, ISBN: 978-1784057060.

Abstract | Links | BibTeX

Ach, Yves-Alain; Said, Sandra Rmadi

Financial Information and Brand Value: Reflections, Challenges and Limitations Book

Wiley-ISTE, 2021, ISBN: 978-1-786-30567-1.

Abstract | Links | BibTeX

Benkraiem, Ramzi; Lakhal, Faten; Saad, Itidel Ben

New insights into IFRS and earnings quality: what conclusions to draw from the French experience? Journal Article

In: Journal of Applied Accounting Research, 22 (2), pp. 307-333, 2021.

Abstract | Links | BibTeX

2020

Anagnostidis, Panagiotis; Fontaine, Patrice; Varsakelis, Christos

Are high-frequency traders' informed? Journal Article

In: Economic Modelling, 93 , pp. 365-383, 2020.

Abstract | Links | BibTeX

Lakhal, Faten; Depoers, Florence; Brahem, Emna

Family control and corporate social responsibility: The moderating effect of the board of directors Journal Article

In: Management International, 25 (2), pp. 218-238, 2020.

Abstract | Links | BibTeX

Ayed, Sabrine

Corporate Social Responsibility and Market efficiency PhD Thesis

Université Côte d'Azur, 2020.

Links | BibTeX

Pu, Jiang; Crépey, Stéphane; Chataigner, Marc

Nowcasting networks Journal Article

In: Journal Of Computational Finance, 24 (3), pp. 1-39, 2020.

Abstract | Links | BibTeX

Peillex, Jonathan; Yoon, Hyungseok; Rouine, I.

Affinité politique et choix du mode de propriété lors d'acquisitions transfrontalières Journal Article

In: Management International, 24 (4), pp. 99-112, 2020.

Abstract | Links | BibTeX

Zorgati, Imen; Lakhal, Faten

Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches Journal Article

In: Economic Modelling, 92 , pp. 162-169, 2020.

Abstract | Links | BibTeX

Blanchard, Romain; Carassus, Laurence

No-arbitrage with multiple-priors in discrete time Journal Article

In: Stochastic Processes And Their Applications, 130 (11), pp. 6657-6688, 2020.

Abstract | Links | BibTeX

Lakhal, Faten; Boubaker, Sabri; Guizani, Assil

Does corporate innovation strategy influence stock price crash risk? French market evidence Journal Article

In: Bankers, Markets and Investors, 162 , pp. 35-52, 2020.

Abstract | Links | BibTeX

Ouadghiri, Imane El; Gomes, Mathieu; Jaballah, Jamil; Peillex, Jonathan

Les marchés financiers souffrent-ils aussi du réchauffement climatique ? Miscellaneous

Harvard Business Review France, 2020.

Links | BibTeX

Grasselli, Martino

Smile modelling for exchange-traded products on Futures strategies Conference

Research in Options, Rio de Janeiro, Brazil, 2020.

Abstract | Links | BibTeX

Lakhal, Faten; Guizani, Assil; Depoers, Florence

Contrôle familial, conseil d'administration et risque de chute du cours d'actions : Le cas des entreprises françaises Journal Article

In: Management & Avenir, 119 , pp. 109-129, 2020.

Abstract | Links | BibTeX

Ouadghiri, Imane El; Peillex, Jonathan

Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français Journal Article

In: Revue Économique, 71 (5), pp. 841-863, 2020.

Abstract | Links | BibTeX

Focardi, Sergio; Fabozzi, Franck; Mazza, Davide

Quantum Option Pricing and Quantum Finance Journal Article

In: Journal Of Derivatives, 28 (1), pp. 79-98, 2020.

Abstract | Links | BibTeX

Garcin, Matthieu; Goulet, Clément

Non-parametric new impact curve: a variational approach Journal Article

In: Soft Computing, 24 (18), pp. 13797-13812, 2020.

Abstract | Links | BibTeX

Grasselli, Martino; Wagalath, Lakshithe

VIX vs VXX: A Joint Analytical Framework Journal Article

In: International Journal of Theoretical and Applied Finance, 23 (5), pp. 2050033, 2020.

Abstract | Links | BibTeX

?apina, Matej; Garcin, Matthieu; Kramari?, Karolina; Milas, Kre?imir; Brdari?, Dario; Piri?, Marko

The Hurst Exponent of Heart Rate Variability in Neonatal Stress, Based on a Mean-Reverting Fractional Lévy Stable Motion Journal Article

In: Fluctuation And Noise Letters, 19 (3), pp. 2050026, 2020.

Abstract | Links | BibTeX

Appio, Francesco; Leone, Daniele; Platania, Federico; Schiavone, Francesco

Why are rewards not delivered on time in rewards-based crowdfunding campaigns? An empirical exploration Journal Article

In: Technological Forecasting And Social Change, 157 , pp. 120069, 2020.

Abstract | Links | BibTeX

Boubaker, Sabri; Brahem, Emna; Lakhal, Faten

La diversité du genre influence-t-elle la performance RSE des entreprises familiales ? Journal Article

In: La Revue des Sciences de Gestion, 303-304 , pp. 71-80, 2020.

Abstract | Links | BibTeX

Grasselli, Martino

CyberWolf: Assessing vulnerabilities of ICT-intensive financial markets Inproceedings

In: proceedings of the 3rd International Workshop on Cyber Threat Intelligence Management (CyberTIM 2020), Dublin, Ireland, 2020.

Links | BibTeX

Jedda, Nour; Lakhal, Faten; Ghenima, Riadh

Family Control and Investment Efficiency: Does financial analyst coverage matter? Journal Article

In: Management International, 25 (3), pp. 91-115, 2020.

Abstract | Links | BibTeX

Carassus, Laurence; Rásonyi, Miklos

Risk-neutral pricing for Arbitrage Pricing Theory Journal Article

In: Journal Of Optimization Theory And Applications, 186 (1), pp. 248-263, 2020.

Abstract | Links | BibTeX

Craddock, Mark; Grasselli, Martino

Lie symmetry methods for local volatility models Journal Article

In: Stochastic Processes And Their Applications, 130 (6), pp. 3802-3841, 2020.

Abstract | Links | BibTeX

Lambert, Marie; Platania, Federico

The macroeconomic drivers in hedge fund beta management Journal Article

In: Economic Modelling, 91 , pp. 65-80, 2020.

Abstract | Links | BibTeX

278 entries « 1 of 6 »

Research Center

Contact us
Apply now

    Need information ?

    Contact us and we will help you