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 :

324 entries « 1 of 7 »

2021

Imane El Ouadghiri Khaled Guesmi, Jonathan Peillex Andreas Ziegler

Public Attention to Environmental Issues and Stock Market Returns Journal Article

Ecological Economics, 180 (106836), 2021.

Abstract | Links | BibTeX

Callegaro, G; Grasselli, M; Pagès, G

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

Mathematics of Operations Research, Forthcoming.

BibTeX

Lakhal F., Francoeur Gaaya BenSaad C S I

How do powerful CEOs influence corporate environmental performance? Journal Article

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

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Jonathan Peillex Imane El Ouadghiri, Mathieu Gomes Jamil Jaballah

Extreme heat and stock market activity Journal Article

Ecological Economics, 179 (106810), 2021.

Abstract | Links | BibTeX

FONTAINE, Patrice; ZHAO, Sujiao

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

Journal of Banking & Finance, Forthcoming.

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2020

F. Lakhal N. Jedda, Ghenima R

Family Control and Investment Efficiency: Does Financial Analyst Coverage Matter? Journal Article Forthcoming

Management International, Forthcoming.

BibTeX

Comyns, Peillex; Boubaker; J S B

Does It Pay to Invest in Japanese Women? Evidence from the MSCI Japan Empowering Women Index Journal Article

Journal of Business Ethics, 2020.

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Lakhal, Zorgati; I F

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

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

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Garcin, Matthieu

Fractal analysis of the multifractality of foreign exchange rates Journal Article

Mathematical methods in economics and finance, 13-14 (1), pp. 49-73, 2020.

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et et VARSAKELIS, Anagnostidis PANAGIOTIS Patrice FONTAINE Christos

Are high–frequency traders informed? Journal Article

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

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Lakhal F., Boubaker Guizani S A

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

Bankers, Markets and Investors, (126), pp. 35-52, 2020, ISSN: 2101-9304.

BibTeX

Focardi Sergio, Fabozzi Frank Mazza Davide

Quantum Option Pricing and Quantum Finance Journal Article

2020.

BibTeX

Šapina M. Garcin M., Kramarić Milas Brdarić Pirić K K D M

The Hurst exponent of heart rate variability in neonatal stress, based on a mean-reverting fractional Lévy stable motion Journal Article

Fluctuation and noise letters, 19 (3), pp. 2050026, 2020.

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Lambert, Marie; Platania, Federico

The macroeconomic drivers in hedge fund beta management Journal Article

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

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Calesso, A; Conti, M; Grasselli, M

CyberWolf: assessing vulnerabilities of ITC-intensive financial markets Inproceedings

ARES '20: Proceedings of the 15th International Conference on Availability, Reliability and Security, pp. 1-7, 2020.

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

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

Technological Forecasting & Social Change, 157 , 2020.

Abstract | Links | BibTeX

Carassus, Laurence; ́oj, Jan Obł; Wiesel, Johannes

The robust superreplication problem: a dynamic approach Journal Article

financial mathematics, 10 (4), pp. 907 - 941, 2020.

Abstract | Links | BibTeX

Depoers F; Guizani, LAKHAL A ; F

Contrôle familial, conseil d’administration et risque de chute du cours d’action : le cas des entreprises françaises Journal Article Forthcoming

Management & Avenir, Forthcoming.

BibTeX

Blanchard, Romain; Carassus, Laurence

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

Stochastic Processes and their Applications, 2020.

Abstract | Links | BibTeX

Carassus, Laurence; Rásonyi, Miklós

Risk-Neutral Pricing for Arbitrage Pricing Theory Journal Article

Journal of Optimization Theory and Application, 186 , pp. 248 - 263, 2020.

Abstract | Links | BibTeX

BenKraiem R., LAKHAL Gaaya F S

Cross-Country Evidence on Earnings Quality and Corporate Tax Avoidance:The Moderating Role of Legal Institutions Journal Article

Economics Bulletin, 40 (2), pp. 1714-1726, 2020.

BibTeX

et Frank, Focardi Sergio Fabozzi

Climate Change and Asset Management Journal Article

2020.

BibTeX

Matthieu Garcin, Clément Goulet

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

Soft computing, 24 (18), pp. 13797-13812, 2020.

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PANAGIOTIS, Anagnostidis; FONTAINE, Patrice

Liquidity commonality and high frequency trading: Evidence from the French stock market Journal Article

International Review of Financial Analysis, 69 , 2020.

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Blanchard, Romain; Carassus, Laurence

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

Mathematical Finance, 2020.

Abstract | Links | BibTeX

Brinette S., Khemiri Benkraiem Miloudi S R A

Système de gouvernance et stratégie de capital risque industriel des groupes français Journal Article

Management International, 2020.

BibTeX

Sahli, A; KHEMIRI, S

Financial crisis and private equity performance in France Journal Article

International Journal of Entrepreneurship and Small Business, 39 (1-2), pp. 279–294, 2020.

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Fontaine, Patrice; Roger, Tristan

A re-examination of analysts’differential target price forecasting ability Journal Article

FINANCE, 2020.

BibTeX

Peillex, Jonathan; Comyns, B

Pourquoi les sociétés financières décident-elles d’adopter les Principes des Nations Unies pour l’Investissement Responsable ? Journal Article

Comptabilité-Contrôle-Audit, 26 , pp. 79-117, 2020.

Abstract | Links | BibTeX

2019

J.Peillex D.Yoon, Rouine I

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

Management International, 24 (4), pp. 1-44, 2019.

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Peillex, Jonathan; Erragragui, Elias; Bitar, Mohammad; Benlemlih, Mohammed

The contribution of market movements, asset allocation and active management to Islamic equity funds’ performance Journal Article

The Quarterly Review of Economics and Finance, 74 , pp. 32-38, 2019.

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et Mazza, Focardi Sergio Davide

Quantum computing, the new frontier of finance Journal Article

2019.

BibTeX

Grasselli, M; Fiorin, L; Callegaro, G

Quantization meets Fourier: A New methodology for pricing options Journal Article

Annals of Operations Research, 282 (1), pp. 59-86, 2019.

BibTeX

Carassus, Laurence

Apprendre de Léonard - Léonard De Vinci : L'art de la formule Book Chapter

2019, ISBN: 978-2-9570634-0-6.

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Benlemlih, Mohammed; Peillex, Jonathan

Revisiter la question "Does it pay to be good?" dans le contexte européen Journal Article

Recherches en Sciences de Gestion, 1 (130), pp. 243-263, 2019.

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Ajina, A; Lakhal, F; Ayed, S

Does Corporate Social Responsibility Reduce Earnings Management? The Moderating Role of Corporate Governance and Ownership Journal Article

Management International, 23 (2), pp. 45-55, 2019.

BibTeX

Peillex, Jonathan; Bitar, Mohammad

Performance des banques islamiques vs. banques conventionnelles: quelles exigences en matière de fonds propres réglementaires? Journal Article

Revue Economique, 70 (4), pp. 495-537, 2019.

Abstract | Links | BibTeX

Carassus, Laurence; Rasonyi, Miklos

From small markets to big markets Inproceedings

2019.

Abstract | BibTeX

Moreno, Manuel; Novales, Alfonso; Platania, Federico

Long-term swings and seasonality in energy markets Journal Article

European Journal of Operational Research, 279 (3), pp. 1011-1023, 2019.

Abstract | Links | BibTeX

Brinette, Souad; Khemiri, Sabrina

Identifying the determinants of corporate venture capital strategy: evidence from French firms Journal Article

International Journal of entrepreneurship and Small business, 37 (1), pp. 152-166, 2019.

BibTeX

Carassus, Laurence; Baptiste, Julien; Lépinette, Emmanuel

Pricing Without Martingale Measure Inproceedings

Springer-Verlag, (Ed.): 2019.

Abstract | Links | BibTeX

Contreras, Gabriela; Platania, Federico

Economic and policy uncertainty in climate change mitigation: The London Smart City case scenario Journal Article

Technological Forecasting & Social Change, 142 , pp. 384-393, 2019.

Abstract | Links | BibTeX

Carassus, Laurence; Rasonyi, Miklos

Risk-neutral pricing for APT Inproceedings

2019.

Abstract | BibTeX

Focardi Sergio, Fabozzi Frank Mazza Davide Mazza

Modeling local trends with regime shifting models with time-varying probabilities Journal Article

2019.

BibTeX

Garcin, Matthieu

Hurst exponents and delampertized fractional Brownian motions Journal Article

International journal of theoretical and applied finance, 22 (5), pp. 1950024, 2019.

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DUPUY, Philippe; FONTAINE, Patrice; HAMET, Joanne

Les Marchés des Capitaux Français Book

EMS, 2019.

BibTeX

Ouadghiri, Imane El; Peillex, Jonathan

Public attention to “Islamic terrorism” and stock market returns Journal Article Forthcoming

Journal of Comparative Economics, Forthcoming.

Abstract | Links | BibTeX

Kramarić K. Šapina M., Garcin Milas Pirić Brdarić Lukić Milas Pušeljić M K M D G V S

Heart rate asymmetry as a new marker for neonatal stress Journal Article

Biomedical signal processing & control, 47 , pp. 219-223, 2019.

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Imane El Ouadghiri, Remzi Uctum

Macroeconomic Expectations and Time Varying Heterogeneity: Evidence from Individual Survey Data Journal Article

Applied Economics, 52 , pp. 2443-2459, 2019.

Abstract | Links | BibTeX

2018

Imane El Ouadghiri, Jonathan Peillex

Public attention to “Islamic terrorism” and stock market returns Journal Article

Journal of Comparative Economics, 46 (4), pp. 936-946, 2018.

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324 entries « 1 of 7 »

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