Finance Group

De Vinci Research Center


The finance research professors at the Pôle Léonard de Vinci are involved in both the school of management and the school of engineering where 30% of students specialize in finance. 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.




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 :

229 entries « 1 of 5 »

2017

Desbrières, Philippe; Erragragui, Elias; Peillex, Jonathan

L'investissement conforme à la Charia est-il socialement responsable? Journal Article Forthcoming

Management International, Forthcoming.

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Brinette, S; Khemiri, S

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

International Journal of entrepreneurship and Small business, Forthcoming.

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Fontaine, P; Jimenez, S; Seasholes, M

Common Factors, Information, and Holdings Dispersion Journal Article Forthcoming

Review of Finance, Forthcoming.

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Carassus, Laurence; Blanchard, R

Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function Journal Article Forthcoming

Annals of Applied Probability, Forthcoming.

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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.

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F. Fabozzi, ; S. Focardi, ; C. Jonas,

Equity Valuation: Science, Art, or Craft? Book

CFA Institute, 2017.

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Erragragui, Elias; Hassan, Kabir; Peillex, Jonathan; Khan, Faisal

Does ethics improve stock market resilience in times of instability? Journal Article Forthcoming

Economic Systems, Forthcoming.

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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.

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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.

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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.

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Focardi, Sergio

Money: What it is, how it’s created, who gets it, and why it matters Book

Routledge, 208 p., 2017.

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Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino

Pricing via Quantization in Stochastic Volatility Models Journal Article

Quantitative Finance, 17 (6), pp. 855-872, 2017.

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Grasselli, Martino

The 4/2 stochastic volatility model Journal Article

Mathematical Finance, 27 (4), pp. 1013-1034, 2017.

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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.

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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.

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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.

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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.

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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.

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Carassus, Laurence

Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time Inproceedings

AMAMEF, Amsterdam, juin 2017, 2017.

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Grasselli, Martino

Organizer of a mini-symposium on Quantization Inproceedings

8th General AMaMeF Conference, Amsterdam, June 19-23, 2017.

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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.

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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.

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Anagnostidis, P; Fontaine, P

Information, learning and High-Frequency Trading in electronic call auction markets Conference

AFFI May 2017, Valence, France, 2017.

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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.

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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.

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Jaballah, J; Peillex, J; Weill, L

Is Being Islamic Worth It ? Conference

AFFI, Valence, mai 2017 et IRMBM, Nice, 5 juillet, 2017.

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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.

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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.

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KHEMIRI, Sabrina; SAHLI, Amel

Crise financière et performance du capital investissement en France Conference

International Finance Conference 9, ISC, Paris, 11-12 Mars , 2017.

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2016

Martino, Grasselli; G., Callegaro; L., Fiorin

Quantized stochastic volatility Inproceedings

Quantitative Methods in Finance QMF 2016 , Sydney, Australia, 2016.

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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.

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M., Grasselli; M., Craddock

Lie symmetry methods for local volatility models Inproceedings

Mathematics and Finance: Research in Options, IMPA, Rio de Janeiro, Brazil, 2016.

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Focardi, Sergio; Fallaghoul, H; Fabozzi, F

Fractional Calculus and Fractional Processes with Applications to Financial Economics, Book

John Wiley & Sons,105 pages, 2016.

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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.

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Brunel, Vivien

Operational risk modelled analytically II: classification invariance Journal Article

Risk Magazine, on line, 2016.

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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.

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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.

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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.

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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.

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Wagalath, Lakshithe; Cont, R

Institutional Investors and the Dependant Structure Of Asset Returns Journal Article

International Journal of Theoritical and Applied Finance, 19 (02), pp. 1650010-01 - 1650010-37 , 2016.

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Sahli, Amel

Le contrôleur de gestion, prescripteur d'information Journal Article

Revue Finance & Gestion, (342), pp. 30-32, 2016.

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Brunel, Vivien

Loan Classification under IFRS9 Journal Article

Risk Magazine, on line, 2016.

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Bosi, Stefano; Fontaine, Patrice; LeVan, Cuong

Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international asset and good markets Journal Article

Mathematical Social Sciences, 82 , pp. 26-36, 2016.

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Grasselli, Martino; Miglietta, Giulio

A Flexible Spot Multiple-Curve Model Journal Article

Quantitative Finance, 16 (10), pp. 1465-1477, 2016, ISSN: 1469-7688.

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Brunel, Vivien; Crépey, Stéphane; Jeanblanc, Monique

Expected Credit Loss vs Credit Value Adjustment: a comparative Analysis Journal Article

Bankers Markets Investors, (141), pp. 6-18, 2016.

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M., Grasselli; G., Callegaro; L., Fiorin

Pricing via Recursive Quantization in Stochastic Volatility Models Inproceedings

Workshop in Quantitative Finance, Pisa, Italy, 2016.

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Braouezec, Yann; Grunspan, Cyril

Option Pricing Bounds in a Finite Market Model: A Simple Geometric Approach Using Barycentric Coordinates Journal Article

European Journal of Operational Research, 249 (1), pp. 270–280, 2016, ISSN: 0377-2217.

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Grasselli, Martino; Romo, Jacinto Marabel

Stochastic Skew and Target Volatility Options Journal Article

The Journal of Futures Markets, 36 (2), pp. 174-193, 2016.

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Sergio M. Focardi, Frank Fabozzi J; Mitov, Ivan

A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance Journal Article

Journal of Banking and Finance, 2016.

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2015

Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino

Pricing via Quantization in stochastic volatility models Conference

QMF Quantitative Methods in Finance, Sydney, UTS, 15-17 december, 2015.

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229 entries « 1 of 5 »

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