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 :

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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.

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Ouadghiri, Imane El; Peillex, Jonathan

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

Journal of Comparative Economics, Forthcoming.

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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.

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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.

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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.

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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.

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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.

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Platania, Federico; Serrano, Pedro; Tapia, Mikel

Modelling the shape of the limit order book Journal Article

Quantitative Finance, 18 (9), pp. 1575-1597, 2018.

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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.

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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.

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Weill, Jamil Jaballah; Jonathan Peillex; Laurent

Is Being Sharia Compliant Worth It? Journal Article

Economic Modelling, 72 , pp. 353-362, 2018.

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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.

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2017

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.

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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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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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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

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.

BibTeX

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.

Abstract | Links | BibTeX

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.

Abstract | Links | BibTeX

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.

Abstract | Links | BibTeX

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

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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246 entries « 1 of 5 »

International Contacts


Alain Ouvrieu

Director of the International Relations Department

+ 33 1 41 16 72 50
Alain Ouvrieu Linkedin Alain Ouvrieu e-mail

Zoë Jofeh

Degree-seeking students coordinator

+33 1 41 16 70 93
Linkedin e-mail

Alice Eyraud

Incoming Exchange Students / Erasmus+ Coordinator

+33 1 41 16 72 51
Linkedin e-mail

Sandrine Mutaliph

Outgoing Exchange Students Coordinator

+33 1 41 16 72 90
Linkedin e-mail

Li Zheng

Outgoing Exchange Students Coordinator

+33 1 41 16 72 48
Linkedin e-mail

 



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