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.
EMLV and ESILV’s professors and researchers of the Finance Group :
Publication of the professors and researchers of the Finance Group :
2021 |
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. @article{Lakhal2021, title = {How do powerful CEOs influence corporate environmental performance?}, author = {Lakhal, F., Francoeur C., Gaaya S., BenSaad I.}, editor = {ELSEVIER }, doi = {https://doi.org/10.1016/j.econmod.2020.09.024}, year = {2021}, date = {2021-01-01}, journal = {Economic Modelling}, volume = {94}, pages = {121-129}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
2020 |
F. Lakhal N. Jedda, Ghenima R Family Control and Investment Efficiency: Does Financial Analyst Coverage Matter? Journal Article Forthcoming Management International, Forthcoming. @article{Lakhal0000, title = {Family Control and Investment Efficiency: Does Financial Analyst Coverage Matter?}, author = { F. Lakhal, N. Jedda, R. Ghenima}, year = {2020}, date = {2020-12-31}, journal = {Management International}, keywords = {}, pubstate = {forthcoming}, tppubtype = {article} } |
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. @article{Comyns2019, title = {Does It Pay to Invest in Japanese Women? Evidence from the MSCI Japan Empowering Women Index}, author = {J. Peillex; S. Boubaker; B. Comyns}, url = {https://link.springer.com/article/10.1007/s10551-019-04373-8#citeas}, doi = {https://doi.org/10.1007/s10551-019-04373-8}, year = {2020}, date = {2020-12-30}, journal = {Journal of Business Ethics}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{Lakhal2019, title = {Spatial contagion in the subprime crisis context: Adjusted correlation versus local correlation approaches}, author = {I. Zorgati; F. Lakhal}, editor = {ELSEVIER}, doi = {https://doi.org/10.1016/j.econmod.2019.12.015}, year = {2020}, date = {2020-11-01}, journal = {Economic Modelling}, volume = {92}, pages = {162-169}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{Lakhal2020c, title = {Does corporate innovation strategy influence stock price crash risk? French market evidence}, author = {Lakhal, F., Boubaker, S., Guizani, A.}, issn = {2101-9304}, year = {2020}, date = {2020-09-30}, journal = {Bankers, Markets and Investors}, number = {126}, pages = {35-52}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
Carassus, Laurence; ́oj, Jan Obł; Wiesel, Johannes The robust superreplication problem: a dynamic approach Journal Article financial mathematics, 10 (4), pp. 907 - 941, 2020. @article{Carassus2020b, title = {The robust superreplication problem: a dynamic approach}, author = {Laurence Carassus and Jan Obł ́oj and Johannes Wiesel}, url = { https://www.researchgate.net/publication/330034750}, year = {2020}, date = {2020-07-16}, journal = {financial mathematics}, volume = {10}, number = {4}, pages = {907 - 941}, abstract = {In the frictionless discrete time financial market of Bouchard et al.(2015) weconsider a trader who, due to regulatory requirements or internal risk manage-ment reasons, is required to hedge a claimξin a risk-conservative way relativeto a family of probability measuresP. We first describe the evolution ofπt(ξ)-the superhedging price at timetof the liabilityξat maturityT- via a dynamicprogramming principle and show thatπt(ξ)can be seen as a concave envelopeofπt+1(ξ)evaluated at today’s prices. Then we consider an optimal investmentproblem for the trader who is rolling over her robust superhedge and phrase thisas a robust maximisation problem, where the expected utility of inter-temporalconsumption is optimised subject to a robust superhedging constraint. This util-ity maximisation is carrried out under a new family of measuresPu, which nolonger have to capture regulatory or institutional risk views but rather repre-sent trader’s subjective views on market dynamics. Under suitable assumptionson the trader’s utility functions, we show that optimal investment and consump-tion strategies exist and further specify when, and in what sense, these may beunique.}, keywords = {}, pubstate = {published}, tppubtype = {article} } In the frictionless discrete time financial market of Bouchard et al.(2015) weconsider a trader who, due to regulatory requirements or internal risk manage-ment reasons, is required to hedge a claimξin a risk-conservative way relativeto a family of probability measuresP. We first describe the evolution ofπt(ξ)-the superhedging price at timetof the liabilityξat maturityT- via a dynamicprogramming principle and show thatπt(ξ)can be seen as a concave envelopeofπt+1(ξ)evaluated at today’s prices. Then we consider an optimal investmentproblem for the trader who is rolling over her robust superhedge and phrase thisas a robust maximisation problem, where the expected utility of inter-temporalconsumption is optimised subject to a robust superhedging constraint. This util-ity maximisation is carrried out under a new family of measuresPu, which nolonger have to capture regulatory or institutional risk views but rather repre-sent trader’s subjective views on market dynamics. Under suitable assumptionson the trader’s utility functions, we show that optimal investment and consump-tion strategies exist and further specify when, and in what sense, these may beunique. |
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. @article{Lakhal2020b, title = {Contrôle familial, conseil d’administration et risque de chute du cours d’action : le cas des entreprises françaises}, author = {Depoers, F; Guizani, A.; LAKHAL, F. }, editor = {Cairn}, year = {2020}, date = {2020-07-07}, journal = {Management & Avenir}, keywords = {}, pubstate = {forthcoming}, tppubtype = {article} } |
Blanchard, Romain; Carassus, Laurence No-arbitrage with multiple-priors in discrete time Journal Article Stochastic Processes and their Applications, 2020. @article{Blanchard2020b, title = {No-arbitrage with multiple-priors in discrete time}, author = {Romain Blanchard and Laurence Carassus}, url = {https://doi.org/10.1016/j.spa.2020.06.006}, doi = { 10.1016/j.spa.2020.06.006}, year = {2020}, date = {2020-06-30}, journal = {Stochastic Processes and their Applications}, abstract = {In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. We show that it is equivalent to the existence of a subclass of priors having the same polar sets as the initial class and such that the uni-prior no-arbitrage holds true for all priors in this subset. This characterisation shows that it is indeed a well-chosen condition being equivalent to several previously used alternative notions of no-arbitrage and allowing the proof of important results in mathematical finance. We also revisit the geometric and quantitative no-arbitrage conditions and explicit two important examples where all these concepts are illustrated.}, keywords = {}, pubstate = {published}, tppubtype = {article} } In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. We show that it is equivalent to the existence of a subclass of priors having the same polar sets as the initial class and such that the uni-prior no-arbitrage holds true for all priors in this subset. This characterisation shows that it is indeed a well-chosen condition being equivalent to several previously used alternative notions of no-arbitrage and allowing the proof of important results in mathematical finance. We also revisit the geometric and quantitative no-arbitrage conditions and explicit two important examples where all these concepts are illustrated. |
Carassus, Laurence; Rásonyi, Miklós Risk-Neutral Pricing for Arbitrage Pricing Theory Journal Article Journal of Optimization Theory and Application, 186 , pp. 248 - 263, 2020. @article{Carassus2020, title = {Risk-Neutral Pricing for Arbitrage Pricing Theory}, author = {Laurence Carassus and Miklós Rásonyi}, url = {https://link.springer.com/article/10.1007/s10957-020-01699-6}, doi = {10.1007/s10957-020-01699-6 }, year = {2020}, date = {2020-06-23}, journal = {Journal of Optimization Theory and Application}, volume = {186}, pages = {248 - 263}, abstract = {We consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show the existence of optimal strategies for investors maximizing their expected utility and the convergence of their reservation prices to the super-replication cost as their risk-aversion tends to infinity.}, keywords = {}, pubstate = {published}, tppubtype = {article} } We consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show the existence of optimal strategies for investors maximizing their expected utility and the convergence of their reservation prices to the super-replication cost as their risk-aversion tends to infinity. |
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. @article{Lakhal2020, title = {Cross-Country Evidence on Earnings Quality and Corporate Tax Avoidance:The Moderating Role of Legal Institutions}, author = {BenKraiem, R., LAKHAL, F., Gaaya, S.}, year = {2020}, date = {2020-06-18}, journal = {Economics Bulletin}, volume = {40}, number = {2}, pages = { 1714-1726}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
Blanchard, Romain; Carassus, Laurence Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Journal Article Mathematical Finance, 2020. @article{Blanchard2020, title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework}, author = {Romain Blanchard and Laurence Carassus }, url = {https://arxiv.org/pdf/1709.09465v1.pdf}, year = {2020}, date = {2020-03-17}, journal = {Mathematical Finance}, abstract = {This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random functions defined on the positive axis. We prove that under suitable conditions the multiple-priors utility indifference prices of a contingent claim converge to its multiple-priors superreplication price. We also revisit the notion of certainty equivalent for random utility functions and establish its relation with the absolute risk aversion. }, keywords = {}, pubstate = {published}, tppubtype = {article} } This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random functions defined on the positive axis. We prove that under suitable conditions the multiple-priors utility indifference prices of a contingent claim converge to its multiple-priors superreplication price. We also revisit the notion of certainty equivalent for random utility functions and establish its relation with the absolute risk aversion. |
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. @article{Brinette2020, title = {Système de gouvernance et stratégie de capital risque industriel des groupes français}, author = {Brinette, S., Khemiri, S., Benkraiem, R., Miloudi, A}, year = {2020}, date = {2020-01-09}, journal = {Management International}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{Sahli2018, title = {Financial crisis and private equity performance in France}, author = {Sahli, A. and KHEMIRI, S.}, editor = {International Journal of Entrepreneurship and Small Business}, url = {https://www.inderscience.com/info/inarticle.php?artid=104254}, doi = {10.1504/IJESB.2020.104254}, year = {2020}, date = {2020-01-02}, journal = {International Journal of Entrepreneurship and Small Business}, volume = {39}, number = {1-2}, pages = {279–294}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
Fontaine, Patrice; Roger, Tristan A re-examination of analysts’differential target price forecasting ability Journal Article FINANCE, 2020. @article{Fontaine2020a, title = {A re-examination of analysts’differential target price forecasting ability}, author = {Patrice Fontaine and Tristan Roger}, editor = {PUG}, year = {2020}, date = {2020-01-01}, journal = {FINANCE}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{Peillex2019d, title = {Pourquoi les sociétés financières décident-elles d’adopter les Principes des Nations Unies pour l’Investissement Responsable ?}, author = {Jonathan Peillex and B. Comyns}, url = {https://www.cairn.info/revue-comptabilite-controle-audit-2020-1-page-79.htm}, doi = {https://doi.org/10.3917/cca.261.0079}, year = {2020}, date = {2020-01-01}, journal = {Comptabilité-Contrôle-Audit}, volume = {26}, pages = {79-117}, abstract = {Cette étude propose d’étudier l’influence de trois catégories de facteurs sur la décision des entreprises financières d’adopter les Principes pour l’Investissement Responsable (PRI). Ces facteurs sont liés : (i) aux ressources disponibles des entreprises (ii) à la recherche de légitimité et (iii) à la gouvernance. Des analyses à la fois univariées et multivariées sont appliquées à un échantillon composé de 198 entreprises financières de 2006 à 2015. Les résultats indiquent que les entreprises financières qui adhèrent aux PRI disposent de ressources disponibles moins conséquentes, sont davantage scrutées par le grand public, de plus grande taille et dotées d’un conseil d’administration caractérisé par une plus grande diversité de genre et par une plus forte indépendance que les entreprises non signataires.}, keywords = {}, pubstate = {published}, tppubtype = {article} } Cette étude propose d’étudier l’influence de trois catégories de facteurs sur la décision des entreprises financières d’adopter les Principes pour l’Investissement Responsable (PRI). Ces facteurs sont liés : (i) aux ressources disponibles des entreprises (ii) à la recherche de légitimité et (iii) à la gouvernance. Des analyses à la fois univariées et multivariées sont appliquées à un échantillon composé de 198 entreprises financières de 2006 à 2015. Les résultats indiquent que les entreprises financières qui adhèrent aux PRI disposent de ressources disponibles moins conséquentes, sont davantage scrutées par le grand public, de plus grande taille et dotées d’un conseil d’administration caractérisé par une plus grande diversité de genre et par une plus forte indépendance que les entreprises non signataires. |
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. @article{J.Peillex2019, title = {Affinité politique et choix du mode de propriété lors d’acquisitions transfrontalières}, author = {J.Peillex, D.Yoon, I. Rouine}, url = {http://www.managementinternational.ca/catalog/affinite-politique-et-choix-du-mode-de-propriete-lors-d-acquisitions-transfrontalieres.html}, year = {2019}, date = {2019-12-02}, journal = {Management International}, volume = {24}, number = {4}, pages = {1-44}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{Peillex2018, title = {The contribution of market movements, asset allocation and active management to Islamic equity funds’ performance}, author = {Jonathan Peillex and Elias Erragragui and Mohammad Bitar and Mohammed Benlemlih}, url = {https://doi.org/10.1016/j.qref.2018.03.013}, doi = {10.1016/j.qref.2018.03.013}, year = {2019}, date = {2019-11-30}, journal = {The Quarterly Review of Economics and Finance}, volume = {74}, pages = {32-38}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
Carassus, Laurence Apprendre de Léonard - Léonard De Vinci : L'art de la formule Book Chapter 2019, ISBN: 978-2-9570634-0-6. @inbook{Carassus2019c, title = {Apprendre de Léonard - Léonard De Vinci : L'art de la formule}, author = {Laurence Carassus }, url = {https://www.esilv.fr/leonard-de-vinci%E2%80%AF-lart-de-la-formule/}, isbn = {978-2-9570634-0-6}, year = {2019}, date = {2019-11-07}, keywords = {}, pubstate = {published}, tppubtype = {inbook} } |
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. @article{Peillex2019c, title = {Revisiter la question "Does it pay to be good?" dans le contexte européen}, author = {Mohammed Benlemlih and Jonathan Peillex}, doi = {https://doi.org/10.3917/resg.130.0243}, year = {2019}, date = {2019-11-05}, journal = {Recherches en Sciences de Gestion}, volume = {1}, number = {130}, pages = {243-263}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{Lakhal2019, title = {Does Corporate Social Responsibility Reduce Earnings Management? The Moderating Role of Corporate Governance and Ownership}, author = {A. Ajina and F. Lakhal and S. Ayed}, editor = {HEC Montréal}, year = {2019}, date = {2019-09-01}, journal = {Management International}, volume = {23}, number = {2}, pages = {45-55}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @article{Peillex0101, title = {Performance des banques islamiques vs. banques conventionnelles: quelles exigences en matière de fonds propres réglementaires?}, author = { Jonathan Peillex and Mohammad Bitar}, url = {https://www.cairn.info/revue-economique-2019-4-page-495.htm}, year = {2019}, date = {2019-07-18}, journal = {Revue Economique}, volume = {70}, number = {4}, pages = {495-537}, abstract = {Cet article propose de comparer les effets de divers ratios de fonds propres règlementaires fondés ou non sur la pondération des actifs par le risque sur la profitabilité et l’efficience de banques à la fois islamiques et conventionnelles. Pour ce faire, un échantillon composé de 656 banques de 1999 à 2013 est mobilisé. Les résultats indiquent que les ratios de fonds propres améliorent la profitabilité et l’efficience des deux modèles de banques. Par ailleurs, les ratios de fonds propres ont un effet plus favorable sur la performance des banques islamiques qui relèvent de la règlementation proposée par le Conseil des Services Financiers Islamiques (IFSB) que celles qui dépendent du comité de Bâle sur le contrôle bancaire. Indépendamment du choix de la période, de la zone géographique, de la technique d’estimation ou encore de la méthode pour rendre compte de la profitabilité et de l’efficience des banques, ces résultats demeurent inchangés.}, keywords = {}, pubstate = {published}, tppubtype = {article} } Cet article propose de comparer les effets de divers ratios de fonds propres règlementaires fondés ou non sur la pondération des actifs par le risque sur la profitabilité et l’efficience de banques à la fois islamiques et conventionnelles. Pour ce faire, un échantillon composé de 656 banques de 1999 à 2013 est mobilisé. Les résultats indiquent que les ratios de fonds propres améliorent la profitabilité et l’efficience des deux modèles de banques. Par ailleurs, les ratios de fonds propres ont un effet plus favorable sur la performance des banques islamiques qui relèvent de la règlementation proposée par le Conseil des Services Financiers Islamiques (IFSB) que celles qui dépendent du comité de Bâle sur le contrôle bancaire. Indépendamment du choix de la période, de la zone géographique, de la technique d’estimation ou encore de la méthode pour rendre compte de la profitabilité et de l’efficience des banques, ces résultats demeurent inchangés. |
Carassus, Laurence; Rasonyi, Miklos From small markets to big markets Inproceedings 2019. @inproceedings{Carassus2019bb, title = {From small markets to big markets}, author = {Laurence Carassus and Miklos Rasonyi}, year = {2019}, date = {2019-07-12}, abstract = {We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising expected utility in this setting. Besides establishing the existence of optimizers under weaker assumptions than previous papers, we go on studying the relationship between optimal investments in finite market segments and those in the whole market. We show that certain natural (but nontrivial) continuity rules hold: maximal satisfaction, reservation prices and (convex combinations of) optimizers computed in small markets converge to their respective counterparts in the big market.}, keywords = {}, pubstate = {published}, tppubtype = {inproceedings} } We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising expected utility in this setting. Besides establishing the existence of optimizers under weaker assumptions than previous papers, we go on studying the relationship between optimal investments in finite market segments and those in the whole market. We show that certain natural (but nontrivial) continuity rules hold: maximal satisfaction, reservation prices and (convex combinations of) optimizers computed in small markets converge to their respective counterparts in the big market. |
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. @article{Platania2019b, title = {Long-term swings and seasonality in energy markets}, author = {Manuel Moreno and Alfonso Novales and Federico Platania}, url = {https://doi.org/10.1016/j.ejor.2019.05.042}, doi = {10.1016/j.ejor.2019.05.042}, year = {2019}, date = {2019-06-07}, journal = {European Journal of Operational Research}, volume = {279}, number = {3}, pages = {1011-1023}, abstract = {This paper introduces a two-factor continuous-time model for commodity pricing under the assumption that prices revert to a stochastic mean level, which shows smooth, periodic fluctuations over long periods of time. We represent the mean reversion price by a Fourier series with a stochastic component. We also consider a seasonal component in the price level, an essential characteristic of many commodity prices, which we represent again by a Fourier series. We obtain analytical pricing expressions for futures contracts. Using futures price data on Natural Gas, we provide evidence on the presence of long-term fluctuations and show how to estimate the long-term component simultaneously with a seasonal component using the Kalman filter. We analyse the in-sample and out-of-sample empirical performance of our pricing model with and without a seasonal component and compare it with Schwartz and Smith (2000) model. Our findings show the in-sample and out-of-sample superiority of our model with seasonal fluctuations, thereby providing a simple and powerful tool for portfolio management, risk management, and derivative pricing.}, keywords = {}, pubstate = {published}, tppubtype = {article} } This paper introduces a two-factor continuous-time model for commodity pricing under the assumption that prices revert to a stochastic mean level, which shows smooth, periodic fluctuations over long periods of time. We represent the mean reversion price by a Fourier series with a stochastic component. We also consider a seasonal component in the price level, an essential characteristic of many commodity prices, which we represent again by a Fourier series. We obtain analytical pricing expressions for futures contracts. Using futures price data on Natural Gas, we provide evidence on the presence of long-term fluctuations and show how to estimate the long-term component simultaneously with a seasonal component using the Kalman filter. We analyse the in-sample and out-of-sample empirical performance of our pricing model with and without a seasonal component and compare it with Schwartz and Smith (2000) model. Our findings show the in-sample and out-of-sample superiority of our model with seasonal fluctuations, thereby providing a simple and powerful tool for portfolio management, risk management, and derivative pricing. |
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. @article{Brinette2019, title = {Identifying the determinants of corporate venture capital strategy: evidence from French firms}, author = {Souad Brinette and Sabrina Khemiri}, year = {2019}, date = {2019-05-17}, journal = {International Journal of entrepreneurship and Small business}, volume = {37}, number = {1}, pages = {152-166}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
Carassus, Laurence; Baptiste, Julien; Lépinette, Emmanuel Pricing Without Martingale Measure Inproceedings Springer-Verlag, (Ed.): 2019. @inproceedings{Carassus2018db, title = {Pricing Without Martingale Measure}, author = {Laurence Carassus and Julien Baptiste and Emmanuel Lépinette}, editor = {Springer-Verlag}, url = {https://arxiv.org/abs/1807.04612}, doi = {10.2139/ssrn.3190878}, year = {2019}, date = {2019-05-10}, abstract = {For several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the financial asset's pricing theory. Here, we propose a new approach based on convex duality instead of martingale measures duality: our prices will be expressed using Fenchel conjugate and bi-conjugate. This naturally leads to a weak condition of absence of arbitrage opportunity, called Absence of Immediate Profit (AIP), which asserts that the price of the zero claim should be zero. We study the link between (AIP), (NA) and the no-free lunch condition. We show in a one step model that, under (AIP), the super-hedging cost is just the payoff's concave envelop and that (AIP) is equivalent to the non-negativity of the super-hedging prices of some call option. In the multiple-period case, for a particular, but still general setup, we propose a recursive scheme for the computation of a the super-hedging cost of a convex option. We also give some numerical illustrations.}, keywords = {}, pubstate = {published}, tppubtype = {inproceedings} } For several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the financial asset's pricing theory. Here, we propose a new approach based on convex duality instead of martingale measures duality: our prices will be expressed using Fenchel conjugate and bi-conjugate. This naturally leads to a weak condition of absence of arbitrage opportunity, called Absence of Immediate Profit (AIP), which asserts that the price of the zero claim should be zero. We study the link between (AIP), (NA) and the no-free lunch condition. We show in a one step model that, under (AIP), the super-hedging cost is just the payoff's concave envelop and that (AIP) is equivalent to the non-negativity of the super-hedging prices of some call option. In the multiple-period case, for a particular, but still general setup, we propose a recursive scheme for the computation of a the super-hedging cost of a convex option. We also give some numerical illustrations. |
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. @article{Platania2018c, title = {Economic and policy uncertainty in climate change mitigation: The London Smart City case scenario}, author = {Gabriela Contreras AND Federico Platania}, url = {https://doi.org/10.1016/j.techfore.2018.07.018}, doi = {10.1016/j.techfore.2018.07.018}, year = {2019}, date = {2019-05-01}, journal = {Technological Forecasting & Social Change}, volume = {142}, pages = {384-393}, 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. |
Carassus, Laurence; Rasonyi, Miklos Risk-neutral pricing for APT Inproceedings 2019. @inproceedings{Carassus2019g, title = {Risk-neutral pricing for APT}, author = {Laurence Carassus and Miklos Rasonyi}, year = {2019}, date = {2019-04-25}, abstract = {We consider the problem of super-replication (hedging without risk) for the Arbitrage Pricing Theory. The dual characterization of super-replication cost is provided. It is shown that the reservation prices of investors converge to this cost as their respective risk-aversion tends to infinity.}, keywords = {}, pubstate = {published}, tppubtype = {inproceedings} } We consider the problem of super-replication (hedging without risk) for the Arbitrage Pricing Theory. The dual characterization of super-replication cost is provided. It is shown that the reservation prices of investors converge to this cost as their respective risk-aversion tends to infinity. |
Garcin, Matthieu Hurst exponents and delampertized fractional Brownian motions Journal Article International journal of theoretical and applied finance, 22 (5), pp. 1950024, 2019. @article{Garcin2019, title = {Hurst exponents and delampertized fractional Brownian motions}, author = {Matthieu Garcin}, url = {https://www.researchgate.net/publication/329152995_Hurst_exponents_and_delampertized_fractional_Brownian_motions}, year = {2019}, date = {2019-02-02}, journal = {International journal of theoretical and applied finance}, volume = {22}, number = {5}, pages = {1950024}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
DUPUY, Philippe; FONTAINE, Patrice; HAMET, Joanne Les Marchés des Capitaux Français Book EMS, 2019. @book{Fontaine2019a, title = {Les Marchés des Capitaux Français}, author = {Philippe DUPUY AND Patrice FONTAINE AND Joanne HAMET}, editor = {EMS}, year = {2019}, date = {2019-01-08}, publisher = {EMS}, keywords = {}, pubstate = {published}, tppubtype = {book} } |
Ouadghiri, Imane El; Peillex, Jonathan Public attention to “Islamic terrorism” and stock market returns Journal Article Forthcoming Journal of Comparative Economics, Forthcoming. @article{Peillex2019, 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 = {doi:10.1016/j.jce.2018.07.014}, year = {2019}, date = {2019-01-01}, journal = {Journal of Comparative Economics}, abstract = {Does public attention to Islamic terrorism affect the performance of Islamic and conventional indices? We answer this question by empirically examining the effects of US public attention to Islamic terrorism on returns of US Islamic and conventional indices between 2004 and 2017. US public attention to Islamic terrorism is measured using Google Search Volume, which reflects active public attentiveness, and media coverage, which measures passive attentiveness. We test its effect on the stock returns of Islamic and conventional indices by using difference-in-difference analysis. The results indicate that US public attention to Islamic terrorism negatively affects US Islamic indices, suggesting that investors may make amalgams between terrorism and Islamic finance. These clichés may lead them to sell Sharia-compliant assets when US public attention to Islamic terrorism is high. Taken together, our findings provide new evidence and financial implications for investors and providers of Islamic financial products.}, keywords = {}, pubstate = {forthcoming}, tppubtype = {article} } Does public attention to Islamic terrorism affect the performance of Islamic and conventional indices? We answer this question by empirically examining the effects of US public attention to Islamic terrorism on returns of US Islamic and conventional indices between 2004 and 2017. US public attention to Islamic terrorism is measured using Google Search Volume, which reflects active public attentiveness, and media coverage, which measures passive attentiveness. We test its effect on the stock returns of Islamic and conventional indices by using difference-in-difference analysis. The results indicate that US public attention to Islamic terrorism negatively affects US Islamic indices, suggesting that investors may make amalgams between terrorism and Islamic finance. These clichés may lead them to sell Sharia-compliant assets when US public attention to Islamic terrorism is high. Taken together, our findings provide new evidence and financial implications for investors and providers of Islamic financial products. |
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. @article{Kramaric2019, title = {Heart rate asymmetry as a new marker for neonatal stress}, author = {Kramarić K., Šapina M., Garcin M., Milas K., Pirić M., Brdarić D., Lukić G., Milas V., Pušeljić S.}, url = {https://www.researchgate.net/publication/330045708_Heart_rate_asymmetry_as_a_new_marker_for_neonatal_stress}, year = {2019}, date = {2019-01-01}, journal = {Biomedical signal processing & control}, volume = {47}, pages = {219-223}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
Ouadghiri, El I; Peillex, Jonathan Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français Journal Article Forthcoming Revue Economique, Forthcoming. @article{Ouadghiri2019, title = {Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français}, author = {I. El Ouadghiri and Jonathan Peillex}, year = {2019}, date = {2019-01-01}, journal = {Revue Economique}, abstract = {@article{Peillex2019e, title = {Attention des investisseurs institutionnels et liquidité des titres boursiers français}, author = {I. El Ouadghiri; J. Peillex}, year = {2019}, date = {2019-12-26}, journal = {Revue Economique}, abstract = {Cet article est le premier qui propose d’examiner l’influence journalière de l’Attention des Investisseurs Institutionnels (AII) sur le degré de liquidité boursière. Pour ce faire, un échantillon composé de 87 titres français de 2010 à 2018 est mobilisé. De manière originale, l’AII est estimée à partir du nombre de fois que les utilisateurs du terminal Bloomberg, qui sont pour la majorité des investisseurs institutionnels, réalisent des recherches sur un titre donné et lisent des articles d'actualité sur une entreprise spécifique. Les résultats empiriques indiquent que l’AII exerce un effet fortement positif sur le degré de liquidité des actions françaises. }, keywords = {}, pubstate = {forthcoming}, tppubtype = {article} }}, keywords = {}, pubstate = {forthcoming}, tppubtype = {article} } @article{Peillex2019e, title = {Attention des investisseurs institutionnels et liquidité des titres boursiers français}, author = {I. El Ouadghiri; J. Peillex}, year = {2019}, date = {2019-12-26}, journal = {Revue Economique}, abstract = {Cet article est le premier qui propose d’examiner l’influence journalière de l’Attention des Investisseurs Institutionnels (AII) sur le degré de liquidité boursière. Pour ce faire, un échantillon composé de 87 titres français de 2010 à 2018 est mobilisé. De manière originale, l’AII est estimée à partir du nombre de fois que les utilisateurs du terminal Bloomberg, qui sont pour la majorité des investisseurs institutionnels, réalisent des recherches sur un titre donné et lisent des articles d'actualité sur une entreprise spécifique. Les résultats empiriques indiquent que l’AII exerce un effet fortement positif sur le degré de liquidité des actions françaises. }, keywords = {}, pubstate = {forthcoming}, tppubtype = {article} } |
I. El Ouadghiri, Uctum R Macroeconomic Expectations and Time Varying Heterogeneity: Evidence from Individual Survey Data Journal Article Forthcoming Applied Economics, Forthcoming. @article{Ouadghiri2019b, title = {Macroeconomic Expectations and Time Varying Heterogeneity: Evidence from Individual Survey Data}, author = {I. El Ouadghiri, R. Uctum}, url = {https://www.tandfonline.com/doi/full/10.1080/00036846.2019.1691713}, doi = {10.1080/00036846.2019.1691713}, year = {2019}, date = {2019-01-01}, journal = {Applied Economics}, abstract = {The goal of this paper is to investigate forecast heterogeneity and time variability in the formation of expectations using disaggregated monthly survey data on macroeconomic indicators provided by Bloomberg from June 1998 to August 2017. We show that our panel of forecasters are not rational and are moderately heterogeneous and thus confirm that previously well-established results on asset prices hold for macroeconomic indicators. The estimation of our flexible hybrid forecast model – defined at any time as a combination of the extrapolative, regressive, adaptive and interactive heuristics – using the Bai and Perron (1998) methodology reveals a significant timedependence in the structural model with some inertia in extrapolative and adaptive profiles. Changes in the formation of expectations are triggered mostly by financial shocks, and uncertainty is dealt with by using complex processes in which the fundamentalist component overweighs chartist activity. Forecasters whose models combine different relevant rules and display high temporal flexibility provide the most accurate forecasts. Authorities can then stabilize the domestic markets by encouraging fundamentalists’ forecasts through increased transparency policy.}, keywords = {}, pubstate = {forthcoming}, tppubtype = {article} } The goal of this paper is to investigate forecast heterogeneity and time variability in the formation of expectations using disaggregated monthly survey data on macroeconomic indicators provided by Bloomberg from June 1998 to August 2017. We show that our panel of forecasters are not rational and are moderately heterogeneous and thus confirm that previously well-established results on asset prices hold for macroeconomic indicators. The estimation of our flexible hybrid forecast model – defined at any time as a combination of the extrapolative, regressive, adaptive and interactive heuristics – using the Bai and Perron (1998) methodology reveals a significant timedependence in the structural model with some inertia in extrapolative and adaptive profiles. Changes in the formation of expectations are triggered mostly by financial shocks, and uncertainty is dealt with by using complex processes in which the fundamentalist component overweighs chartist activity. Forecasters whose models combine different relevant rules and display high temporal flexibility provide the most accurate forecasts. Authorities can then stabilize the domestic markets by encouraging fundamentalists’ forecasts through increased transparency policy. |
2018 |
Carassus, Laurence; Rasonyi, Miklos Risk-averse asymptotics for reservation prices Journal Article Annals of Finance, 7 (3), pp. 375–387, 2018. @article{Carassus2018cb, title = {Risk-averse asymptotics for reservation prices}, author = {Laurence Carassus and Miklos Rasonyi}, editor = {Springer-Verlag …}, doi = {10.1007/s10436-010-0167-1}, year = {2018}, date = {2018-11-01}, journal = {Annals of Finance}, volume = {7}, number = {3}, pages = {375–387}, abstract = {In this article we investigate the effect of increasing risk aversion onutility-based prices. We are dealing with the utility indifference price (or reservationprice), defined in [12] for the first time. This is the minimal amount added toan option seller’s initial capital which allows her to attain the same utilitythatshe would have attained from her initial capital without selling the option, seeDefinition 4.2 below. Intuitively, when risk aversion tends to infinity, reservationprice should tend to the superreplication price (i.e. the price of hedging theoption without any risk).This result was shown in [19] for Brownian models and in [9] in a semi-martingale setting when the agent has constant absolute risk aversion (i.e. forexponential utility functions). Certain other classes of utility functions weretreated in [4], models with transaction costs were considered in [5].However, an extension of this result to general utility functions was lacking.In [6] and [7] the case of discrete-time markets was treated for utilities on thepositive axis as well as on the real line. Now we prove this result in a continuous-time semimartingale framework, under suitable hypotheses . In section 2 we model the agent’s preferences and introduce a growth condi-tion (related to the elasticity of utility functions), in section 3 the market modeland a compactness assumption are discussed. In section 4 the concept of utilityindifference price is formally defined and the two main theorems are proved.}, keywords = {}, pubstate = {published}, tppubtype = {article} } In this article we investigate the effect of increasing risk aversion onutility-based prices. We are dealing with the utility indifference price (or reservationprice), defined in [12] for the first time. This is the minimal amount added toan option seller’s initial capital which allows her to attain the same utilitythatshe would have attained from her initial capital without selling the option, seeDefinition 4.2 below. Intuitively, when risk aversion tends to infinity, reservationprice should tend to the superreplication price (i.e. the price of hedging theoption without any risk).This result was shown in [19] for Brownian models and in [9] in a semi-martingale setting when the agent has constant absolute risk aversion (i.e. forexponential utility functions). Certain other classes of utility functions weretreated in [4], models with transaction costs were considered in [5].However, an extension of this result to general utility functions was lacking.In [6] and [7] the case of discrete-time markets was treated for utilities on thepositive axis as well as on the real line. Now we prove this result in a continuous-time semimartingale framework, under suitable hypotheses . In section 2 we model the agent’s preferences and introduce a growth condi-tion (related to the elasticity of utility functions), in section 3 the market modeland a compactness assumption are discussed. In section 4 the concept of utilityindifference price is formally defined and the two main theorems are proved. |
Carassus, Laurence; Pham, Huyen; Touzi, Nizar No Arbitrage in Discrete Time Under Portfolio Constraints Journal Article 2018. @article{carassus2017b, title = {No Arbitrage in Discrete Time Under Portfolio Constraints}, author = {Laurence Carassus and Huyen Pham and Nizar Touzi}, editor = {Alfred Rényi Institute of Mathematics, Hungarian Academy of Sciences}, url = {https://arxiv.org/abs/1904.08780v2}, year = {2018}, date = {2018-10-08}, abstract = {In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. This characterisation shows that it is indeed a well-chosen condition being equivalent to several previously used alternative notions of no-arbitrage and allowing the proof of important results in mathematical finance. We also revisit the so-called geometric and quantitative no-arbitrage conditions and explicit two important examples where all these concepts are illustrated}, keywords = {}, pubstate = {published}, tppubtype = {article} } In a discrete time and multiple-priors setting, we propose a new characterisation of the condition of quasi-sure no-arbitrage which has become a standard assumption. This characterisation shows that it is indeed a well-chosen condition being equivalent to several previously used alternative notions of no-arbitrage and allowing the proof of important results in mathematical finance. We also revisit the so-called geometric and quantitative no-arbitrage conditions and explicit two important examples where all these concepts are illustrated |
Carrassus, Laurence; Vargiolu, Tiziano SUPER-REPLICATION PRICE: IT CAN BE OK. Journal Article 64 , pp. 54-64, 2018. @article{Carrassus2018, title = {SUPER-REPLICATION PRICE: IT CAN BE OK.}, author = {Laurence Carrassus AND Tiziano Vargiolu}, doi = {10.1051/proc/201864054 }, year = {2018}, date = {2018-10-02}, volume = {64}, pages = {54-64}, abstract = {Abstract.We consider a discrete time financial model where the support of the conditional law ofthe risky asset is bounded. For convex options we show that the super-replication problem reduces tothe replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries.Thus the super-replication price can be of practical use if this support is not to large. We also makethe link with the recent literature on multiple-priors models.R ́esum ́e. Nous consid ́erons un mod`ele financier `a temps discret, o`u le support de la loi conditionnellede l’actif risqu ́e est born ́e. Nous montrons, pour une option dont la fonction de paiement est convexe,que le probl`eme de surr ́eplication se r ́eduit `a un probl`eme de r ́eplication parfaite dans un mod`eleCox-Ross-Rubinstein, dont les param`etres sont les bornes du support de la loi. Ainsi, le prix desurr ́eplication peut ˆetre utilis ́e en pratique, si ce support n’est pas trop grand. Nous faisons aussi lelien avec la litt ́erature r ́ecente portant sur les mod`eles `a croyances multiples}, keywords = {}, pubstate = {published}, tppubtype = {article} } Abstract.We consider a discrete time financial model where the support of the conditional law ofthe risky asset is bounded. For convex options we show that the super-replication problem reduces tothe replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries.Thus the super-replication price can be of practical use if this support is not to large. We also makethe link with the recent literature on multiple-priors models.R ́esum ́e. Nous consid ́erons un mod`ele financier `a temps discret, o`u le support de la loi conditionnellede l’actif risqu ́e est born ́e. Nous montrons, pour une option dont la fonction de paiement est convexe,que le probl`eme de surr ́eplication se r ́eduit `a un probl`eme de r ́eplication parfaite dans un mod`eleCox-Ross-Rubinstein, dont les param`etres sont les bornes du support de la loi. Ainsi, le prix desurr ́eplication peut ˆetre utilis ́e en pratique, si ce support n’est pas trop grand. Nous faisons aussi lelien avec la litt ́erature r ́ecente portant sur les mod`eles `a croyances multiples |
Carassus, Laurence; Vargiolu, Tiziano Super-Replication Price : It can be Ok Journal Article 64 , pp. 54-64, 2018. @article{Carassus2018b, title = {Super-Replication Price : It can be Ok}, author = {Laurence Carassus and Tiziano Vargiolu}, doi = {10.1051/proc/201864054 }, year = {2018}, date = {2018-10-02}, volume = {64}, pages = {54-64}, abstract = {Abstract.We consider a discrete time financial model where the support of the conditional law ofthe risky asset is bounded. For convex options we show that the super-replication problem reduces tothe replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries.Thus the super-replication price can be of practical use if this support is not to large. We also makethe link with the recent literature on multiple-priors models.R ́esum ́e.Nous consid ́erons un mod`ele financier `a temps discret, o`u le support de la loi conditionnellede l’actif risqu ́e est born ́e. Nous montrons, pour une option dont la fonction de paiement est convexe,que le probl`eme de surr ́eplication se r ́eduit `a un probl`eme de r ́eplication parfaite dans un mod`eleCox-Ross-Rubinstein, dont les param`etres sont les bornes du support de la loi. Ainsi, le prix desurr ́eplication peut ˆetre utilis ́e en pratique, si ce support n’est pas trop grand. Nous faisons aussi lelien avec la litt ́erature r ́ecente portant sur les mod`eles `a croyances multiples}, keywords = {}, pubstate = {published}, tppubtype = {article} } Abstract.We consider a discrete time financial model where the support of the conditional law ofthe risky asset is bounded. For convex options we show that the super-replication problem reduces tothe replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries.Thus the super-replication price can be of practical use if this support is not to large. We also makethe link with the recent literature on multiple-priors models.R ́esum ́e.Nous consid ́erons un mod`ele financier `a temps discret, o`u le support de la loi conditionnellede l’actif risqu ́e est born ́e. Nous montrons, pour une option dont la fonction de paiement est convexe,que le probl`eme de surr ́eplication se r ́eduit `a un probl`eme de r ́eplication parfaite dans un mod`eleCox-Ross-Rubinstein, dont les param`etres sont les bornes du support de la loi. Ainsi, le prix desurr ́eplication peut ˆetre utilis ́e en pratique, si ce support n’est pas trop grand. Nous faisons aussi lelien avec la litt ́erature r ́ecente portant sur les mod`eles `a croyances multiples |
Carassus, Laurence Probabilités : cours, exercices et problèmes corrigés Book 2018, ISBN: ISBN-13 / 978-2807313200. @book{Carassus2018f, title = {Probabilités : cours, exercices et problèmes corrigés}, author = {Laurence Carassus }, editor = {Éditions De Boeck }, url = {https://www.deboecksuperieur.com/ouvrage/9782807313200-probabilites}, isbn = {ISBN-13 / 978-2807313200}, year = {2018}, date = {2018-09-30}, number = {368 pages}, keywords = {}, pubstate = {published}, tppubtype = {book} } |
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. @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} } |
Benlemlih, Mohammed; Jaballah, Jamil; Peillex, Jonathan 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. @article{Peillex1703, title = {Does It Really Pay to Do Better? Exploring the Financial Effects of Changes in CSR Ratings}, author = {Mohammed Benlemlih and Jamil Jaballah and 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} } |
Fontaine, P; Jimenez, S; Seasholes, M Common Factors, Information, and Holdings Dispersion Journal Article Review of Finance, 22 (4), pp. 1441-1467, 2018. @article{fontaine2017bb, title = {Common Factors, Information, and Holdings Dispersion}, author = {P. Fontaine and S. Jimenez and M. Seasholes}, doi = {https://doi.org/10.1093/rof/rfx030}, year = {2018}, date = {2018-07-01}, journal = {Review of Finance}, volume = {22}, number = {4}, pages = {1441-1467}, keywords = {}, pubstate = {published}, tppubtype = {article} } |
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. @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. @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} } |
Carassus, Laurence Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time Journal Article 28 (3), pp. 1856-1892., 2018. @article{carassus2017db, title = {Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time}, author = {Laurence Carassus}, year = {2018}, date = {2018-06-01}, booktitle = {AMAMEF, Amsterdam, juin 2017}, volume = {28}, number = {3}, pages = {1856-1892.}, abstract = {This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under nondominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line.}, keywords = {}, pubstate = {published}, tppubtype = {article} } This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under nondominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line. |
Castelnau P., Elouaer-Mrizak Khemiri S S Les déterminants de la confiance des contributeurs dans les plateformes de financement participatif : proposition d'un modèle théorique. Conference Colloque ADERSE 2018. "La confiance, élément central du financement participatif", 22-23 mai 2018, Paris, France, 2018, 2018. @conference{Castelnau2018, title = {Les déterminants de la confiance des contributeurs dans les plateformes de financement participatif : proposition d'un modèle théorique. }, author = {Castelnau, P., Elouaer-Mrizak, S., Khemiri, S.,}, year = {2018}, date = {2018-05-22}, booktitle = {Colloque ADERSE 2018. "La confiance, élément central du financement participatif", 22-23 mai 2018, Paris, France, 2018}, keywords = {}, pubstate = {published}, tppubtype = {conference} } |
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. @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} } |
Carassus, Laurence No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach Journal Article Mathematical Methods of Operations Research, 88 (2), pp. 241-281, 2018, ISBN: 1432-5217. @article{Carassus2018h, title = {No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach}, author = {Laurence Carassus}, editor = {Springer Berlin Heidelberg}, doi = {10.1007/s00186-018-0635-3}, isbn = {1432-5217}, year = {2018}, date = {2018-03-18}, journal = {Mathematical Methods of Operations Research}, volume = {88}, number = {2}, pages = {241-281}, abstract = {We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterisation of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors.}, keywords = {}, pubstate = {published}, tppubtype = {article} } We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterisation of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors. |
Platania, Federico; Serrano, Pedro; Tapia, Mikel Modelling the shape of the limit order book Journal Article Quantitative Finance, 18 (9), pp. 1575-1597, 2018. @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. @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. @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. |
