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 « 2 of 5 »

2015

Deelstra, Griselda; Grasselli, Martino; van Weverberg, Christopher

Explosion time for some Wishart transforms Technical Report

ULB 2015.

Abstract | Links | BibTeX

Fontaine, Patrice; Gu, Dany

Do Market and Creditworthiness Timings Drive Debt Maturity Decisions of Firms? Conference

conférence de la Financial Management Association, Orlando (Etats-Unis), october 16., 2015.

BibTeX

Fonseca, José Da; Gnoatto, Alessandro; Grasselli, Martino

Analytic Pricing of Volatility-Equity Options within Affine Models: an Efficient Conditioning Technique Journal Article

Operations Research Letters, 43 , pp. 601-607, 2015, ISSN: 0167-6377.

Abstract | Links | BibTeX

Grasselli, Martino; Gnoatto, Alessandro; Fusai, Gianluca; Caldana, Ruggero

General Closed-From Basket Option Pricing Bounds Journal Article

Quantitative Finance, 16 (4), pp. 535-554, 2015, ISSN: 1469-7688.

Abstract | Links | BibTeX

Fontaine, Patrice

Revisited Role of Industrial Specialization in Cross-border Mergers and Acquisitions from developed countries (European Union) to Emerging Countries Conference

IFABS 2015 Corporate Finance Conference, 2015, September 12 and 13, 2015.

BibTeX

Cisse, Abdoul; Fontaine, Patrice

Why Do Companies Switch the Listing Section of Their Common Stocks Journal Article

Research in International Business and Finance, on line , 2015.

Abstract | Links | BibTeX

Focardi, Gui Citovski Sergio

A novel view of suprathreshold stochastic resonance and its applications to financial markets Journal Article

Frontiers Applied Mathematics and Statistics, 2015.

Links | BibTeX

Fontaine, Patrice; Gu, Xuehua

Cross-border Mergers And Acquisitions From European Union To Emerging Countries: Industry Diversification Or Industry Specialization? Conference

32ème congrès de l’AFFI, 1-3 juin 2015, ESSEC, Paris, 2015.

BibTeX

Patrice, Fontaine; Khoali, Youssef

“Impacts of Introducing Short Maturity Options" Conference

onférencier invité, The Stevanovich Center for Financial Mathematics (The University of Chicago) – Market Microstructure and High-Frequency Data - Chicago, May 14-16., C, 2015.

BibTeX

Bellalah, Mondher; Zouari, Mohamed; Sahli, Amel; Miniaoui, Hela

Portfolio credit risk models and name concentration issues: theory and simulations Journal Article

International Journal of Business, 20 (2), pp. 111-117, 2015, ISSN: 1083-4346.

Abstract | Links | BibTeX

Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard

Pricing currency derivatives under the benchmark approach Journal Article

Journal of Banking and Finance, 53 , pp. 34-48, 2015, ISSN: 0378-4266.

Abstract | Links | BibTeX

Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino

Quantized calibration in local volatility models Journal Article

Risk Magazine, 9 , pp. 62-67, 2015, ISSN: 0952-8776.

Abstract | Links | BibTeX

Peillex, Jonathan

L’investissement conforme à la Charia est-il socialement responsable? Conference

XIIe Congrès ADERSE, 19-20 mars, 2015.

BibTeX

Nouet, Sébastien; Caton, Philippe; Revest, Michel

Le partage public/privé du marché de la dépendance Journal Article

Revue Risques , (101), pp. 124-130, 2015, ISBN: 978-2-35588-064-3.

Abstract | BibTeX

Bun, Joel; Allez, Romain; Bouchaud, Jean-Philippe; Potters, Marc

Rotational invariant estimator for general noisy matrices Unpublished

2015.

Abstract | Links | BibTeX

Peillex, Jonathan; Ureche-Rangau, Loredana

Comment expliquer la performance financière de l’investissement conforme à la Charia ? Journal Article

Management international / International Management / Gestión Internacional, 19 (2), pp. 128-139, 2015, ISSN: 1206-1697.

Abstract | Links | BibTeX

Grasselli, Martino; Craddock, Mark

Lie Symmetries Methods in Local Volatility Models Conference

Workshop in Quantitative Finance, Florence (Italy), 29-30 january, 2015.

BibTeX

Bun, Joel; Allez, Romain; Bouchaud, Jean-Philippe

Eigenvectors of a Gaussian matrix with an external source Unpublished

2015.

Abstract | Links | BibTeX

Focardi, Sergio; Fabozzi, Frank

Economics : An Empirical Science Capable of Forecasting Economic Events ? Journal Article

The Journal of Portfolio Management, 41 (4), pp. 145-151, 2015.

BibTeX

Focardi, Sergio M

Is economics an empirical science? If not, can it become one? Journal Article

Frontiers Applied Mathematics Statistics , 2015.

Links | BibTeX

2014

Lima, Marcos; Nivet, Bastien

L'Entreprise et son environnement: entreprendre, apprendre, s'adapter Book

EMLV, 2014, ISBN: 9781506147888.

Abstract | Links | BibTeX

Bun, Joel; Bouchaud, Jean-Philippe; Majumdar, Satya; Potters, Marc

An Instanton approach to large N Harish-Chandra—Itzykson-Zuber integrals Journal Article

Physical Review Letters, 113 (7), 2014.

Abstract | Links | BibTeX

Gnoatto, Alessandro; Grasselli, Martino

The Explicit Laplace Transform for the Wishart Process Journal Article

Journal of Applied Probability, 51 (3), pp. 640-656, 2014.

Abstract | Links | BibTeX

Brunel, Vivien; Benoit, Roger

Le risque de crédit : des modèles au pilotage de la banque Book

Economica, Paris, France, 2014, ISBN: 978-2-7178-6727-5.

Abstract | Links | BibTeX

Gnoatto, Alessandro; Grasselli, Martino

A tractable multi-currency model with stochastic volatility and stochastic interest rates Journal Article

SIAM Journal of Financial Mathematics, 5 (1), pp. 493-531, 2014, ISSN: 1945-497X.

Abstract | Links | BibTeX

Moreno, Manuel; Platania, Federico

A cyclical square-root model for the term structure of interest rates Journal Article

European Journal of Operational Research, 241 , pp. 109–121, 2014.

Abstract | BibTeX

Peillex, Jonathan; Ureche-Rangau, Loredana

How does the market price of the corporate sponsor reacts to SR fund introductions Journal Article

Bankers, Markets and Investors, (131), pp. 17-29, 2014.

Abstract | BibTeX

Brunel, Vivien

Operational risk modelled analytically Journal Article

Risk magazine, 2014.

Abstract | Links | BibTeX

José Da Fonseca Martino Grasselli, Florian Ielpo

Estimating the Wishart Affine Stochastic Correlation Model using the Empirical Characteristic Function Journal Article

Studies in Nonlinear Dynamics & Econometrics, 18 (3), pp. 253-289, 2014.

Abstract | Links | BibTeX

Focardi, Sergio; Fabozzi, Frank; Jonas, Caroline

Investment Management: A Science to Teach or an Art to Learn? Journal Article

CFA Institute Research Foundation, 2014 (3), 2014.

Abstract | Links | BibTeX

Fabozzi, Frank; Focardi, Sergio; Rachev, Svetlozar; Arshanapalli, Bala; Hoechstoetter, Markus

The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications Book

2014, ISBN: 978-1-118-57320-4.

Abstract | Links | BibTeX

Khemiri, Sabrina; Brinette, Souad

La performance à long terme des émetteurs d’actions et d’ABSA Journal Article

Revue Gestion 2000, 31 (3), pp. 51-63, 2014.

Abstract | Links | BibTeX

Wagalath, Lakshithe; Cont, Rama

Impact of large institutional investors on the dependence structure of asset returns Unpublished

2014.

Abstract | Links | BibTeX

Chiarella, Carl; Fonseca, José Da; Grasselli, Martino

Pricing Range Notes within Wishart Affine Models Journal Article

Insurance: Mathematics and Economics, 58 , pp. 774-793, 2014, ISSN: 0167-6687.

Abstract | Links | BibTeX

2013

Focardi, Sergio; Fabozzi, Frank; Bali, Turan

Mathematical Methods for Finance: Tools for Asset and Risk Management Book

2013, ISBN: 978-1-118-31263-6.

Abstract | Links | BibTeX

Wagalath, Lakshithe; Cont, Rama

Running for the exit: distressed selling and endogenous correlation in financial markets Journal Article

Mathematical finance, 23 (4), pp. 718-741, 2013.

Abstract | Links | BibTeX

Alvise De Col Alessandro Gnoatto, Martino Grasselli

Smiles all around: FX joint calibration in a multi-Heston model Journal Article

Journal of Banking & Finance, 37 (10), pp. 3799-3818, 2013, ISSN: 0378-4266.

Abstract | Links | BibTeX

Burlacu, Radu; Fontaine, Patrice; Jimenez, Sonia

Why are mutual fund alphas systematically negative? Journal Article

Bankers, Markets and Investors, 125 , pp. 11-22, 2013.

Abstract | BibTeX

Wagalath, Lakshithe

Modeling the rebalancing slippage of leveraged exchange-traded funds Unpublished

2013.

Abstract | Links | BibTeX

Focardi, Sergio; Fabozzi, Frank

Factor Uniqueness in the S&P 500 Universe: Can Proprietary Factors Exist? Journal Article

International Journal of Theoretical and Applied Finance, 16 (4), 2013.

Abstract | Links | BibTeX

Khemiri, Sabrina; Hafsa, Houda; Omar, Abdella

The efficient-market hypothesis and its validity in the french stock exchange Conference

The efficient-market hypothesis and its validity in the french stock exchange, 5th Annual American Business Research Conference Sheraton LaGuardia East Hotel, NY, USA, 2013.

Abstract | Links | BibTeX

Peillex, Jonathan; Ureche-Rangau, Loredana

Is there a place for a Shariah – Compliant Index on the Paris Stock Market ? Journal Article

International Journal of Business, 18.2013 (2), pp. 131-150, 2013, ISSN: 1083-4346.

Abstract | BibTeX

Gnoatto, Alessandro; Grasselli, Martino; Fonseca, José Da

A flexible matrix Libor model with smiles Journal Article

Journal of Economic Dynamics and Control, 37 (4), pp. 774-793, 2013, ISSN: 0165-1889.

Abstract | Links | BibTeX

Sahli, Amel Bouzaida

Gestion du BFR et performance économique, le cas du secteur de la cosmétologie en France Unpublished

2013.

BibTeX

Sahli, Amel Bouzaida

Les leviers de la rentabilité financière, le cas des Hotels Sofitel Unpublished

2013.

BibTeX

Bouchard, Bruno; Grasselli, Martino

Super-Hedging under the Real World Measure with Stochastic Volatility Unpublished

2013.

BibTeX

2012

Rachev, Svetlozar; Mittnik, Stefan; Fabozzi, Frank; Focardi, Sergio; Jasic, Teo

Encyclopedia of Financial Models, Regression Analysis: Theory and Estimation Book Chapter

Econometrics, Financial (Ed.): 2012.

Abstract | Links | BibTeX

Burlacu, Radu; Fontaine, Patrice; Jimenez, Sonia; Seasholes, Mark

Risk and The Cross Section of Stock Returns Journal Article

Journal of Financial economics, 105 , pp. 511-522, 2012.

BibTeX

Khemiri, Sabrina; Hafsa, Houda

L’estimation de la relation rendement-risque: béta, VaR ou CVaR? Etude empirique sur le SBF 250 Conference

Congrès de l’Association des sciences administratives du Canada Saint Jean, Canada, 2012.

BibTeX

Khemiri, Sabrina; Hafsa, Houda

L’estimation de la relation rendement-risque: béta, VaR ou CVaR? Etude empirique sur le SBF 250 Conference

Congrès de l’Association des sciences administratives du Canada Saint-Jean, Canada, 2012.

BibTeX

229 entries « 2 of 5 »

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