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Finance Group

De Vinci Research Center


The group covers a variety of subjects including; applied mathematics, financial econometrics, asset valuation, portfolio management, business finance, and ethics. The strength of the finance group lies in its use of derived products in portfolio management and financial responsibility.




Quantitative and mathematical finance

Modeling of interest rates, stochastic or rough volatility, no-arbitrage and pricing theory, maximization of standard and non-standard expected utility, operational and credit risk, risk management and model uncertainty.

Fintech

Vast array of technologies from blockchain to cryptocurrencies.

Financial Economics

Financial aspects of the qualitative changes required to ensure sustainable economic growth as well as responsible investment, which has acquired an important place in the current financial landscape.

Corporate Finance: corporate venture capital and debt structure, namely the performance analysis of distressed debt investments, M&A and corporate strategy.

PROFESSORS – RESEARCHERS – THE TEAM

EMLV and ESILV’s professors and researchers of the Finance Group :




Publications

Publication of the professors and researchers of the Finance Group :

321 entries « 2 of 7 »

2020

Ayed, Sabrine

Corporate Social Responsibility and Market efficiency PhD Thesis

Université Côte d'Azur, 2020.

Links | BibTeX

Pu, Jiang; Crépey, Stéphane; Chataigner, Marc

Nowcasting networks Journal Article

In: Journal Of Computational Finance, vol. 24, no. 3, pp. 1-39, 2020.

Abstract | Links | BibTeX

Chataigner, Marc; Crépey, Stéphane; Pu, Jiang

Nowcasting networks Journal Article

In: Journal Of Computational Finance, vol. 24, no. 3, pp. 1-39, 2020.

Abstract | Links | BibTeX

Zorgati, Imen; Lakhal, Faten

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

In: Economic Modelling, vol. 92, pp. 162-169, 2020.

Abstract | Links | BibTeX

Blanchard, Romain; Carassus, Laurence

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

In: Stochastic Processes And Their Applications, vol. 130, no. 11, pp. 6657-6688, 2020.

Abstract | Links | BibTeX

Lakhal, Faten; Boubaker, Sabri; Guizani, Assil

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

In: Bankers, Markets and Investors, vol. 162, pp. 35-52, 2020.

Abstract | Links | BibTeX

Ouadghiri, Imane El; Gomes, Mathieu; Jaballah, Jamil; Peillex, Jonathan

Les marchés financiers souffrent-ils aussi du réchauffement climatique ? Miscellaneous

Harvard Business Review France, 2020.

Links | BibTeX

Grasselli, Martino

Smile modelling for exchange-traded products on Futures strategies Conference

Research in Options, Rio de Janeiro, Brazil, 2020.

Abstract | Links | BibTeX

Peillex, Jonathan; Yoon, Hyungseok; Rouine, I.

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

In: Management International, vol. 24, no. 4, pp. 99-112, 2020.

Abstract | Links | BibTeX

Lakhal, Faten; Guizani, Assil; Depoers, Florence

Contrôle familial, conseil d'administration et risque de chute du cours d'actions : Le cas des entreprises françaises Journal Article

In: Management & Avenir, vol. 119, pp. 109-129, 2020.

Abstract | Links | BibTeX

Focardi, Sergio; Fabozzi, Franck; Mazza, Davide

Quantum Option Pricing and Quantum Finance Journal Article

In: Journal Of Derivatives, vol. 28, no. 1, pp. 79-98, 2020.

Abstract | Links | BibTeX

Garcin, Matthieu; Goulet, Clément

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

In: Soft Computing, vol. 24, no. 18, pp. 13797-13812, 2020.

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Grasselli, Martino; Wagalath, Lakshithe

VIX vs VXX: A Joint Analytical Framework Journal Article

In: International Journal of Theoretical and Applied Finance, vol. 23, no. 5, pp. 2050033, 2020.

Abstract | Links | BibTeX

Ouadghiri, Imane El; Peillex, Jonathan

Attention des Investisseurs Institutionnels et Liquidité des Titres Boursiers Français Journal Article

In: Revue Économique, vol. 71, no. 5, pp. 841-863, 2020.

Abstract | Links | BibTeX

?apina, Matej; Garcin, Matthieu; Kramari?, Karolina; Milas, Kre?imir; Brdari?, Dario; Piri?, Marko

The Hurst Exponent of Heart Rate Variability in Neonatal Stress, Based on a Mean-Reverting Fractional Lévy Stable Motion Journal Article

In: Fluctuation And Noise Letters, vol. 19, no. 3, pp. 2050026, 2020.

Abstract | Links | BibTeX

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

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

In: Technological Forecasting And Social Change, vol. 157, pp. 120069, 2020.

Abstract | Links | BibTeX

Boubaker, Sabri; Brahem, Emna; Lakhal, Faten

La diversité du genre influence-t-elle la performance RSE des entreprises familiales ? Journal Article

In: La Revue des Sciences de Gestion, vol. 303-304, pp. 71-80, 2020.

Abstract | Links | BibTeX

Grasselli, Martino

CyberWolf: Assessing vulnerabilities of ICT-intensive financial markets Inproceedings

In: proceedings of the 3rd International Workshop on Cyber Threat Intelligence Management (CyberTIM 2020), Dublin, Ireland, 2020.

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Carassus, Laurence; Rásonyi, Miklos

Risk-neutral pricing for Arbitrage Pricing Theory Journal Article

In: Journal Of Optimization Theory And Applications, vol. 186, no. 1, pp. 248-263, 2020.

Abstract | Links | BibTeX

Craddock, Mark; Grasselli, Martino

Lie symmetry methods for local volatility models Journal Article

In: Stochastic Processes And Their Applications, vol. 130, no. 6, pp. 3802-3841, 2020.

Abstract | Links | BibTeX

Lambert, Marie; Platania, Federico

The macroeconomic drivers in hedge fund beta management Journal Article

In: Economic Modelling, vol. 91, pp. 65-80, 2020.

Abstract | Links | BibTeX

Ach, Yves-Alain

Et si on corrigeait les indicateurs financiers des effets de la crise ? Miscellaneous

The Conversation, 2020.

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Grunspan, Cyril; Pérez-Marco, Ricardo

Selfish Mining in Ethereum Conference

The 2nd International Conference on Mathematical Research for Blockchain Economy, Vilamoura, Portugal, 2020.

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Anagnostidis, Panagiotis; Fontaine, Patrice

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

In: International Review Of Financial Analysis, vol. 69, pp. 101428, 2020.

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Alfeus, Mesias; Grasselli, Martino; Schlögl, Erik

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors Journal Article

In: Journal Of Economic Dynamics & Control, vol. 114, pp. 103861, 2020.

Abstract | Links | BibTeX

Ding, Yang

Investor Identity verification and demand for crypto tokens Inproceedings

In: CAAA Annual Conference, Canada, virtual, 2020.

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Pu, Jiang; Guéant, Olivier; Manziuk, Iiulia

Accelerated share repurchase and other buyback programs: what neural networks can bring Journal Article

In: Quantitative Finance, vol. 20, no. 8, pp. 1389-1404, 2020.

Abstract | Links | BibTeX

Guéant, Olivier; Manziuk, Iiulia; Pu, Jiang

Accelerated share repurchase and other buyback programs: what neural networks can bring Journal Article

In: Quantitative Finance, vol. 20, no. 8, pp. 1389-1404, 2020.

Abstract | Links | BibTeX

Fontaine, Patrice; Roger, Tristan

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

In: Finance, vol. 41, no. 1, pp. 53-95, 2020.

Abstract | Links | BibTeX

Grunspan, Cyril

Lightning Network et sidechains, quelles perspectives pour Bitcoin ? Conference

Workshop Fintech - Blockchain and Risk Management, Paris, France, 2020.

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Grunspan, Cyril; Hoeven, Joris Van Der

Effective asymptotic analysis for finance Journal Article

In: International Journal of Theoretical and Applied Finance, vol. 23, no. 2, pp. 2050013, 2020.

Abstract | Links | BibTeX

Grunspan, Cyril; Pérez-Marco, Ricardo

The Mathematics of Bitcoin Miscellaneous

European Mathematical Society EMS Newsletter, 2020.

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Benkraiem, Ramzi; Lakhal, Faten; Zopounidis, C.

International diversification and corporate cash holding behavior: What happens during economic downturns ? Journal Article

In: Journal Of Economic Behavior & Organization, vol. 170, pp. 362-371, 2020.

Abstract | Links | BibTeX

Carassus, Laurence; Rásonyi, Miklos

From small markets to big markets Journal Article

In: Banach Center Publications, vol. 122, pp. 41-52, 2020.

Abstract | Links | BibTeX

Carassus, Laurence; Rásonyi, Miklos

Risk-neutral pricing for arbitrage pricing theory Conference

Bachelier Colloquium 2020, Metabief, France, 2020.

Links | BibTeX

Carassus, Laurence; Blanchard, Romain

No-arbitrage with multiple-priors in discrete time Conference

Model Uncertainly in Risk Management, Paris, France, 2020.

Links | BibTeX

Benkraiem, Ramzi; Gaaya, Safa; Lakhal, Faten

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

In: Economics Bulletin, vol. 40, no. 2, pp. 1714-1726, 2020.

Abstract | Links | BibTeX

Garcin, Matthieu

Fractal analysis of the multifractality of foreign exchange rates Journal Article

In: Mathematical Methods in Economics and Finance, vol. 13-14, no. 1, pp. 49-73, 2020.

Abstract | Links | BibTeX

Ouadghiri, Imane El; Uctum, Remzi

Macroeconomic expectations and time varying heterogeneity: Evidence from individual survey data Journal Article

In: Applied Economics, vol. 52, no. 23, pp. 2443-2459, 2020.

Abstract | Links | BibTeX

Fabozzi, Franck; Focardi, Sergio

Climate Change and Asset Management Journal Article

In: Journal Of Portfolio Management, vol. 46, no. 3, pp. 95-107, 2020.

Abstract | Links | BibTeX

Grunspan, Cyril

Revenue ratio of a mining strategy on a public blockchain Conference

Advances in Financial Mathematics 2020, Paris, France, 2020.

Links | BibTeX

Grasselli, Martino

Functional and recursive quantization for a class of non markovian processes Conference

XXI Workshop in Quantitative Finance, Napoli, Italy, 2020.

Links | BibTeX

Garcin, Matthieu

Selection and estimation of fractional and multifractional models Conference

9th International Conference on Mathematical and statistical methods for Actuarial sciences and Finance, virtual, 2020.

BibTeX

2019

Ach, Yves-Alain

« Sneakers » : la grande envolée des prix à la revente Miscellaneous

The Conversation, 2019.

Links | BibTeX

Moreno, Manuel; Novales, Alfonso; Platania, Federico

Long-term swings and seasonality in energy markets Journal Article

In: European Journal Of Operational Research, vol. 279, no. 3, pp. 1011-1023, 2019.

Abstract | Links | BibTeX

Altman, Edward I.; Benhenni, Robert

The Anatomy of Distressed Debt Markets Journal Article

In: Annual Review Of Financial Economics, vol. 11, pp. 21-37, 2019.

Abstract | Links | BibTeX

Grasselli, Martino

Is Volatility Rough? Conference

Quantitative Methods in Finance 2019 Conference, Sydney, Australia, 2019.

Links | BibTeX

Garcin, Matthieu

Selection and estimation of fractional and multifractional models Conference

Computational and financial econometrics, London, UK, 2019.

BibTeX

Callegaro, Gorgia; Fiorin, Lucio; Grasselli, Martino

Quantization Meets Fourier: a New Technology for Pricing Options Journal Article

In: Annals Of Operations Research, vol. 282, pp. 59-86, 2019.

Abstract | Links | BibTeX

Blanchard, Romain; Carassus, Laurence

No-arbitrage with multiple-priors in discrete time Conference

Séminaire de Finance Londonien, Londres, UK, 2019.

Links | BibTeX

321 entries « 2 of 7 »

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