EMLV and ESILV’s professors and researchers of the Finance Group :
Publication of the professors and researchers of the Finance Group :
Quantization meets Fourier: A New methodology for pricing options Inproceedings
Mathematics in Finance 2017 International Conference, Cape Town, South Africa, 2-3 november, 2017.
VIX versus VXX: a joint analytical framework Inproceedings
Mathematics and Finance: Research in Options, Rio de Janeiro, Brazil, 25-30 november, 2017.
Money: What it is, how it’s created, who gets it, and why it matters Book
Routledge, 208 p., 2017.
The Financial Review, 52 , pp. 597–626, 2017.
Pricing via Quantization in Stochastic Volatility Models Journal Article
Quantitative Finance, 17 (6), pp. 855-872, 2017.
The 4/2 stochastic volatility model Journal Article
Mathematical Finance, 27 (4), pp. 1013-1034, 2017.
A multi-agent stock-flow consistent model of an economy with a banking system Inproceedings
EAEPE Annual Conference, Budapest, 19-21 October , 2017.
Convergence of utility indifference prices to the superreplication price in a multiple-priors framework Journal Article
The supply-side effect on the use of debt with very short and very long maturities Journal Article
Finance Bulletin, 1 (1), pp. 10-28, 2017.
How to determine exchange rates under risk neutrality: A note Journal Article
Economic Letters, 157 , pp. 92-96, 2017.
Le principe d’arbitrage au coeur de l’évaluation des actifs financiers Book Chapter
in “Les grands auteurs en finance”, éditions EMS (Ed.): pp. 167-185, 2017.
Managerial Auditing Journal, 32 (7), pp. 731-744, 2017, ISSN: 0268-6902.
Mini-symposium Big Data Mégadonnées : quelques enjeux Conference
organisation du minisymposium industriel Big Data au SMAI et modérateur de l’exposé Moulines, 2017.
Organizer of a mini-symposium on Quantization Inproceedings
8th General AMaMeF Conference, Amsterdam, June 19-23, 2017.
Liquidity provision, Commonality and High-Frequency Trading Inproceedings
Department of Economics - Bendheim Center for Finance, Princeton University, USA, May Department of Finance, Arizona State University, W. P. Carey School of Business, USA, May , 2017.
Information, learning and High-Frequency Trading in electronic call auction markets Conference
AFFI May 2017, Valence, France, 2017.
Do Industry Peers Matter? Evidence on Corporate Debt Maturity Policy? Inproceedings
Banco de Portugal 2017 seminar, Portugal, may and the FMA Lisbon Meeting, Portugal June, 2017.
A consistent stochastic model of the term structure of interest rates for multiple tenors Inproceedings
Second Paris-Asia Conference in Quantitative Finance, Suzhou, China, 26-27 mai, 2017.
Long-term swings and seasonality in energy markets Conference
5th International Symposium on Environment and Energy Finance Issues (ISEFI-2017), Paris, 22-23 mai , 2017.
No Arbitrage in Discrete Time Under Portfolio Constraints Journal Article
Financial Analysts Journal, 73 (3), pp. 1-14, 2017.
Rendre "Intelligent" le Smart Grid Workshop
Crise financière et performance du capital investissement en France Conference
International Finance Conference 9, ISC, Paris, 11-12 Mars , 2017.
Physica A: statistical mechanics and its applications, 483 , pp. 462-479, 2017.
Quantized stochastic volatility Inproceedings
Quantitative Methods in Finance QMF 2016 , Sydney, Australia, 2016.
Long-term swings and and seasonality in energy markets Conference
4th Paris Financial Management Conferen, hosted by IPAG Business School., 2016.
Lie symmetry methods for local volatility models Inproceedings
Mathematics and Finance: Research in Options, IMPA, Rio de Janeiro, Brazil, 2016.
Fractional Calculus and Fractional Processes with Applications to Financial Economics, Book
John Wiley & Sons,105 pages, 2016.
Insurance: Mathematics and Economics, 71 , pp. 205-219, 2016, ISSN: 0167-6687.
Operational risk modelled analytically II: classification invariance Journal Article
Risk Magazine, on line, 2016.
Why do companies transfer the trading compartment of their common stocks Journal Article
Research In International Business and Finance, (36), pp. 624-640, 2016.
Journal of Business Ethics, 136 (1), pp. 101-117, 2016, ISSN: 1573-0697.
How personal finance management influences consumers motivations and behavior regarding online banking services Journal Article
Communications and Strategies - Digiworld Economic Journal, (103), pp. 15-34, 2016.
Journal of Portfolio Management, 42 (5), pp. 94-106, 2016.
What style liquidity timing skills do mutual fund managers possess? Conference
The 33rd International Conference of the French Finance Association, HEC-Liège, Belgique, 23-25, mai, 2016.
Institutional Investors and the Dependant Structure Of Asset Returns Journal Article
International Journal of Theoritical and Applied Finance, 19 (02), pp. 1650010-01 - 1650010-37 , 2016.
Le contrôleur de gestion, prescripteur d'information Journal Article
Revue Finance & Gestion, (342), pp. 30-32, 2016.
Loan Classification under IFRS9 Journal Article
Risk Magazine, on line, 2016.
Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international asset and good markets Journal Article
Mathematical Social Sciences, 82 , pp. 26-36, 2016.
A Flexible Spot Multiple-Curve Model Journal Article
Quantitative Finance, 16 (10), pp. 1465-1477, 2016, ISSN: 1469-7688.
Expected Credit Loss vs Credit Value Adjustment: a comparative Analysis Journal Article
Bankers Markets Investors, (141), pp. 6-18, 2016.
Pricing via Recursive Quantization in Stochastic Volatility Models Inproceedings
Workshop in Quantitative Finance, Pisa, Italy, 2016.
Economic Modelling, 54 , pp. 218-234, 2016, ISBN: 0264-9993.
Depositary bank and Management Company (ManCo) of a UCI Book Chapter
in Fund industry in Luxembourg: A Practitioner Guide, Danielle Sougné (Ed.): Larcier, 2016, ISBN: 9782875960450.
European Journal of Operational Research, 249 (1), pp. 270–280, 2016, ISSN: 0377-2217.
Mathematics of Operations Research, 41 (1), pp. 1-376, 2016.
Stochastic Skew and Target Volatility Options Journal Article
The Journal of Futures Markets, 36 (2), pp. 174-193, 2016.
A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance Journal Article
Journal of Banking and Finance, 2016.
Journal of Empirical Finance, 35 , pp. 110-135, 2016.
Physica D: nonlinear phenomena, 325 , pp. 126-145, 2016.
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