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 :

241 entries « 5 of 5 »

2002

Cincotti, Silvano; Focardi, Sergio; Marchesi, Michele

Self-organization and Market Crashes Journal Article

Journal of Economic Behavior & Organization, 49 (2), pp. 241-267, 2002.

Abstract | Links | BibTeX

Brunel, Vivien

Super-replication problem in a jumping financial market Journal Article

Finance : revue de l'Association Française de Finance, 23.2002 (Hors-série), pp. 29-45, 2002, ISSN: 0752-6180.

Abstract | Links | BibTeX

Brunel, Vivien; Legras, Jérôme

On the Optimal growth rate strategy: Long term investment strategies legras brunel Journal Article

Banque & Marchés, mars-avril (57), 2002.

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Grunspan, Cyril

Discrete Quantum Drinfeld-Sokolov Correspondence Journal Article

Communications in Mathematical Physics, 226 (3), pp. 627-662, 2002.

Abstract | Links | BibTeX

2001

Brunel, Vivien; de Noue, Pierre La

Les dérivés de crédit : quelle utilisation ? Journal Article

Quants, (40), 2001.

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Raberto, Marco; Cincotti, Silvano; Focardi, Sergio; Marchesi, Michele

Agent-based Simulation of a Financial Market Journal Article

Physica A: Statistical Mechanics and its Applications, 299 (1-2), pp. 319-327, 2001.

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Sahli, Amel Bouzaida

Le pouvoir et le contrepouvoir dans les groupes publics, le cas du Crédit Lyonnais Conference

Conférence internationale de la Finance 2001.

BibTeX

Sahli, Amel Bouzaida

Politique de dividende et asymétrie de l’information Conference

Conférence internationale de la Finance 2001.

BibTeX

Focardi, Sergio; Marchesi, Michele; Succi, Giancarlo

Extreme programming examined, A Stochastic Model of Software Maintenance and Its Implications on Extreme Programming Processes Book Chapter

Marchesi, Michele ; Succi, Giancarlo (Ed.): pp. 191-206, Addison-Wesley Longman Publishing, New-York, USA, 2001, ISBN: 0-201-71040-4.

Abstract | Links | BibTeX

Grasselli, Martino

La Gestion de Portefeuille à Long Terme : une Approche de Finance Mathématique PhD Thesis

Université de Paris I Panthéon Sorbonne, 2001.

Abstract | Links | BibTeX

2000

Grunspan, Cyril

On Integrals of Motion of The Discrete Sine-Gordon System Journal Article

Letters in Mathematical Physics, 54 (2), pp. 101-121, 2000, ISSN: 1573-0530.

Abstract | Links | BibTeX

Focardi, Sergio; Marchesi, Michele

Essays on Heterogeneity in Economics, Self-Organization in Global Stochastic Models of Production and Inventory Dynamics Book Chapter

Delli Gatti, Domenico ; Gallegati, Mauro ; Kirman, Alan (Ed.): 484 (2000), pp. 167-183, Springer-Verlag, Berlin, Germany, 2000, ISBN: 978-3-642-57005-6.

Abstract | Links | BibTeX

Deelstra, Griselda; Grasselli, Martino

Optimal Investment Strategies in a CIR Framework Journal Article

Journal of Applied Probability, 1 , pp. 1-15, 2000.

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1999

Deelstra, Griselda; Grasselli, Martino; Koehl, Pierre-François

Conditional Dominance Criteria: Definition and Application to Risk-Management Journal Article

Insurance: Mathematics and Economics, 25 (3), pp. 295-306, 1999.

Abstract | Links | BibTeX

Focardi, Sergio

Business as Usual and Rare Events: The Odd Couple of Risk Management Coming Together Journal Article

Journal of Portfolio Management, (25th Anniversary Issue), pp. 47-54, 1999.

BibTeX

Grunspan, Cyril

Quantum Homogeneous Spaces and Toda Theory on Lattices Unpublished

1999.

BibTeX

Grasselli, Martino; Viscolani, Bruno

On a financial project valuation model proposed by De Giuli and Magnani Journal Article

Rendiconti per gli Studi Economici e Quantitativi, pp. 92-107, 1999.

BibTeX

Grasselli, Martino

Pension Funds: Deterministic and Stochastic Approaches PhD Thesis

Università degli Studi di Trieste, 1999.

Links | BibTeX

1998

Focardi, Sergio

Handbook of Portfolio Management, The Changing Framework and Methods of Investment Management Book Chapter

Fabozzi, Frank (Ed.): pp. 31-56, Wiley, 1998, ISBN: 978-1-883249-41-0.

Abstract | Links | BibTeX

Focardi, Sergio; Jonas, Caroline

Risk Management: Framework, Methods and Practice Book

1998, ISBN: 978-1-883249-35-9.

Abstract | Links | BibTeX

1997

Focardi, Sergio

A Seam of Knowledge: The Importance of Data Analysis in Firm-wide Financial Optimisation Journal Article

Risk Magazine, 10 (8), 1997.

BibTeX

Focardi, Sergio; Jonas, Caroline

Modeling the Market: New Theories and Techniques Book

1997, ISBN: 978-1-883249-12-0.

Abstract | Links | BibTeX

1996

Focardi, Sergio

From Equilibrium to Non-linear Dynamics in Investment Management Journal Article

Journal of Portfolio Management, (Summer 1996), pp. 19-30, 1996.

BibTeX

1995

Focardi, Sergio; Decker, Karsten

Technology Overview: A Report On Data Mining. Technical Report Conference

CSCS TR-95-02, Swiss Scientific Computing Center Manno, Switzerland, 1995.

Abstract | BibTeX

0000

Focardi, Sergio

A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance Journal Article

Journal of Banking and Finance, 0000.

BibTeX

Focardi, Sergio; Fabozzi, Frank

The Integrated Factor Structure of Equity Prices Unpublished

0000.

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Focardi, Sergio

Modelling a Multi-Agent Economy with Multiple Inflation Rates And Segregated Financial Flows Unpublished

0000.

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Focardi, Sergio

Predicting Financial Crises: an Approach Based on Multiple Inflation Rates and Segregated Financial Flows Unpublished

0000.

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Nouet, Sébastien

L’impact de Solvency II sur le bilan des sociétés d’assurance Unpublished

0000.

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Nouet, Sébastien

Equilibre et gestion d’un régime de retraite par points Unpublished

0000.

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Focardi, Sergio

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

0000.

Links | BibTeX

Citovski, Gui; Focardi, Sergio

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

0000.

Links | BibTeX

Sergio M. Focardi, Frank Fabozzi J; Mitov, Ivan

A New Approach to Statistical Arbitrage: Strategies Based on Dynamic Factor Models of Prices and their Performance”, Journal Article

0000.

BibTeX

Robert Engle Sergio Focardi, Frank Fabozzi

Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management. Journal Article

0000.

BibTeX

Citovski, Gui; Focardi, Sergio

Gui Citovski and Sergio Focardi, 2015, A novel view of suprathreshold stochastic resonance and its applications to financial markets, Front. Appl. Math. Stat., 08 October 2015 , http://dx.doi.org/10.3389/fams.2015.00010 Journal Article

Frontiers Applied Mathematics Statistics , 0000.

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Citovski, Gui; Focardi, Sergio

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

Front. Appl. Math. Stat, 0000.

Links | BibTeX

Marie Brière Jonathan Peillex, Loredana Ureche-Rangau

Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? Journal Article

Financial Analysts Journal, 73 (3), pp. 1-14, 0000.

Abstract | Links | BibTeX

BRINETTE, Souad; KHEMIRI, Sabrina

Identifying the determinants of corporate venture capital strategy: evidence from French firms Journal Article Forthcoming

International Journal of entrepreneurship and Small business, Forthcoming.

BibTeX

grasselli,

The 4/2 stochastic volatility model Journal Article

Mathematical Finance, 27 (4), pp. 1013-1034, 0000.

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Focardi, Sergio

Money: What it is, how it’s created, who gets it, and why it matters, Book

Routledge, 0000.

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F. Fabozzi, ; Sergio Focardi, ; Jonas, C

Equity Valuation: Science, Art, or Craft? Book Forthcoming

Forthcoming.

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241 entries « 5 of 5 »

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Outgoing Exchange Students Coordinator

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