L’équipe d’enseignants-chercheurs Finance Group issus de l’EMLV et de l’ESILV.
L’ensemble des travaux des enseignants-chercheurs en finance.
2018
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Articles de journaux
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Mohamed Benlemlih, Jamil Jaballah, Jonathan Peillex Does It Really Pay to Do Better? Exploring the Financial Effects of Changes in CSR Ratings Article de journal Forthcoming Dans: Applied Economics, Forthcoming. BibTeX @article{Peillex1703,
title = {Does It Really Pay to Do Better? Exploring the Financial Effects of Changes in CSR Ratings},
author = {Mohamed Benlemlih, Jamil Jaballah, Jonathan Peillex},
year = {2018},
date = {2018-03-17},
journal = {Applied Economics},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
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Philippe Desbrières; Elias Erragragui; Jonathan Peillex L'investissement conforme à la Charia est-il socialement responsable? Article de journal Dans: Management International, 22 (3), p. 1-14, 2018. BibTeX @article{Desbrières2017,
title = {L'investissement conforme à la Charia est-il socialement responsable?},
author = {Philippe Desbrières and Elias Erragragui and Jonathan Peillex},
year = {2018},
date = {2018-01-06},
journal = {Management International},
volume = {22},
number = {3},
pages = {1-14},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
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Jamil Jaballah; Jonathan Peillex; Laurent Weill Is Being Sharia Compliant Worth It? Article de journal Forthcoming Dans: Economic Modelling, Forthcoming. Liens | BibTeX @article{Weill2018,
title = {Is Being Sharia Compliant Worth It?},
author = {Jamil Jaballah; Jonathan Peillex; Laurent Weill},
url = {https://doi.org/10.1016/j.econmod.2018.02.011},
doi = {10.1016/j.econmod.2018.02.011},
year = {2018},
date = {2018-01-01},
journal = {Economic Modelling},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
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Mohammad Bitar; Jonathan Peillex Performance des banques islamiques vs. banques conventionnelles: quelles exigences en matière de fonds propres réglementaires? Article de journal Forthcoming Dans: Revue Economique, Forthcoming. Résumé | BibTeX @article{Peillex0101,
title = {Performance des banques islamiques vs. banques conventionnelles: quelles exigences en matière de fonds propres réglementaires?},
author = {Mohammad Bitar; Jonathan Peillex},
year = {2018},
date = {2018-01-01},
journal = {Revue Economique},
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 = {forthcoming},
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. |
Jonathan Peillex; Elias Erragragui; Mohammad Bitar; Mohammed Benlemlih The contribution of market movements, asset allocation and active management to Islamic equity funds’ performance Article de journal Forthcoming Dans: Quarterly Review of Economics and Finance, Forthcoming. Liens | BibTeX @article{Peillex2018,
title = {The contribution of market movements, asset allocation and active management to Islamic equity funds’ performance},
author = {Jonathan Peillex; Elias Erragragui; Mohammad Bitar; Mohammed Benlemlih},
url = {http://dx.doi.org/10.1016/j.qref.2018.03.013},
doi = {10.1016/j.qref.2018.03.013},
year = {2018},
date = {2018-01-01},
journal = {Quarterly Review of Economics and Finance},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
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2017
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Articles de journaux
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S. Brinette; S. Khemiri Identifying the determinants of corporate venture capital strategy: evidence from French firms Article de journal Forthcoming Dans: International Journal of entrepreneurship and Small business, Forthcoming. BibTeX @article{khemiri2017b,
title = {Identifying the determinants of corporate venture capital strategy: evidence from French firms},
author = {S. Brinette and S. Khemiri},
year = {2017},
date = {2017-12-30},
journal = {International Journal of entrepreneurship and Small business},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
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P. Fontaine; S. Jimenez; M. Seasholes Common Factors, Information, and Holdings Dispersion Article de journal Forthcoming Dans: Review of Finance, Forthcoming. BibTeX @article{fontaine2017bb,
title = {Common Factors, Information, and Holdings Dispersion},
author = {P. Fontaine and S. Jimenez and M. Seasholes},
year = {2017},
date = {2017-12-30},
journal = {Review of Finance},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
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Laurence Carassus; R. Blanchard Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function Article de journal Forthcoming Dans: Annals of Applied Probability, Forthcoming. BibTeX @article{carassus2017,
title = {Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function},
author = {Laurence Carassus and R. Blanchard },
year = {2017},
date = {2017-12-30},
journal = {Annals of Applied Probability},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
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Elias Erragragui; Kabir Hassan; Jonathan Peillex; Faisal Khan Does ethics improve stock market resilience in times of instability? Article de journal Forthcoming Dans: Economic Systems, Forthcoming. BibTeX @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},
year = {2017},
date = {2017-12-10},
journal = {Economic Systems},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
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Tarik Bazgour; Laurent Bodson; Danielle Sougné What Style Liquidity Timing Skills Do Mutual Fund Managers Possess? Article de journal Dans: The Financial Review, 52 , p. 597–626, 2017. Résumé | Liens | BibTeX @article{Bazgour2017,
title = {What Style Liquidity Timing Skills Do Mutual Fund Managers Possess?},
author = {Tarik Bazgour; Laurent Bodson; Danielle Sougné},
doi = {10.1111/fire.12117},
year = {2017},
date = {2017-11-01},
journal = {The Financial Review},
volume = {52},
pages = {597–626},
abstract = {Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four-factor case and investigate liquidity timing skills with respect to the MARKET, SIZE, VALUE and MOMENTUM factors. Contrary to these claims, we find no evidence that fund managers adjust market exposure in anticipation of market liquidity changes. We find rather strong evidence that fund managers successfully overweight small stocks as market liquidity increases. Our study also demonstrates that it is easy to misidentify SIZE liquidity timing as MARKET liquidity timing in models that focus only on MARKET liquidity timing.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Recent studies claim that mutual fund managers demonstrate strong MARKET liquidity timing skills. We extend their liquidity timing tests to the four-factor case and investigate liquidity timing skills with respect to the MARKET, SIZE, VALUE and MOMENTUM factors. Contrary to these claims, we find no evidence that fund managers adjust market exposure in anticipation of market liquidity changes. We find rather strong evidence that fund managers successfully overweight small stocks as market liquidity increases. Our study also demonstrates that it is easy to misidentify SIZE liquidity timing as MARKET liquidity timing in models that focus only on MARKET liquidity timing. |
Giorgia Callegaro; Lucio Fiorin; Martino Grasselli Pricing via Quantization in Stochastic Volatility Models Article de journal Dans: Quantitative Finance, 17 (6), p. 855-872, 2017. Résumé | Liens | BibTeX @article{Callegaro2017,
title = {Pricing via Quantization in Stochastic Volatility Models},
author = {Giorgia Callegaro and Lucio Fiorin and Martino Grasselli},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2669734},
year = {2017},
date = {2017-10-22},
journal = {Quantitative Finance},
volume = {17},
number = {6},
pages = {855-872},
abstract = {In this paper we apply a new methodology based on quantization to price options in stochastic volatility models. This method can be applied to any model for which an Euler scheme is available for the underlying process and it allows for pricing vanillas, as well as exotics, thanks to the knowledge of the transition probabilities for the discretized stock process. We apply the methodology to some celebrated stochastic volatility models, including the Stein and Stein (1991) model and the SABR model introduced in Hagan and Woodward (2002). A numerical exercise shows that the pricing of vanillas turns out to be accurate; in addition, when applied to some exotics like equity-volatility options, the quantization-based method overperforms by far the Monte Carlo simulation.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper we apply a new methodology based on quantization to price options in stochastic volatility models. This method can be applied to any model for which an Euler scheme is available for the underlying process and it allows for pricing vanillas, as well as exotics, thanks to the knowledge of the transition probabilities for the discretized stock process. We apply the methodology to some celebrated stochastic volatility models, including the Stein and Stein (1991) model and the SABR model introduced in Hagan and Woodward (2002). A numerical exercise shows that the pricing of vanillas turns out to be accurate; in addition, when applied to some exotics like equity-volatility options, the quantization-based method overperforms by far the Monte Carlo simulation. |
Martino Grasselli The 4/2 stochastic volatility model Article de journal Dans: Mathematical Finance, 27 (4), p. 1013-1034, 2017. Résumé | Liens | BibTeX @article{Grassellibb,
title = {The 4/2 stochastic volatility model},
author = { Martino Grasselli},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2523635},
doi = {DOI: 10.1111/mafi.12124},
year = {2017},
date = {2017-10-15},
journal = {Mathematical Finance},
volume = {27},
number = {4},
pages = {1013-1034},
abstract = {We introduce a new stochastic volatility model that includes as special cases the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). The new model displays new features, namely the instantaneous volatility can be uniformly bounded away from zero, and it is highly tractable, meaning that the pricing procedure can be performed efficiently. This required the application of the Lie symmetries theory for PDEs, which allowed us to extend known results on Bessel processes. Finally, we provide an exact simulation and a second order discretization scheme for the model, which is useful in view of the numerical applications.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We introduce a new stochastic volatility model that includes as special cases the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). The new model displays new features, namely the instantaneous volatility can be uniformly bounded away from zero, and it is highly tractable, meaning that the pricing procedure can be performed efficiently. This required the application of the Lie symmetries theory for PDEs, which allowed us to extend known results on Bessel processes. Finally, we provide an exact simulation and a second order discretization scheme for the model, which is useful in view of the numerical applications. |
P. Fontaine; S. Zhao The supply-side effect on the use of debt with very short and very long maturities Article de journal Dans: Finance Bulletin, 1 (1), p. 10-28, 2017. BibTeX @article{fontaineZhao,
title = {The supply-side effect on the use of debt with very short and very long maturities},
author = {P. Fontaine and S. Zhao},
year = {2017},
date = {2017-09-15},
journal = {Finance Bulletin},
volume = {1},
number = {1},
pages = {10-28},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
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Bosi, S.; Fontaine P.; Le Van C. How to determine exchange rates under risk neutrality: A note Article de journal Dans: Economic Letters, 157 , p. 92-96, 2017. BibTeX @article{Fontaine2017a,
title = {How to determine exchange rates under risk neutrality: A note},
author = {Bosi, S. and Fontaine P. and Le Van C.},
year = {2017},
date = {2017-08-10},
journal = {Economic Letters},
volume = {157},
pages = {92-96},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
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Marie Brière, Jonathan Peillex, Loredana Ureche-Rangau Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? Article de journal Dans: Financial Analysts Journal, 73 (3), p. 1-14, 2017. Résumé | Liens | BibTeX @article{Brière2017b,
title = {Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? },
author = {Marie Brière, Jonathan Peillex, Loredana Ureche-Rangau},
editor = {CFA Institute},
url = {http://www.cfapubs.org/doi/pdf/10.2469/faj.v73.n3.2},
doi = {10.2469/faj.v73.n3.2},
year = {2017},
date = {2017-05-06},
journal = {Financial Analysts Journal},
volume = {73},
number = {3},
pages = {1-14},
abstract = {Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices. },
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Regarding the contribution of socially responsible (SR) screening to mutual fund performance, we propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices. |
Inproceedings
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Grasselli, M.; Fiorin, L.; Callegaro, G. Quantization meets Fourier: A New methodology for pricing options inproceedings Dans: Quantitative Methods in Finance QMF2017, Sydney, Australie, 12-15 december., 2017. BibTeX @inproceedings{grasselli2017b,
title = {Quantization meets Fourier: A New methodology for pricing options},
author = {Grasselli, M. and Fiorin, L. and Callegaro, G. },
year = {2017},
date = {2017-12-30},
booktitle = {Quantitative Methods in Finance QMF2017, Sydney, Australie, 12-15 december.},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Laurence Carassus Convergence of utility indifference prices to the superreplication price in a multiple-priors framework inproceedings Dans: invitation, Mathematical Finance seminar at Oxfsord, novembre , 2017. BibTeX @inproceedings{carassus2017e,
title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework},
author = {Laurence Carassus},
year = {2017},
date = {2017-11-10},
booktitle = {invitation, Mathematical Finance seminar at Oxfsord, novembre },
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Grasselli, M.; Fiorin, L.; Callegaro, G. Quantization meets Fourier: A New methodology for pricing options inproceedings Dans: Mathematics in Finance 2017 International Conference, Cape Town, South Africa, 2-3 november, 2017. BibTeX @inproceedings{grasselli2017c,
title = {Quantization meets Fourier: A New methodology for pricing options},
author = {Grasselli, M. and Fiorin, L. and Callegaro, G. },
year = {2017},
date = {2017-11-10},
booktitle = {Mathematics in Finance 2017 International Conference, Cape Town, South Africa, 2-3 november},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Grasselli, M.; Wagalath, L. VIX versus VXX: a joint analytical framework inproceedings Dans: Mathematics and Finance: Research in Options, Rio de Janeiro, Brazil, 25-30 november, 2017. BibTeX @inproceedings{grasselli2017e,
title = {VIX versus VXX: a joint analytical framework},
author = {Grasselli, M. and Wagalath, L. },
year = {2017},
date = {2017-11-10},
booktitle = {Mathematics and Finance: Research in Options, Rio de Janeiro, Brazil, 25-30 november},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Focardi, S.; Raberto, M.; Ponta, L. A multi-agent stock-flow consistent model of an economy with a banking system inproceedings Dans: EAEPE Annual Conference, Budapest, 19-21 October , 2017. BibTeX @inproceedings{focardi2017c,
title = {A multi-agent stock-flow consistent model of an economy with a banking system},
author = {Focardi, S. and Raberto, M. and Ponta, L. },
year = {2017},
date = {2017-10-15},
booktitle = {EAEPE Annual Conference, Budapest, 19-21 October },
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Laurence Carassus Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time inproceedings Dans: AMAMEF, Amsterdam, juin 2017, 2017. BibTeX @inproceedings{carassus2017d,
title = {Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time},
author = {Laurence Carassus},
year = {2017},
date = {2017-06-14},
booktitle = {AMAMEF, Amsterdam, juin 2017},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Martino Grasselli Organizer of a mini-symposium on Quantization inproceedings Dans: 8th General AMaMeF Conference, Amsterdam, June 19-23, 2017. BibTeX @inproceedings{grasselli2017a,
title = {Organizer of a mini-symposium on Quantization},
author = {Martino Grasselli},
year = {2017},
date = {2017-06-14},
booktitle = {8th General AMaMeF Conference, Amsterdam, June 19-23},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Laurence Carassus Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time inproceedings Dans: of Alfred Rényi Institute of Mathematics, Hungarian Academy Sciences (Ed.): 2017. BibTeX @inproceedings{carassus2017b,
title = {Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time},
author = {Laurence Carassus},
editor = {Alfred Rényi Institute of Mathematics, Hungarian Academy of Sciences},
year = {2017},
date = {2017-05-15},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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P; Anagnostidis; P. Fontaine, Liquidity provision, Commonality and High-Frequency Trading inproceedings Dans: 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. BibTeX @inproceedings{FontAgno2017a,
title = { Liquidity provision, Commonality and High-Frequency Trading },
author = {P; Anagnostidis and P. Fontaine, },
year = {2017},
date = {2017-05-15},
booktitle = {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 },
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Fontaine, P.; Zhao S. Do Industry Peers Matter? Evidence on Corporate Debt Maturity Policy? inproceedings Dans: Banco de Portugal 2017 seminar, Portugal, may and the FMA Lisbon Meeting, Portugal June, 2017. BibTeX @inproceedings{fontaineZhaob,
title = {Do Industry Peers Matter? Evidence on Corporate Debt Maturity Policy?},
author = {Fontaine, P. and Zhao S. },
year = {2017},
date = {2017-05-15},
booktitle = {Banco de Portugal 2017 seminar, Portugal, may and the FMA Lisbon Meeting, Portugal June},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
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Grasselli, M.; Mesias, A.; Schlogl, E A consistent stochastic model of the term structure of interest rates for multiple tenors inproceedings Dans: Second Paris-Asia Conference in Quantitative Finance, Suzhou, China, 26-27 mai, 2017. BibTeX @inproceedings{grasselli2017d,
title = {A consistent stochastic model of the term structure of interest rates for multiple tenors},
author = {Grasselli, M. and Mesias, A. and Schlogl, E},
year = {2017},
date = {2017-05-15},
booktitle = {Second Paris-Asia Conference in Quantitative Finance, Suzhou, China, 26-27 mai},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Livres
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F. Fabozzi,; S. Focardi,; C. Jonas, Equity Valuation: Science, Art, or Craft? Livre CFA Institute, 2017. BibTeX @book{focardi2017bb,
title = {Equity Valuation: Science, Art, or Craft?},
author = {F. Fabozzi, and S. Focardi, and C. Jonas,},
year = {2017},
date = {2017-12-15},
publisher = {CFA Institute},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
|
Sergio Focardi Money: What it is, how it’s created, who gets it, and why it matters Livre Routledge, 208 p., 2017. BibTeX @book{focardi2017ab,
title = {Money: What it is, how it’s created, who gets it, and why it matters},
author = {Sergio Focardi},
year = {2017},
date = {2017-11-06},
publisher = {Routledge, 208 p.},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
|
Book Chapters
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P. Fontaine; S. Ross Le principe d’arbitrage au coeur de l’évaluation des actifs financiers Book Chapter Dans: in “Les grands auteurs en finance”, éditions EMS (Ed.): p. 167-185, 2017. BibTeX @inbook{fontaineross,
title = {Le principe d’arbitrage au coeur de l’évaluation des actifs financiers },
author = {P. Fontaine and S. Ross},
editor = {in “Les grands auteurs en finance”, éditions EMS},
year = {2017},
date = {2017-07-15},
pages = {167-185},
keywords = {},
pubstate = {published},
tppubtype = {inbook}
}
|
Conférences
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Laurence Carassus Mini-symposium Big Data Mégadonnées : quelques enjeux 5500 - 5599 Conférence organisation du minisymposium industriel Big Data au SMAI et modérateur de l’exposé Moulines, 2017. BibTeX @conference{carassus2017c,
title = {Mini-symposium Big Data Mégadonnées : quelques enjeux },
author = {Laurence Carassus},
year = {2017},
date = {2017-06-15},
booktitle = {organisation du minisymposium industriel Big Data au SMAI et modérateur de l’exposé Moulines},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
P. Anagnostidis; P. Fontaine Information, learning and High-Frequency Trading in electronic call auction markets 5500 - 5599 Conférence AFFI May 2017, Valence, France, 2017. BibTeX @conference{FontAgno2017b,
title = {Information, learning and High-Frequency Trading in electronic call auction markets},
author = {P. Anagnostidis and P. Fontaine },
year = {2017},
date = {2017-05-15},
booktitle = {AFFI May 2017, Valence, France},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
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Jaballah, J.; Peillex, J.; Weill, L. Is Being Islamic Worth It ? 5500 - 5599 Conférence AFFI, Valence, mai 2017 et IRMBM, Nice, 5 juillet, 2017. BibTeX @conference{peillex2017,
title = {Is Being Islamic Worth It ?},
author = {Jaballah, J. and Peillex, J. and Weill, L. },
year = {2017},
date = {2017-05-15},
booktitle = {AFFI, Valence, mai 2017 et IRMBM, Nice, 5 juillet},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Federico Platania Long-term swings and seasonality in energy markets 5500 - 5599 Conférence 5th International Symposium on Environment and Energy Finance Issues (ISEFI-2017), Paris, 22-23 mai , 2017. BibTeX @conference{platania2017,
title = {Long-term swings and seasonality in energy markets},
author = {Federico Platania},
year = {2017},
date = {2017-05-15},
booktitle = {5th International Symposium on Environment and Energy Finance Issues (ISEFI-2017), Paris, 22-23 mai },
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Sabrina KHEMIRI; Amel SAHLI Crise financière et performance du capital investissement en France 5500 - 5599 Conférence International Finance Conference 9, ISC, Paris, 11-12 Mars , 2017. BibTeX @conference{Khemiribbl,
title = {Crise financière et performance du capital investissement en France},
author = {Sabrina KHEMIRI and Amel SAHLI},
year = {2017},
date = {2017-03-11},
publisher = {International Finance Conference 9},
address = {ISC, Paris, 11-12 Mars },
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
2016
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Inproceedings
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Grasselli Martino; Callegaro G.; Fiorin L. Quantized stochastic volatility inproceedings Dans: Quantitative Methods in Finance QMF 2016 , Sydney, Australia, 2016. BibTeX @inproceedings{GrasseliiConf1,
title = {Quantized stochastic volatility},
author = {Grasselli Martino and Callegaro G. and Fiorin L. },
year = {2016},
date = {2016-12-13},
booktitle = {Quantitative Methods in Finance QMF 2016 , Sydney, Australia},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Grasselli M.; Craddock M. Lie symmetry methods for local volatility models inproceedings Dans: Mathematics and Finance: Research in Options, IMPA, Rio de Janeiro, Brazil, 2016. BibTeX @inproceedings{GrasselliConf2,
title = {Lie symmetry methods for local volatility models},
author = {Grasselli M. and Craddock M. },
year = {2016},
date = {2016-11-25},
booktitle = {Mathematics and Finance: Research in Options, IMPA, Rio de Janeiro, Brazil},
keywords = {},
pubstate = {published},
tppubtype = {inproceedings}
}
|
Conférences
|
Moreno M.; Novales A.; Platania, F. Long-term swings and and seasonality in energy markets 5500 - 5599 Conférence 4th Paris Financial Management Conferen, hosted by IPAG Business School., 2016. BibTeX @conference{Platania2016,
title = {Long-term swings and and seasonality in energy markets},
author = {Moreno M. and Novales A. and Platania, F. },
year = {2016},
date = {2016-12-12},
booktitle = {4th Paris Financial Management Conferen, hosted by IPAG Business School.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Tarik Bazgour; Laurent Bodson; Danielle Sougné What style liquidity timing skills do mutual fund managers possess? 5500 - 5599 Conférence The 33rd International Conference of the French Finance Association, HEC-Liège, Belgique, 23-25, mai, 2016. BibTeX @conference{Bazgour2016b,
title = {What style liquidity timing skills do mutual fund managers possess?},
author = {Tarik Bazgour; Laurent Bodson; Danielle Sougné},
year = {2016},
date = {2016-05-23},
organization = {The 33rd International Conference of the French Finance Association, HEC-Liège, Belgique, 23-25, mai,},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Livres
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Sergio Focardi; H. Fallaghoul; F. Fabozzi Fractional Calculus and Fractional Processes with Applications to Financial Economics, Livre John Wiley & Sons,105 pages, 2016. BibTeX @book{FocardiFabozzi,
title = {Fractional Calculus and Fractional Processes with Applications to Financial Economics, },
author = {Sergio Focardi and H. Fallaghoul and F. Fabozzi},
year = {2016},
date = {2016-10-12},
publisher = {John Wiley & Sons,105 pages},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
|
Articles de journaux
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Griselda Deelstra; Martino Grasselli; Christopher van Weverberg The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options Article de journal Dans: Insurance: Mathematics and Economics, 71 , p. 205-219, 2016, ISSN: 0167-6687. Résumé | Liens | BibTeX @article{Deelstra2015b,
title = {The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options},
author = {Griselda Deelstra and Martino Grasselli and Christopher van Weverberg},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2667939
http://dx.doi.org/10.1016/j.insmatheco.2016.09.010},
doi = {http://dx.doi.org/10.1016/j.insmatheco.2016.09.010},
issn = {0167-6687},
year = {2016},
date = {2016-09-28},
journal = {Insurance: Mathematics and Economics},
volume = {71},
pages = {205-219},
institution = {ULB},
abstract = {In this paper we investigate the consequences on the pricing of insurance contingent claims when we relax the typical independence assumption made in the actuarial literature between mortality risk and interest rate risk. Starting from the Gaussian approach of Liu et al. (2014), we consider more general affine models where the mortality and interest rates remain positive and we derive pricing formulas for insurance contracts like Guaranteed Annuity Options (GAOs). In a Wishart affine model, which allows for a non-trivial dependence between the mortality and the interest rates, we go far beyond the results found in the Gaussian case by Liu et al. (2014), where the value of these insurance contracts can be explained only in terms of the initial pairwise linear correlation.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper we investigate the consequences on the pricing of insurance contingent claims when we relax the typical independence assumption made in the actuarial literature between mortality risk and interest rate risk. Starting from the Gaussian approach of Liu et al. (2014), we consider more general affine models where the mortality and interest rates remain positive and we derive pricing formulas for insurance contracts like Guaranteed Annuity Options (GAOs). In a Wishart affine model, which allows for a non-trivial dependence between the mortality and the interest rates, we go far beyond the results found in the Gaussian case by Liu et al. (2014), where the value of these insurance contracts can be explained only in terms of the initial pairwise linear correlation. |
Vivien Brunel Operational risk modelled analytically II: classification invariance Article de journal Dans: Risk Magazine, on line, 2016. BibTeX @article{BrunelRisk2,
title = {Operational risk modelled analytically II: classification invariance},
author = {Vivien Brunel},
year = {2016},
date = {2016-09-15},
journal = {Risk Magazine, on line},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
A. Cissé; Patrice Fontaine Why do companies transfer the trading compartment of their common stocks Article de journal Dans: Research In International Business and Finance, (36), p. 624-640, 2016. BibTeX @article{FontaineCissé,
title = {Why do companies transfer the trading compartment of their common stocks},
author = {A. Cissé and Patrice Fontaine},
year = {2016},
date = {2016-07-12},
journal = {Research In International Business and Finance},
number = {36},
pages = {624-640},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Jonathan Peillex; Loredana Ureche-Rangau Identifying the determinants of the decision to create Socially Responsible funds : An empirical investigation Article de journal Dans: Journal of Business Ethics, 136 (1), p. 101-117, 2016, ISSN: 1573-0697. Résumé | Liens | BibTeX @article{Peillexb,
title = {Identifying the determinants of the decision to create Socially Responsible funds : An empirical investigation},
author = { Jonathan Peillex and Loredana Ureche-Rangau},
editor = {Springer Netherlands},
url = {http://www.iae-aix.com/affi2014/docs/phd/identifying_the_determinants_of_the_decision_to_create_socially_responsible_funds_an_empirical_investigation.pdf},
doi = {10.1007/s10551-014-2507-y},
issn = {1573-0697},
year = {2016},
date = {2016-06-17},
journal = {Journal of Business Ethics},
volume = {136},
number = {1},
pages = {101-117},
abstract = {This paper proposes an empirical assessment of the main factors behind the decision of a corporate sponsor to launch a socially responsible (SR) fund. Our analysis is performed on a database that encompasses 414 SR fund creations by 46 corporate sponsors between 1990 and 2012. We provide evidence that economic and human resources slack, leverage, low media coverage and high extra-financial performance of the corporate sponsor contribute to an increase of the probability to propose SR funds. These results lead us to argue that the introduction of such funds goes beyond the economic objective of enlarging the market share of the corporate sponsor. It may thus be seen as a particular strategy in terms of communication and signaling, due to the specific characteristics of SR funds.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This paper proposes an empirical assessment of the main factors behind the decision of a corporate sponsor to launch a socially responsible (SR) fund. Our analysis is performed on a database that encompasses 414 SR fund creations by 46 corporate sponsors between 1990 and 2012. We provide evidence that economic and human resources slack, leverage, low media coverage and high extra-financial performance of the corporate sponsor contribute to an increase of the probability to propose SR funds. These results lead us to argue that the introduction of such funds goes beyond the economic objective of enlarging the market share of the corporate sponsor. It may thus be seen as a particular strategy in terms of communication and signaling, due to the specific characteristics of SR funds. |
Marie Haikel-Elsabeh; Sébastien Nouet; M. Narayadou How personal finance management influences consumers motivations and behavior regarding online banking services Article de journal Dans: Communications and Strategies - Digiworld Economic Journal, (103), p. 15-34, 2016. BibTeX @article{NouetHaikel,
title = {How personal finance management influences consumers motivations and behavior regarding online banking services},
author = {Marie Haikel-Elsabeh and Sébastien Nouet and M. Narayadou},
year = {2016},
date = {2016-06-15},
journal = {Communications and Strategies - Digiworld Economic Journal},
number = {103},
pages = {15-34},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Robert Engle; Sergio Focardi; Frank Fabozzi Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management Article de journal Dans: Journal of Portfolio Management, 42 (5), p. 94-106, 2016. Résumé | Liens | BibTeX @article{Engle,
title = {Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management},
author = {Robert Engle and Sergio Focardi and Frank Fabozzi},
editor = {Institutional Investors},
doi = {10.3905/jpm.2016.42.5.094},
year = {2016},
date = {2016-06-01},
journal = { Journal of Portfolio Management},
volume = {42},
number = {5},
pages = {94-106},
abstract = {In this article, the authors provide a nontechnical discussion of a number of practical and theoretical issues associated with implementing factor models used to explain or forecast equity returns. The first issue is determining the number of factors (i.e., the number of variables needed to explain or forecast returns). In finite markets such as stock markets, the problem of determining the true number of factors cannot be solved theoretically. Instead, asset managers must be content with approximations using model selection criteria. The authors then discuss the questions of overfitting and dimensionality reduction—both of which can lead to poor out-of-sample performance of investment or trading strategies. Overfitting entails using a model that is too complex for the data available to the modeler; thus, the resulting model fits noise. Dimensionality reduction solves the problem of dimensionality by using approximate models of reduced dimensionality that can be estimated with small samples. An important instance of applying dimensionality reduction techniques is using factor GARCH models to forecast covariance matrices. Finally, the authors discuss problems associated with backtesting. In trying to choose the best-performing model or strategy, a modeler may be tempted to run multiple backtests, thereby creating the risk of using out-of-sample backtesting as a form of in-sample testing. In turn, this leads to overfitting.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this article, the authors provide a nontechnical discussion of a number of practical and theoretical issues associated with implementing factor models used to explain or forecast equity returns. The first issue is determining the number of factors (i.e., the number of variables needed to explain or forecast returns). In finite markets such as stock markets, the problem of determining the true number of factors cannot be solved theoretically. Instead, asset managers must be content with approximations using model selection criteria. The authors then discuss the questions of overfitting and dimensionality reduction—both of which can lead to poor out-of-sample performance of investment or trading strategies. Overfitting entails using a model that is too complex for the data available to the modeler; thus, the resulting model fits noise. Dimensionality reduction solves the problem of dimensionality by using approximate models of reduced dimensionality that can be estimated with small samples. An important instance of applying dimensionality reduction techniques is using factor GARCH models to forecast covariance matrices. Finally, the authors discuss problems associated with backtesting. In trying to choose the best-performing model or strategy, a modeler may be tempted to run multiple backtests, thereby creating the risk of using out-of-sample backtesting as a form of in-sample testing. In turn, this leads to overfitting. |
Lakshithe Wagalath; R. Cont Institutional Investors and the Dependant Structure Of Asset Returns Article de journal Dans: International Journal of Theoritical and Applied Finance, 19 (02), p. 1650010-01 - 1650010-37 , 2016. BibTeX @article{Lakshithe2016,
title = {Institutional Investors and the Dependant Structure Of Asset Returns},
author = {Lakshithe Wagalath and R. Cont},
year = {2016},
date = {2016-05-17},
journal = {International Journal of Theoritical and Applied Finance},
volume = {19},
number = {02},
pages = {1650010-01 - 1650010-37 },
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Amel Sahli Le contrôleur de gestion, prescripteur d'information Article de journal Dans: Revue Finance & Gestion, (342), p. 30-32, 2016. BibTeX @article{Sahli2016,
title = {Le contrôleur de gestion, prescripteur d'information },
author = {Amel Sahli},
year = {2016},
date = {2016-05-11},
journal = {Revue Finance & Gestion},
number = {342},
pages = {30-32},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Vivien Brunel Loan Classification under IFRS9 Article de journal Dans: Risk Magazine, on line, 2016. BibTeX @article{BrunelRisk1,
title = {Loan Classification under IFRS9},
author = {Vivien Brunel},
year = {2016},
date = {2016-05-10},
journal = {Risk Magazine, on line},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Stefano Bosi; Patrice Fontaine; Cuong LeVan Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international asset and good markets Article de journal Dans: Mathematical Social Sciences, 82 , p. 26-36, 2016. Résumé | BibTeX @article{Bosi2016,
title = {Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international asset and good markets},
author = {Stefano Bosi and Patrice Fontaine and Cuong LeVan},
editor = {Elsiever},
year = {2016},
date = {2016-05-01},
journal = {Mathematical Social Sciences},
volume = {82},
pages = {26-36},
abstract = {In this paper, we consider a two-period consumption model with
many financial assets. In the spirit of Hart [5], consumers purchase
financial assets in period 0 and consume in period 1. We differ from Hart
by considering that each agent is a country. We provide conditions for
the existence of an equilibrium in both international financial assets
and goods markets.
First, we introduce a weaker notion of Uncovered Interest (rate) Parity
(UIP) called Weak Uncovered Interest (rate) Parity (WUIP), and we show
its equivalence to the no-arbitrage condition in the inter- national
financial markets.
Second, we introduce the concept of common no arbitrage and we show its
equivalence to the UIP.
These results bridge concepts of no arbitrage in general equilibrium
theory and financial microeconomics, and of interest parity in international
financial macroeconomics. In a multi-country model with many
currencies and only one good, we introduce a country-specific conversion
rate which transforms the returns on assets valued in local currency
into units of physical good. We define also the exchange rates between
currencies of different countries. The UIP is required for the existence
of an equilibrium in both international financial assets and goods
markets and for the existence of the Law of One Price.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
In this paper, we consider a two-period consumption model with
many financial assets. In the spirit of Hart [5], consumers purchase
financial assets in period 0 and consume in period 1. We differ from Hart
by considering that each agent is a country. We provide conditions for
the existence of an equilibrium in both international financial assets
and goods markets.
First, we introduce a weaker notion of Uncovered Interest (rate) Parity
(UIP) called Weak Uncovered Interest (rate) Parity (WUIP), and we show
its equivalence to the no-arbitrage condition in the inter- national
financial markets.
Second, we introduce the concept of common no arbitrage and we show its
equivalence to the UIP.
These results bridge concepts of no arbitrage in general equilibrium
theory and financial microeconomics, and of interest parity in international
financial macroeconomics. In a multi-country model with many
currencies and only one good, we introduce a country-specific conversion
rate which transforms the returns on assets valued in local currency
into units of physical good. We define also the exchange rates between
currencies of different countries. The UIP is required for the existence
of an equilibrium in both international financial assets and goods
markets and for the existence of the Law of One Price. |
Martino Grasselli; Giulio Miglietta A Flexible Spot Multiple-Curve Model Article de journal Dans: Quantitative Finance, 16 (10), p. 1465-1477, 2016, ISSN: 1469-7688. Résumé | Liens | BibTeX @article{Grasselli2015,
title = {A Flexible Spot Multiple-Curve Model},
author = {Martino Grasselli and Giulio Miglietta},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2424242
http://dx.doi.org/10.1080/14697688.2015.1108521},
doi = {10.1080/14697688.2015.1108521},
issn = {1469-7688},
year = {2016},
date = {2016-04-27},
journal = {Quantitative Finance},
volume = {16},
number = {10},
pages = {1465-1477},
abstract = {We propose a model for the instantaneous risk-free spot rate and for the spot LIBOR, driven by a time-homogeneous Markovian process. We introduce deterministic time-shifts in order to match any initial term-structure. By doing so, the model automatically becomes an exogenous term-structure model, in the spirit of Brigo and Mercurio (2001) who proposed this approach in the single curve case. A calibration exercise based on real data illustrates the flexibility of our approach for some typical specifications used in the literature and in the banking industry.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We propose a model for the instantaneous risk-free spot rate and for the spot LIBOR, driven by a time-homogeneous Markovian process. We introduce deterministic time-shifts in order to match any initial term-structure. By doing so, the model automatically becomes an exogenous term-structure model, in the spirit of Brigo and Mercurio (2001) who proposed this approach in the single curve case. A calibration exercise based on real data illustrates the flexibility of our approach for some typical specifications used in the literature and in the banking industry. |
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