Finance Group

Recherche académique en finance


Responsable : Martino Grasselli. Le Finance Group du Laboratoire De Vinci Research Center a pour objectif de développer une recherche de qualité en économie et en finance. Il est constitué d’enseignants-chercheurs de l’ESILV et de l’EMLV impliqués dans des activités de recherche à travers des publications dans des revues internationales avec comités de lecture.  Le département organise également des conférences et des ateliers de recherche en collaboration avec le « Club De Vinci Finance », l’association de finance des étudiants du pôle Léonard de Vinci.




Axes de recherche

Les principaux domaines d’activité du Finance Group sont :

la finance quantitative

Valorisation de produits dérivés, économétrie financière, problème de sélection de portefeuille, gestion d’actifs

la finance d’entreprise

Finance d’entreprise du point de vue théorique et pratique, gestion financière, fusion et acquisition, stratégie financière

la gestion et la régulation des institutions financières

Banques, compagnies d’assurance, intermédiation non-bancaire, finance juridique





Enseignants-chercheurs

L’équipe d’enseignants-chercheurs Finance Group issus de l’EMLV et de l’ESILV.




Publications

L’ensemble des travaux des enseignants-chercheurs en finance.

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2018

Articles de journaux

Elias Erragragui; Kabir Hassan; Jonathan Peillex; Faisal Khan

Does ethics improve stock market resilience in times of instability? Article de journal

Dans: Economic Systems, 42 (3), p. 450-469, 2018.

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Imane El Ouadghiri; Jonathan Peillex

Public attention to “Islamic terrorism” and stock market returns Article de journal Forthcoming

Dans: Journal of Comparative Economics, Forthcoming.

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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

Dans: Applied Economics, 50 (51), p. 5464-5482, 2018.

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Gabriela Contreras AND Federico Platania

Economic and policy uncertainty in climate change mitigation: The London Smart City case scenario Article de journal

Dans: Technological Forecasting & Social Change, 2018.

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Khemiri Sabrina, Brinette Souad, Benkraiem Ramzi., Miloudi Anthony.

Order of preference of debts under asymmetric information. Article de journal

Dans: Journal of Governance & Regulation, 7 (2), p. 49-56, 2018.

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Federico Platania AND Pedro Serrano AND Mikel Tapia

Modelling the shape of the limit order book Article de journal

Dans: Quantitative Finance, 18 (9), p. 1575-1597, 2018.

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Manuel Moreno AND Alfonso Novales AND Federico Platania

A term structure model under cyclical fluctuations in interest rates Article de journal

Dans: Economic Modelling, 72 , p. 140-150, 2018.

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Manuel Moreno AND Alfonso Novales AND Federico Platania

A term structure model under cyclical fluctuations in interest rates Article de journal

Dans: Economic Modelling, 72 , p. 140-150, 2018.

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Jamil Jaballah; Jonathan Peillex; Laurent Weill

Is Being Sharia Compliant Worth It? Article de journal

Dans: Economic Modelling, 72 , p. 353-362, 2018.

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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.

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Conférences

S. BRINETTE, S. KHEMIRI, R. BENKRAIEM et A. MILOUDI

L’effet du système de gouvernance sur la stratégie de capital risque industriel des groupes français 5500 - 5599 Conférence

17ème Conférence Internationale de Gouvernance,, le 4 et 5 Juin 2018, Nice., 2018.

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ELOUAER-MRIZAK, S., KHEMIRI, S., et SIYAHHAN, B.,

L'impact du capital social de l'entrepreneur sur la réussite de sa campagne de financement participatif. 5500 - 5599 Conférence

7èmes Journées Georges Doriot - Entrepreneuriat et Société, , 16 et 17 mai 2018, Montréal., 2018.

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2017

Articles de journaux

Souad Brinette; Sabrina 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.

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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.

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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.

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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.

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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.

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Martino Grasselli

The 4/2 stochastic volatility model Article de journal

Dans: Mathematical Finance, 27 (4), p. 1013-1034, 2017.

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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.

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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.

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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.

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inproceedings

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.

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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.

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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.

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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.

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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.

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Laurence Carassus

Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time inproceedings

Dans: AMAMEF, Amsterdam, juin 2017, 2017.

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Martino Grasselli

Organizer of a mini-symposium on Quantization inproceedings

Dans: 8th General AMaMeF Conference, Amsterdam, June 19-23, 2017.

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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.

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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.

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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.

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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.

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Livres

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

Equity Valuation: Science, Art, or Craft? Livre

CFA Institute, 2017.

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Sergio Focardi

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

Routledge, 208 p., 2017.

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Book Chapters

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.

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Conférences

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.

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P. Anagnostidis; P. Fontaine

Information, learning and High-Frequency Trading in electronic call auction markets 5500 - 5599 Conférence

AFFI May 2017, Valence, France, 2017.

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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.

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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.

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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.

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2016

inproceedings

Grasselli Martino; Callegaro G.; Fiorin L.

Quantized stochastic volatility inproceedings

Dans: Quantitative Methods in Finance QMF 2016 , Sydney, Australia, 2016.

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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.

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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.

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Livres

Sergio Focardi; H. Fallaghoul; F. Fabozzi

Fractional Calculus and Fractional Processes with Applications to Financial Economics, Livre

John Wiley & Sons,105 pages, 2016.

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Articles de journaux

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.

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Vivien Brunel

Operational risk modelled analytically II: classification invariance Article de journal

Dans: Risk Magazine, on line, 2016.

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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.

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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.

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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.

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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.

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