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

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

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

Jamil Jaballah; Jonathan Peillex; Laurent Weill

Is Being Sharia Compliant Worth It? Article de journal

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

Liens | BibTeX

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

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

2017

Articles de journaux

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

P. Fontaine; S. Jimenez; M. Seasholes

Common Factors, Information, and Holdings Dispersion Article de journal Forthcoming

Dans: Review of Finance, Forthcoming.

BibTeX

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

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

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

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

Martino Grasselli

The 4/2 stochastic volatility model Article de journal

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

Résumé | Liens | BibTeX

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

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

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

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.

BibTeX

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

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

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

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

Laurence Carassus

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

Dans: AMAMEF, Amsterdam, juin 2017, 2017.

BibTeX

Martino Grasselli

Organizer of a mini-symposium on Quantization inproceedings

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

BibTeX

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

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

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

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

Livres

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

Equity Valuation: Science, Art, or Craft? Livre

CFA Institute, 2017.

BibTeX

Sergio Focardi

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

Routledge, 208 p., 2017.

BibTeX

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.

BibTeX

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.

BibTeX

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

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

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

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

2016

inproceedings

Grasselli Martino; Callegaro G.; Fiorin L.

Quantized stochastic volatility inproceedings

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

BibTeX

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

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

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

Livres

Sergio Focardi; H. Fallaghoul; F. Fabozzi

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

John Wiley & Sons,105 pages, 2016.

BibTeX

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.

Résumé | Liens | BibTeX

Vivien Brunel

Operational risk modelled analytically II: classification invariance Article de journal

Dans: Risk Magazine, on line, 2016.

BibTeX

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

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

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

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

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

Amel Sahli

Le contrôleur de gestion, prescripteur d'information Article de journal

Dans: Revue Finance & Gestion, (342), p. 30-32, 2016.

BibTeX

Vivien Brunel

Loan Classification under IFRS9 Article de journal

Dans: Risk Magazine, on line, 2016.

BibTeX

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

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

242 Entrées « 1 de 5 »

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