L’équipe d’enseignants-chercheurs Finance Group issus de l’EMLV et de l’ESILV.
L’ensemble des travaux des enseignants-chercheurs en finance.
2019
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Articles de journaux
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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. 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 = {2019},
date = {2019-08-08},
journal = {Quarterly Review of Economics and Finance},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
Mohammad Bitar; Jonathan Peillex Performance des banques islamiques vs. banques conventionnelles: quelles exigences en matière de fonds propres réglementaires? Article de journal Dans: Revue Economique, p. 306-349, 2019. Résumé | Liens | BibTeX @article{Peillex0101,
title = {Performance des banques islamiques vs. banques conventionnelles: quelles exigences en matière de fonds propres réglementaires?},
author = {Mohammad Bitar; Jonathan Peillex},
url = {https://www.cairn.info/revue-economique-2019-7-page-306.htm},
year = {2019},
date = {2019-07-07},
journal = {Revue Economique},
pages = {306-349},
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 = {published},
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. |
Imane El Ouadghiri; Jonathan Peillex Public attention to “Islamic terrorism” and stock market returns Article de journal Forthcoming Dans: Journal of Comparative Economics, Forthcoming. Résumé | Liens | BibTeX @article{Peillex2019,
title = {Public attention to “Islamic terrorism” and stock market returns },
author = {Imane El Ouadghiri; Jonathan Peillex},
url = {https://www.sciencedirect.com/science/article/pii/S0147596718302506},
doi = {doi:10.1016/j.jce.2018.07.014},
year = {2019},
date = {2019-01-01},
journal = {Journal of Comparative Economics},
abstract = {Does public attention to Islamic terrorism affect the performance of Islamic and conventional indices? We answer this question by empirically examining the effects of US public attention to Islamic terrorism on returns of US Islamic and conventional indices between 2004 and 2017. US public attention to Islamic terrorism is measured using Google Search Volume, which reflects active public attentiveness, and media coverage, which measures passive attentiveness. We test its effect on the stock returns of Islamic and conventional indices by using difference-in-difference analysis. The results indicate that US public attention to Islamic terrorism negatively affects US Islamic indices, suggesting that investors may make amalgams between terrorism and Islamic finance. These clichés may lead them to sell Sharia-compliant assets when US public attention to Islamic terrorism is high. Taken together, our findings provide new evidence and financial implications for investors and providers of Islamic financial products.},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
Does public attention to Islamic terrorism affect the performance of Islamic and conventional indices? We answer this question by empirically examining the effects of US public attention to Islamic terrorism on returns of US Islamic and conventional indices between 2004 and 2017. US public attention to Islamic terrorism is measured using Google Search Volume, which reflects active public attentiveness, and media coverage, which measures passive attentiveness. We test its effect on the stock returns of Islamic and conventional indices by using difference-in-difference analysis. The results indicate that US public attention to Islamic terrorism negatively affects US Islamic indices, suggesting that investors may make amalgams between terrorism and Islamic finance. These clichés may lead them to sell Sharia-compliant assets when US public attention to Islamic terrorism is high. Taken together, our findings provide new evidence and financial implications for investors and providers of Islamic financial products. |
2018
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Articles de journaux
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Sahli, A.; KHEMIRI, S. Financial crisis and private equity performance in France Article de journal Forthcoming Dans: International Journal of Entrepreneurship and Small Business, Forthcoming. BibTeX @article{Sahli2018,
title = {Financial crisis and private equity performance in France},
author = {Sahli, A. and KHEMIRI, S.},
editor = {International Journal of Entrepreneurship and Small Business},
year = {2018},
date = {2018-09-30},
journal = {International Journal of Entrepreneurship and Small Business},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
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. Liens | 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},
url = {https://doi.org/10.1016/j.ecosys.2017.09.003},
doi = {doi.org/10.1016/j.ecosys.2017.09.003},
year = {2018},
date = {2018-09-10},
journal = {Economic Systems},
volume = {42},
number = {3},
pages = {450-469},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Imane El Ouadghiri; Jonathan Peillex Public attention to “Islamic terrorism” and stock market returns Article de journal Forthcoming Dans: Journal of Comparative Economics, Forthcoming. Liens | BibTeX @article{Ouadghiri0101,
title = {Public attention to “Islamic terrorism” and stock market returns},
author = {Imane El Ouadghiri and Jonathan Peillex},
url = {https://www.sciencedirect.com/science/article/pii/S0147596718302506},
doi = {10.1016/j.jce.2018.07.014},
year = {2018},
date = {2018-07-28},
journal = {Journal of Comparative Economics},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
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. Liens | 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},
url = {https://www.tandfonline.com/doi/abs/10.1080/00036846.2018.1486997},
doi = {10.1080/00036846.2018.1486997},
year = {2018},
date = {2018-07-11},
journal = {Applied Economics},
volume = {50},
number = {51},
pages = {5464-5482},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
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. Résumé | Liens | BibTeX @article{Platania2018c,
title = {Economic and policy uncertainty in climate change mitigation: The London Smart City case scenario},
author = {Gabriela Contreras AND Federico Platania},
doi = {https://doi.org/10.1016/j.techfore.2018.07.018},
year = {2018},
date = {2018-06-15},
journal = {Technological Forecasting & Social Change},
abstract = {Despite the overwhelming consensus within the scientific community concerning the causes and effects of climate change, decision-making processes often do not point out in the same direction. In order to effectively and satisfactorily tackle climate change, a legally and politically binding long-term policy architecture is needed. In practice, however, central governments and international policymakers have been unable to provide a successful policy architecture. Yet, city-level initiatives within the Smart City framework are a promising way to tackle climate change. An example of such a Smart City framework is the London Environment Strategy (LES). In this paper, we propose a zero mean reverting model for greenhouse gas emissions to quantitatively analyze its consistency with the 2050 Zero Carbon objectives. We consider different policy scenarios proposed in the LES and the forward-looking policy uncertainty embedded in different economic sectors, primarily domestic, industrial and commercial and transport. We find that, on average, only transport improves the historical greenhouse gas emissions trend, and most of this reduction comes from Smart Mobility and/or Smart Regulation programs focusing on the environment.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Despite the overwhelming consensus within the scientific community concerning the causes and effects of climate change, decision-making processes often do not point out in the same direction. In order to effectively and satisfactorily tackle climate change, a legally and politically binding long-term policy architecture is needed. In practice, however, central governments and international policymakers have been unable to provide a successful policy architecture. Yet, city-level initiatives within the Smart City framework are a promising way to tackle climate change. An example of such a Smart City framework is the London Environment Strategy (LES). In this paper, we propose a zero mean reverting model for greenhouse gas emissions to quantitatively analyze its consistency with the 2050 Zero Carbon objectives. We consider different policy scenarios proposed in the LES and the forward-looking policy uncertainty embedded in different economic sectors, primarily domestic, industrial and commercial and transport. We find that, on average, only transport improves the historical greenhouse gas emissions trend, and most of this reduction comes from Smart Mobility and/or Smart Regulation programs focusing on the environment. |
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. BibTeX @article{Sabrina2018,
title = {Order of preference of debts under asymmetric information.},
author = {Khemiri Sabrina, Brinette Souad, Benkraiem Ramzi., Miloudi Anthony. },
year = {2018},
date = {2018-06-01},
journal = {Journal of Governance & Regulation},
volume = {7},
number = {2},
pages = {49-56},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
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. Résumé | Liens | BibTeX @article{Tapia2018,
title = {Modelling the shape of the limit order book},
author = {Federico Platania AND Pedro Serrano AND Mikel Tapia},
doi = {10.1080/14697688.2018.1433312},
year = {2018},
date = {2018-02-23},
journal = {Quantitative Finance},
volume = {18},
number = {9},
pages = {1575-1597},
abstract = {This article develops a parsimonious way to use the shape of the limit order book to produce an estimate of the asset price. The posited model captures and describes the evolution of the distribution of limit orders on the bid and ask sides of the LOB during the trading session and provides estimates of the execution asset price over time. The performance of the model is evaluated against some existing standards from the market microstructure literature during the trading session. Empirical evidence on listed companies confirm a strong contribution of our methodology to the innovation in asset prices, according to the information share coefficients. We also document a significant improvement relative to the Hasbrouck [J. Finance, 1991, 46, 179–207] model when our model estimates are included as regressors.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This article develops a parsimonious way to use the shape of the limit order book to produce an estimate of the asset price. The posited model captures and describes the evolution of the distribution of limit orders on the bid and ask sides of the LOB during the trading session and provides estimates of the execution asset price over time. The performance of the model is evaluated against some existing standards from the market microstructure literature during the trading session. Empirical evidence on listed companies confirm a strong contribution of our methodology to the innovation in asset prices, according to the information share coefficients. We also document a significant improvement relative to the Hasbrouck [J. Finance, 1991, 46, 179–207] model when our model estimates are included as regressors. |
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. Résumé | BibTeX @article{Platania2018,
title = {A term structure model under cyclical fluctuations in interest rates},
author = {Manuel Moreno AND Alfonso Novales AND Federico Platania},
year = {2018},
date = {2018-02-07},
journal = {Economic Modelling},
volume = {72},
pages = {140-150},
abstract = {We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models. |
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. Résumé | Liens | BibTeX @article{Platania2018b,
title = {A term structure model under cyclical fluctuations in interest rates},
author = {Manuel Moreno AND Alfonso Novales AND Federico Platania},
doi = { https://doi.org/10.1016/j.econmod.2018.01.015},
year = {2018},
date = {2018-02-07},
journal = {Economic Modelling},
volume = {72},
pages = {140-150},
abstract = {We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the relationship between short-term and long-term rates. Our model can reproduce and fit a variety of TSIR shapes by capturing cyclical fluctuations of interest rates, different monetary policy reactions as witnessed pre- and post-crisis as well as the effect of the business cycle or exogenous shocks. Our modelling approach also provides a characterization of long-term fluctuations in the mean level of interest rates unveiling the effects of monetary policy interventions in interest rates. Furthermore, using daily US data, we compare the empirical ability of our model to both fit and forecast the TSIR under different economic scenarios. We show that our model improves pricing and risk management by fitting and predicting interest rates more accurately and precisely than do existing TSIR models. |
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. 51-64, 2018. Résumé | Liens | BibTeX @article{Desbrières2017,
title = {L'investissement conforme à la Charia est-il socialement responsable?},
author = {Philippe Desbrières and Elias Erragragui and Jonathan Peillex},
url = {http://www.managementinternational.ca/catalog/volumes/l-investissement-conforme-a-la-charia-est-il-socialement-responsable.html},
year = {2018},
date = {2018-01-06},
journal = {Management International},
volume = {22},
number = {3},
pages = {51-64},
abstract = {This study proposes a new approach on the suitability of including the SCI in the sphere of SRI. We compare these two investment styles both qualitatively and quantitatively in order to understand whether and how the SCI differs from the SRI. The results show that SCI financially outperforms SRI and conventional investment during economic downturn and it is characterized by social under-performance. We conclude that even if SCI may be considered as a particular concept of SRI, the non-inclusion of ESG considerations may lead the academic and professional communities to deal with SCI as a full investment style.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
This study proposes a new approach on the suitability of including the SCI in the sphere of SRI. We compare these two investment styles both qualitatively and quantitatively in order to understand whether and how the SCI differs from the SRI. The results show that SCI financially outperforms SRI and conventional investment during economic downturn and it is characterized by social under-performance. We conclude that even if SCI may be considered as a particular concept of SRI, the non-inclusion of ESG considerations may lead the academic and professional communities to deal with SCI as a full investment style. |
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 @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},
volume = {72},
pages = {353-362},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
|
Conférences
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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. BibTeX @conference{BRINETTE2018,
title = {L’effet du système de gouvernance sur la stratégie de capital risque industriel des groupes français},
author = {S. BRINETTE, S. KHEMIRI, R. BENKRAIEM et A. MILOUDI},
year = {2018},
date = {2018-06-04},
publisher = {17ème Conférence Internationale de Gouvernance,},
address = { le 4 et 5 Juin 2018, Nice.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
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. BibTeX @conference{ELOUAER-MRIZAK2018,
title = {L'impact du capital social de l'entrepreneur sur la réussite de sa campagne de financement participatif.},
author = {ELOUAER-MRIZAK, S., KHEMIRI, S., et SIYAHHAN, B., },
year = {2018},
date = {2018-05-16},
publisher = {7èmes Journées Georges Doriot - Entrepreneuriat et Société, },
address = {16 et 17 mai 2018, Montréal.},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
2017
|
Articles de journaux
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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. BibTeX @article{khemiri2017b,
title = {Identifying the determinants of corporate venture capital strategy: evidence from French firms},
author = {Souad Brinette and Sabrina Khemiri},
year = {2017},
date = {2017-12-30},
journal = {International Journal of entrepreneurship and Small business},
keywords = {},
pubstate = {forthcoming},
tppubtype = {article}
}
|
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}
}
|
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}
}
|
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}
}
|
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}
}
|
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
|
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}
}
|
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}
}
|
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}
}
|
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}
}
|
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}
}
|
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}
}
|
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}
}
|
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}
}
|
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}
}
|
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}
}
|
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
|
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
|
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
|
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}
}
|
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
|
inproceedings
|
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}
}
|
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 @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
|
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}
}
|
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