Les principaux domaines d’activité du Finance Group sont :
Finance quantitative et finance mathématique
Modélisation des taux d’intérêt, volatilité stochastique ou rugueuse, théorie de l’absence d’opportunités d’arbitrage et du pricing d’instruments dérivés, maximisation de l’utilité attendue standard et non standard, risque opérationnel et de crédit, gestion du risque et incertitude de modèles.
Fintech
Vaste éventail de technologies allant de la blockchain aux cryptocurrences.
Économie financière
Aspects financiers des changements qualitatifs nécessaires pour assurer une croissance économique durable ainsi que de l’investissement responsable, ces thématiques ayant acquises une place importante dans le paysage financier actuel.
Finance d’entreprise
capital-risque et structure de la dette des entreprises, analyse des performances des investissements dans des dettes risquées, fusions et acquisitions et stratégie d’entreprise.
L’équipe d’enseignants-chercheurs Finance Group issus de l’EMLV et de l’ESILV.
L’ensemble des travaux des enseignants-chercheurs en finance.
Edward I. Altman; Robert Benhenni
The Anatomy of Distressed Debt Markets Article de journal
Dans: Annual Review Of Financial Economics, vol. 11, p. 21-37, 2019.
@article{altman_1123,
title = {The Anatomy of Distressed Debt Markets},
author = {Edward I. Altman and Robert Benhenni},
url = {https://www.annualreviews.org/doi/10.1146/annurev-financial-110118-123019},
year = {2019},
date = {2019-12-01},
journal = {Annual Review Of Financial Economics},
volume = {11},
pages = {21-37},
abstract = {x},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Gorgia Callegaro; Lucio Fiorin; Martino Grasselli
Quantization Meets Fourier: a New Technology for Pricing Options Article de journal
Dans: Annals Of Operations Research, vol. 282, p. 59-86, 2019.
@article{callegaro_550,
title = {Quantization Meets Fourier: a New Technology for Pricing Options},
author = {Gorgia Callegaro and Lucio Fiorin and Martino Grasselli},
url = {https://link.springer.com/article/10.1007%2Fs10479-018-3048-z},
year = {2019},
date = {2019-11-01},
journal = {Annals Of Operations Research},
volume = {282},
pages = {59-86},
abstract = {In this paper we introduce a novel pricing methodology for a broad class of models for which the characteristic function of the log-asset price can be efficiently computed. The method is based on a new quantization procedure, crucially exploiting for the first time the Fourier transform of the asset process, which fully characterizes the distribution of the log-asset. As opposed to previous quantizations based on Euler (or more sophisticated) discretization schemes, our method reveals to be fast and accurate, to the point that it is possible to calibrate the models on real data. Moreover, our approach allows to price options in multi factor stochastic volatility models including jumps. As a motivating example, we calibrate a Tempered Stable model on market data. This represents the first application of quantization to a pure jump process.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Franck Fabozzi; Sergio Focardi; Davide Mazza
Modeling Local Trends with Regime Shifting Models with Time-Varying Probabilities Article de journal
Dans: International Review Of Financial Analysis, vol. 66, p. 101368, 2019.
@article{fabozzi_917,
title = {Modeling Local Trends with Regime Shifting Models with Time-Varying Probabilities},
author = {Franck Fabozzi and Sergio Focardi and Davide Mazza},
url = {https://www.sciencedirect.com/science/article/pii/S105752191830752X},
year = {2019},
date = {2019-11-01},
journal = {International Review Of Financial Analysis},
volume = {66},
pages = {101368},
abstract = {In this paper we show that persistence and switching of trends are phenomena that appear in most long-lived stock return series. We model stock returns using a family of models based on hidden Markov models with duration-dependent transition probabilities. Trends are correlated so that aggregates such as indexes exhibit the same persistence and switching behavior as single stocks themselves. Hidden Markov models can thus explain medium-term momentum.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Laurence Carassus; Jan Obloj; Johannes Wiesel
The robust superreplication problem: a dynamic approach Article de journal
Dans: Siam Journal On Financial Mathematics, vol. 10, no. 4, p. 907-941, 2019.
@article{carassus_1145,
title = {The robust superreplication problem: a dynamic approach},
author = {Laurence Carassus and Jan Obloj and Johannes Wiesel},
url = {https://epubs.siam.org/doi/10.1137/18M1235934},
year = {2019},
date = {2019-11-01},
journal = {Siam Journal On Financial Mathematics},
volume = {10},
number = {4},
pages = {907-941},
abstract = {In the frictionless discrete time financial market of Bouchard and Nutz [Ann. Appl. Probab., 25 (2015), pp. 823--859] we consider a trader who is required to hedge $xi$ in a risk-conservative way relative to a family of probability measures ${cal P}$. We first describe the evolution of $pi_t(xi)$---the superhedging price at time $t$ of the liability $xi$ at maturity $T$---via a dynamic programming principle, show that $pi_t(xi)$ can be seen as a concave envelope of $pi_{t+1}(xi)$ evaluated at today's prices, and prove its dual characterization. Under suitable assumptions, we show that the robust superreplication price is equal to the classical $P$-superhedging price for an extreme prior $Pin {cal P}$. Then we consider an optimal investment problem for the trader who is rolling over her robust superhedge and phrase this as a robust maximization problem, where the expected utility of intertemporal consumption is optimized subject to a robust superhedging constraint. This utility maximization is carried out under a subset ${cal P}^u$ of ${cal P}$ representing the trader's subjective views on market dynamics. Under suitable assumptions on the trader's utility functions, we show that optimal investment and consumption strategies exist and further specify when, and in what sense, these may be unique.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Aymen Ajina; Faten Lakhal; Sabrine Ayed
Does Corporate Social Responsibility Reduce Earnings Management? The Moderating Role of Corporate Governance and Ownership Article de journal
Dans: Management International, vol. 23, no. 2, p. 45-55, 2019.
@article{ajina_1035,
title = {Does Corporate Social Responsibility Reduce Earnings Management? The Moderating Role of Corporate Governance and Ownership},
author = {Aymen Ajina and Faten Lakhal and Sabrine Ayed},
url = {https://id.erudit.org/iderudit/1060030ar CopiedAn error has oc},
year = {2019},
date = {2019-09-01},
journal = {Management International},
volume = {23},
number = {2},
pages = {45-55},
abstract = {The purpose of this paper is to investigate the relationship between corporate social responsibility and earnings management and the moderating effect of corporate governance and ownership structure on this relationship. Using panel data for a sample of French listed companies between 2010 and 2013, we find that CSR engagementconstrain earnings management practices suggesting that managers would comply with the ethical requirements and satisfy stakeholders' interests. The results also show that the effect of CSR on earnings management is particularly stronger in more independent boards and with high institutional ownership structure. These corporate governance devices help mitigating managerial opportunistic behavior.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Olivier Guéant; Jiang Pu
Mid-price estimation for European corporate bonds: a particle filtering approach Article de journal
Dans: Market Microstructure and Liquidity, vol. 4, no. no 01n02, p. 1950005, 2019.
@article{gueant_1617,
title = {Mid-price estimation for European corporate bonds: a particle filtering approach},
author = {Olivier Guéant and Jiang Pu},
url = {https://www.worldscientific.com/doi/abs/10.1142/S2382626619500059},
year = {2019},
date = {2019-08-01},
journal = {Market Microstructure and Liquidity},
volume = {4},
number = {no 01n02},
pages = {1950005},
abstract = {In most illiquid markets, there is no obvious proxy for the market price of an asset. The European corporate bond market is an archetypal example of such an illiquid market where mid-prices can only be estimated with a statistical model. In this OTC market, dealers/market makers only have access, indeed, to partial information about the market. In real time, they know the price associated with their trades on the dealer-to-dealer (D2D) and dealer-to-client (D2C) markets, they know the result of the requests for quotes (RFQ) they answered, and they have access to composite prices (e.g., Bloomberg CBBT). This paper presents a Bayesian method for estimating the mid-price of corporate bonds by using the real-time information available to a dealer. This method relies on recent ideas coming from the particle filtering/sequential Monte Carlo literature.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Matthieu Garcin
Hurst Exponents and Delampertized Fractional Brownian Motions Article de journal
Dans: International Journal of Theoretical and Applied Finance, vol. 22, no. 5, p. 1950024, 2019.
@article{garcin_945,
title = {Hurst Exponents and Delampertized Fractional Brownian Motions},
author = {Matthieu Garcin},
url = {https://www.worldscientific.com/doi/abs/10.1142/S0219024919500249},
year = {2019},
date = {2019-07-31},
journal = {International Journal of Theoretical and Applied Finance},
volume = {22},
number = {5},
pages = {1950024},
abstract = {The inverse Lamperti transform of a fractional Brownian motion (fBm) is a stationary process. We determine the empirical Hurst exponent of such a composite process with the help of a regression of the log absolute moments of its increments, at various scales, on the corresponding log scales. This perceived Hurst exponent underestimates the Hurst exponent of the underlying fBm. We thus encounter some time series having a perceived Hurst exponent lower than 1/2, but an underlying Hurst exponent higher than 1/2. This paves the way for short- and medium-term forecasting. Indeed, in such series, mean reversion predominates at high scales, whereas persistence is overriding at lower scales. We propose a way to characterize the Hurst horizon, namely a limit scale between these opposite behaviors. We show that the delampertized fBm, which mixes persistence and mean reversion, is relevant for financial time series, in particular for high-frequency foreign exchange rates. In our sample, the empirical Hurst horizon is always above 1h and 23min.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Alexis Bismuth; Olivier Guéant; Jiang Pu
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty Article de journal
Dans: Mathematics And Financial Economics, vol. 13, no. 4, p. 661-719, 2019.
@article{bismuth_1618,
title = {Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty},
author = {Alexis Bismuth and Olivier Guéant and Jiang Pu},
url = {https://link.springer.com/article/10.1007/s11579-019-00241-1},
year = {2019},
date = {2019-04-01},
journal = {Mathematics And Financial Economics},
volume = {13},
number = {4},
pages = {661-719},
abstract = {This paper presents several models addressing optimal portfolio choice, optimal portfolio liquidation, and optimal portfolio transition issues, in which the expected returns of risky assets are unknown. Our approach is based on a coupling between Bayesian learning and dynamic programming techniques that leads to partial differential equations. It enables to recover the well-known results of Karatzas and Zhao in a framework à la Merton, but also to deal with cases where martingale methods are no longer available. In particular, we address optimal portfolio choice, portfolio liquidation, and portfolio transition problems in a framework à la Almgren-Chriss, and we build therefore a model in which the agent takes into account in his decision process both the liquidity of assets and the uncertainty with respect to their expected return.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Vivien Brunel
From the Fermi-Dirac distribution to PD curves Article de journal
Dans: Journal of Risk Finance, vol. 20, no. 2, p. 138-154, 2019.
@article{brunel_1136,
title = {From the Fermi-Dirac distribution to PD curves},
author = {Vivien Brunel},
url = {https://www.emerald.com/insight/content/doi/10.1108/JRF-01-2018-0009/full/html},
year = {2019},
date = {2019-03-18},
journal = {Journal of Risk Finance},
volume = {20},
number = {2},
pages = {138-154},
abstract = {In machine learning applications, and in credit risk modeling in particular, model performance is usually measured by using cumulative accuracy profile (CAP) and receiving operating characteristic curves. The purpose of this paper is to use the statistics of the CAP curve to provide a new method for credit PD curves calibration that are not based on arbitrary choices as the ones that are used in the industry.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Griselda Deelstra; Martino Grasselli; Christopher Van Weverberg
Explosion time for some Laplace transforms of the Wishart process Article de journal
Dans: Stochastic Models, vol. 35, no. 1, p. 89-104, 2019.
@article{deelstra_918,
title = {Explosion time for some Laplace transforms of the Wishart process},
author = {Griselda Deelstra and Martino Grasselli and Christopher Van Weverberg},
url = {https://www.tandfonline.com/doi/full/10.1080/15326349.2019.1578237},
year = {2019},
date = {2019-03-01},
journal = {Stochastic Models},
volume = {35},
number = {1},
pages = {89-104},
abstract = {In this article, we focus upon a family of matrix valued stochastic processes and study the problem of determining the smallest time such that their Laplace transforms become infinite. In particular, we concentrate upon the class of Wishart processes, which have proved to be very useful in different applications by their ability in describing non-trivial dependence. Thanks to this remarkable property we are able to explain the behavior of the explosion times for the Laplace transforms of the Wishart process and its time integral in terms of the relative importance of the involved factors and their correlations.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Karolina Kramari?; Matej ?apina; Matthieu Garcin; Kre?imir Milas; Marko Piri?; Dario Brdari?; Gordana Luki?; Vesna Milas; Silvija Pu?elji?
Heart rate asymmetry as a new marker for neonatal stress Article de journal
Dans: Biomedical Signal Processing And Control, vol. 47, p. 219-223, 2019.
@article{kramaric_1071,
title = {Heart rate asymmetry as a new marker for neonatal stress},
author = {Karolina Kramari? and Matej ?apina and Matthieu Garcin and Kre?imir Milas and Marko Piri? and Dario Brdari? and Gordana Luki? and Vesna Milas and Silvija Pu?elji?},
url = {https://www.sciencedirect.com/science/article/pii/S1746809418302258},
year = {2019},
date = {2019-01-01},
journal = {Biomedical Signal Processing And Control},
volume = {47},
pages = {219-223},
abstract = {The autocorrelation of the heart rate variability is presented by various methods and models, but Poincaré plots remain valuable analytic tools. Heart rate asymmetry analysis (HRA) is used for the quantification of unevenly distributed points above and below the line of identity. The aim of this work is to implement HRA analysis in newborns, to use it as a marker for acute stress. Forty healthy term newborn infants were included in the study. The protocol included two baseline phases, and two stress phases (heel stimulation and heel stick blood sampling), during which the heart rate was measured. Additionally, to the standard HRA indices, a new index (SKG) related to the first differences of the RR interval time series is introduced. A ROC curve analysis was applied to test the diagnostic properties of the asymmetry indices. With AUC significantly different from 0.5, the results show that HRA indices may be used as clinical markers. With higher AUC values (0.906 and 0.785), accuracy (87.5% and 81.3%) and sensitivity (87.5% and 81.3%), the SKG index outperformed the traditional indices. This novel application of HRA shows potential benefit in stress assessment of newborns, and in nonverbal patients in general.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Imen Zorgati; M. Zaabi; Faten Lakhal
Financial contagion in the subprime crisis context: A copula approach Article de journal
Dans: North American Journal Of Economics And Finance, vol. 47, p. 269-282, 2019.
@article{zorgati_1090,
title = {Financial contagion in the subprime crisis context: A copula approach},
author = {Imen Zorgati and M. Zaabi and Faten Lakhal},
url = {https://www.sciencedirect.com/science/article/pii/S1062940818302389},
year = {2019},
date = {2019-01-01},
journal = {North American Journal Of Economics And Finance},
volume = {47},
pages = {269-282},
abstract = {The purpose of this paper is to shed light on the effect of family ownership on corporate tax avoidance. It also investigates whether audit quality affects tax avoidance practices by family firms},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Michele Leonardo Bianchi; Stoyan V Stoyanov; Gian Luca Tassinari; Franck Fabozzi; Sergio Focardi
Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management Ouvrage
volume 7, World Scientific, 2019, ISBN: 978-981-3274-91-4.
@book{bianchi_810,
title = {Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management},
author = {Michele Leonardo Bianchi and Stoyan V Stoyanov and Gian Luca Tassinari and Franck Fabozzi and Sergio Focardi},
url = {https://www.worldscientific.com/worldscibooks/10.1142/11118},
issn = {978-981-3274-91-4},
year = {2019},
date = {2019-01-01},
volume = {volume 7},
pages = {600},
publisher = {World Scientific},
edition = {volume 7},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
Martino Grasselli
Is Volatility Rough? Conférence
Quantitative Methods in Finance 2019 Conference, Sydney, Australia, 2019.
@conference{grasselli_1211,
title = {Is Volatility Rough?},
author = {Martino Grasselli},
url = {https://www.uts.edu.au/research-and-teaching/our-research/quantitative-finance-research/events/qmf-2019},
year = {2019},
date = {2019-12-01},
booktitle = {Quantitative Methods in Finance 2019 Conference},
address = {Sydney, Australia},
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Matthieu Garcin
Selection and estimation of fractional and multifractional models Conférence
Computational and financial econometrics, London, UK, 2019.
@conference{garcin_1375,
title = {Selection and estimation of fractional and multifractional models},
author = {Matthieu Garcin},
year = {2019},
date = {2019-12-01},
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address = {London, UK},
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Romain Blanchard; Laurence Carassus
No-arbitrage with multiple-priors in discrete time Conférence
Séminaire de Finance Londonien, Londres, UK, 2019.
@conference{blanchard_1141,
title = {No-arbitrage with multiple-priors in discrete time},
author = {Romain Blanchard and Laurence Carassus},
url = {htpps:},
year = {2019},
date = {2019-11-01},
booktitle = {Séminaire de Finance Londonien},
address = {Londres, UK},
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Martino Grasselli
Functional and recursive quantization for a class of non markovian processes Conférence
Research in Options 2019, Rio de Janeiro, Brazil, 2019.
@conference{grasselli_1210,
title = {Functional and recursive quantization for a class of non markovian processes},
author = {Martino Grasselli},
url = {https://impa.br/en_US/eventos-do-impa/eventos-2019/research-in-options-2019/speakers/},
year = {2019},
date = {2019-11-01},
booktitle = {Research in Options 2019},
address = {Rio de Janeiro, Brazil},
keywords = {},
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Miklos Rásonyi; Laurence Carassus
Pricing for APT Conférence
Stochastic Analysis for Handling Risks in Finance and Insurance CIRM, Marseille, France, 2019.
@conference{rasonyi_1144,
title = {Pricing for APT},
author = {Miklos Rásonyi and Laurence Carassus},
url = {https://library.cirm-math.fr/Record.htm?idlist=1&record=19285351124910035339},
year = {2019},
date = {2019-10-01},
booktitle = {Stochastic Analysis for Handling Risks in Finance and Insurance CIRM},
address = {Marseille, France},
keywords = {},
pubstate = {published},
tppubtype = {conference}
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Tarik Bazgour; Federico Platania
A Defaultable Bond Model with Cyclical Fluctuations in the Spread Process Conférence
EFiC 2019 Conference in Banking and Corporate Finance, Colchester, UK, 2019.
@conference{bazgour_1015,
title = {A Defaultable Bond Model with Cyclical Fluctuations in the Spread Process},
author = {Tarik Bazgour and Federico Platania},
url = {https://www.essex.ac.uk/events/2019/07/04/efic-2019-conference-in-banking-and-corporate-finance},
year = {2019},
date = {2019-07-01},
booktitle = {EFiC 2019 Conference in Banking and Corporate Finance},
address = {Colchester, UK},
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Tarik Bazgour; Federico Platania
A Defaultable Bond Model with Cyclical Fluctuations in the Spread Process Conférence
10th International Research Meeting in Business and Management, Nice, France, 2019.
@conference{bazgour_1016,
title = {A Defaultable Bond Model with Cyclical Fluctuations in the Spread Process},
author = {Tarik Bazgour and Federico Platania},
url = {https://ipag-irm.sciencesconf.org/data/IRMBAM2019_Booklet_FINAL.pdf},
year = {2019},
date = {2019-07-01},
booktitle = {10th International Research Meeting in Business and Management},
address = {Nice, France},
keywords = {},
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Matthieu Garcin
Selfsimilarity and stationarity in financial time series: estimating Hurst exponents and making predictions Conférence
9th General AMaMeF Conference, Paris, France, 2019.
@conference{garcin_954,
title = {Selfsimilarity and stationarity in financial time series: estimating Hurst exponents and making predictions},
author = {Matthieu Garcin},
url = {https://9amamef.sciencesconf.org/resource/page/id/7},
year = {2019},
date = {2019-06-01},
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Laurence Carassus; Romain Blanchard
No-arbitrage with multiple-priors in discrete time Conférence
9th General AMaMeF Conference, Paris, France, 2019.
@conference{carassus_959,
title = {No-arbitrage with multiple-priors in discrete time},
author = {Laurence Carassus and Romain Blanchard},
url = {https://9amamef.sciencesconf.org/resource/page/id/10},
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date = {2019-06-01},
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Sergio Focardi; Gianna Figà -Talamanca; Marco Patacca
Theory of money and theory of cryptocurrencies Conférence
30th European conference on operational research (EURO2019), Dublin, Ireland, 2019.
@conference{focardi_1006,
title = {Theory of money and theory of cryptocurrencies},
author = {Sergio Focardi and Gianna Figà -Talamanca and Marco Patacca},
year = {2019},
date = {2019-06-01},
booktitle = {30th European conference on operational research (EURO2019)},
address = {Dublin, Ireland},
keywords = {},
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Marco Patacca; Gianna Figà -Talamanca; Sergio Focardi
Regime switching analysis of cryptocurrencies Conférence
Cryptocurrency Research Conference 2019, Southampton, UK, 2019.
@conference{patacca_1008,
title = {Regime switching analysis of cryptocurrencies},
author = {Marco Patacca and Gianna Figà -Talamanca and Sergio Focardi},
url = {https://www.southampton.ac.uk/business-school/news/events/2019/06/15-cryptocurrency-research-conference.page},
year = {2019},
date = {2019-06-01},
booktitle = {Cryptocurrency Research Conference 2019},
address = {Southampton, UK},
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François Belot; Timothée Waxin
CEO-CFO Educational Ties and Mergers and Acquisitions Conférence
36e Conférence internationale de l'Association française de finance, Québec City, Canada, 2019.
@conference{belot_1281,
title = {CEO-CFO Educational Ties and Mergers and Acquisitions},
author = {François Belot and Timothée Waxin},
url = {https://www4.fsa.ulaval.ca/en/evenements/36th-international-conference-of-the-french-finance-association/},
year = {2019},
date = {2019-06-01},
booktitle = {36e Conférence internationale de l'Association française de finance},
address = {Québec City, Canada},
keywords = {},
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tppubtype = {conference}
}
Matthieu Garcin
Estimation d'exposants de Hurst dans un cadre stationaire Conférence
51è Journées de Statistique, Nancy, France, 2019.
@conference{garcin_1374,
title = {Estimation d'exposants de Hurst dans un cadre stationaire},
author = {Matthieu Garcin},
year = {2019},
date = {2019-06-01},
booktitle = {51è Journées de Statistique},
address = {Nancy, France},
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Laurence Carassus; Julien Baptiste; Emmanuel Lépinette
Pricing without martingale measure Conférence
SMAI 9ieme Biennale des Mathématiques Appliquées, Lorient, France, 2019.
@conference{carassus_1377,
title = {Pricing without martingale measure},
author = {Laurence Carassus and Julien Baptiste and Emmanuel Lépinette},
url = {http://smai.emath.fr/smai2019/oucest.php},
year = {2019},
date = {2019-05-01},
booktitle = {SMAI 9ieme Biennale des Mathématiques Appliquées},
address = {Lorient, France},
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Julien Baptiste; Laurence Carassus; Emmanuel Lépinette
Pricing without martingale measure Conférence
Séminaire de l'équipe Probability Theory de l'université du Connecticut, Storrs, USA, 2019.
@conference{baptiste_1140,
title = {Pricing without martingale measure},
author = {Julien Baptiste and Laurence Carassus and Emmanuel Lépinette},
url = {https://math.uconn.edu/calendar-3/},
year = {2019},
date = {2019-04-01},
booktitle = {Séminaire de l'équipe Probability Theory de l'université du Connecticut},
address = {Storrs, USA},
keywords = {},
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tppubtype = {conference}
}
Laurence Carassus; Miklos Rásonyi
From Small to Big markets Conférence
Conference for the Simons Semester, Bedlewo, Poland, 2019.
@conference{carassus_1143,
title = {From Small to Big markets},
author = {Laurence Carassus and Miklos Rásonyi},
url = {https://www.impan.pl/en/activities/banach-center/conferences/19-confstochastic/program},
year = {2019},
date = {2019-02-01},
booktitle = {Conference for the Simons Semester},
address = {Bedlewo, Poland},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
Yves-Alain Ach
« Sneakers » : la grande envolée des prix à la revente Divers
The Conversation, 2019.
@misc{ach_1253,
title = {« Sneakers » : la grande envolée des prix à la revente},
author = {Yves-Alain Ach},
url = {https://theconversation.com/sneakers-la-grande-envolee-des-prix-a-la-revente-128560},
year = {2019},
date = {2019-12-01},
howpublished = {The Conversation},
keywords = {},
pubstate = {published},
tppubtype = {misc}
}
Sergio Focardi; Davide Mazza
L'informatique quantique, nouvelle frontière de la finance Divers
The Conversation, 2019.
@misc{focardi_1246,
title = {L'informatique quantique, nouvelle frontière de la finance},
author = {Sergio Focardi and Davide Mazza},
url = {https://theconversation.com/linformatique-quantique-nouvelle-frontiere-de-la-finance-127348},
year = {2019},
date = {2019-11-01},
howpublished = {The Conversation},
keywords = {},
pubstate = {published},
tppubtype = {misc}
}
Sergio Focardi; Davide Mazza
Quantum computing, the new frontier of finance Divers
The Conversation, 2019.
@misc{focardi_1247,
title = {Quantum computing, the new frontier of finance},
author = {Sergio Focardi and Davide Mazza},
url = {https://theconversation.com/quantum-computing-the-new-frontier-of-finance-127255},
year = {2019},
date = {2019-11-01},
howpublished = {The Conversation},
keywords = {},
pubstate = {published},
tppubtype = {misc}
}
Yves-Alain Ach
La BCE doit-elle participer à la relance de l'inflation? Divers
Forbes, 2019.
@misc{ach_1302,
title = {La BCE doit-elle participer à la relance de l'inflation?},
author = {Yves-Alain Ach},
url = {https://www.forbes.fr/finance/la-bce-doit-elle-participer-a-la-relance-de-linflation/},
year = {2019},
date = {2019-11-01},
howpublished = {Forbes},
keywords = {},
pubstate = {published},
tppubtype = {misc}
}
Sergio Focardi
Debate: Economics needs to understand complexity and qualitative change Divers
The Conversation, 2019.
@misc{focardi_1251,
title = {Debate: Economics needs to understand complexity and qualitative change},
author = {Sergio Focardi},
url = {https://theconversation.com/debate-economics-needs-to-understand-complexity-and-qualitative-change-123040},
year = {2019},
date = {2019-09-01},
howpublished = {The Conversation},
keywords = {},
pubstate = {published},
tppubtype = {misc}
}
Imane El Ouadghiri; Jonathan Peillex
Islamist attacks hit US Islamic stocks, a study reveals (Islamic Finance News) Divers
Islamic Finance News, 2019.
@misc{el_ouadghiri_935,
title = {Islamist attacks hit US Islamic stocks, a study reveals (Islamic Finance News)},
author = {Imane El Ouadghiri and Jonathan Peillex},
url = {https://www.islamicfinancenews.com/islamist-attacks-hit-us-islamic-stocks-a-study-reveals.html},
year = {2019},
date = {2019-01-01},
howpublished = {Islamic Finance News},
keywords = {},
pubstate = {published},
tppubtype = {misc}
}
Imane El Ouadghiri; Jonathan Peillex
Public attention to "Islamic terrorism" and stock market returns Article de journal
Dans: Journal Of Comparative Economics, vol. 46, no. 4, p. 936-946, 2018.
@article{el_ouadghiri_533,
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?via%3Dihub},
year = {2018},
date = {2018-12-01},
journal = {Journal Of Comparative Economics},
volume = {46},
number = {4},
pages = {936-946},
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 = {published},
tppubtype = {article}
}
Cyril Grunspan; Ricardo Pérez-Marco
Double Spend Races Article de journal
Dans: International Journal of Theoretical and Applied Finance, vol. 21, no. 8, p. 1850053, 2018.
@article{grunspan_560,
title = {Double Spend Races},
author = {Cyril Grunspan and Ricardo Pérez-Marco},
url = {https://www.worldscientific.com/doi/abs/10.1142/S021902491850053X},
year = {2018},
date = {2018-11-21},
journal = {International Journal of Theoretical and Applied Finance},
volume = {21},
number = {8},
pages = {1850053},
abstract = {We correct the double spend race analysis given in Nakamoto's foundational Bitcoin article and find the exact closed-form formula for the probability of success of a double spend attack using the regularized incomplete beta function. We give the first proof of its exponential decay on the number of confirmations, often cited in the literature, and find an asymptotic formula. Larger number of confirmations are required compared to those given by Nakamoto. We also compute this probability conditional to the knowledge of the time of the confirmations. This provides a finer risk analysis than the classical one.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Faten Lakhal; Assil Guizani; Nadia Lakhal
The cash flow sensitivity of cash in family firms: does the board of directors matter? Article de journal
Dans: Managerial Finance, vol. 44, no. 11, p. 1364-1380, 2018.
@article{lakhal_1036,
title = {The cash flow sensitivity of cash in family firms: does the board of directors matter?},
author = {Faten Lakhal and Assil Guizani and Nadia Lakhal},
url = {https://www.emerald.com/insight/content/doi/10.1108/MF-10-2017-0440/full/html},
year = {2018},
date = {2018-11-12},
journal = {Managerial Finance},
volume = {44},
number = {11},
pages = {1364-1380},
abstract = {The purpose of this paper is to shed light on the effect of French family control on the cash flow sensitivity of cash (CFSC). It also investigates the moderating effect of board of directors' features on this relation.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Moez Essid; Nicolas Berland
Adoption of environmental management tools: the dynamic capabilities contributions Article de journal
Dans: Sustainability Accounting Management And Policy Journal, vol. 9, no. 3, p. 229-252, 2018.
@article{essid_603,
title = {Adoption of environmental management tools: the dynamic capabilities contributions},
author = {Moez Essid and Nicolas Berland},
url = {https://www.emerald.com/insight/content/doi/10.1108/SAMPJ-09-2017-0099/full/html},
year = {2018},
date = {2018-11-01},
journal = {Sustainability Accounting Management And Policy Journal},
volume = {9},
number = {3},
pages = {229-252},
abstract = {Adoption of environmental management tools: the dynamic capabilities contributions",},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Romain Blanchard; Laurence Carassus; Miklos Rásonyi
No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach Article de journal
Dans: Mathematical Methods Of Operations Research, vol. 88, no. 2, p. 241-281, 2018.
@article{blanchard_479,
title = {No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach},
author = {Romain Blanchard and Laurence Carassus and Miklos Rásonyi},
url = {https://link.springer.com/article/10.1007%2Fs00186-018-0635-3},
year = {2018},
date = {2018-10-01},
journal = {Mathematical Methods Of Operations Research},
volume = {88},
number = {2},
pages = {241-281},
abstract = {We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterisation of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Laurence Carassus; Tiziano Vargiolu
Super-replication price : it can be ok Article de journal
Dans: Esaim: proceedings and surveys, vol. 64, p. 54 - 64, 2018.
@article{carassus_552,
title = {Super-replication price : it can be ok},
author = {Laurence Carassus and Tiziano Vargiolu},
url = {https://www.esaim-proc.org/articles/proc/abs/2018/04/proc186404/proc186404.html},
year = {2018},
date = {2018-10-01},
journal = {Esaim: proceedings and surveys},
volume = {64},
pages = {54 - 64},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Patrice Fontaine; Sonia Jimenez-Garcès; Mark Seasholes
Common Factors, Information, and Holdings Dispersion Article de journal
Dans: Review Of Finance, vol. 22, no. 4, p. 1441-1467, 2018.
@article{fontaine_39,
title = {Common Factors, Information, and Holdings Dispersion},
author = {Patrice Fontaine and Sonia Jimenez-Garcès and Mark Seasholes},
url = {https://academic.oup.com/rof/article-abstract/22/4/1441/3904507},
year = {2018},
date = {2018-07-01},
journal = {Review Of Finance},
volume = {22},
number = {4},
pages = {1441-1467},
abstract = {We derive closed-form solutions for asset prices and portfolio holdings when agents have asset-specific information and/or information about common components that affect many assets. Our solutions are general, encompass existing information structures, and are used to analyze new structures. A given investor's portfolio can exhibit highly disperse holdings?e.g., portfolio weights may vary significantly from market capitalization weights. Our model also generates large ranges of asset prices due to information asymmetries. We help explain why US investors (e.g.) may underweight German stocks (e.g.) on average, but overweight a particular German stock relative to its market capitalization weight.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Vivien Brunel
A general asymptotic formula for distinct partitions Article de journal
Dans: Annals Of Physics, vol. 394, p. 73-83, 2018.
@article{brunel_523,
title = {A general asymptotic formula for distinct partitions},
author = {Vivien Brunel},
url = {https://www.sciencedirect.com/science/article/abs/pii/S0003491618300861?via%3Dihub},
year = {2018},
date = {2018-06-01},
journal = {Annals Of Physics},
volume = {394},
pages = {73-83},
abstract = {Many asymptotic formulas exist for unrestricted integer partitions as well as for equal partitions of integers into a finite number of parts. We use an analogy with fermion gases and the tools of statistical physics to derive asymptotic formulas for distinct partitions with a large but finite number of parts. These results are supported by the fact that we recover some other existing asymptotic results and by numerical comparisons with exact results.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Romain Blanchard; Laurence Carassus
Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function Article de journal
Dans: Annals Of Applied Probability, vol. 28, no. 3, p. 1856-1892, 2018.
@article{blanchard_163,
title = {Multiple-priors Optimal Investment in Discrete Time for Unbounded Utility Function},
author = {Romain Blanchard and Laurence Carassus},
url = {https://projecteuclid.org/euclid.aoap/1527840034},
year = {2018},
date = {2018-05-01},
journal = {Annals Of Applied Probability},
volume = {28},
number = {3},
pages = {1856-1892},
abstract = {This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Laurence Carassus
Probabilités Ouvrage
1st edition, Deboeck Superieur, 2018, ISBN: 978-2807313200.
@book{carassus_559,
title = {Probabilités},
author = {Laurence Carassus},
url = {https://www.deboecksuperieur.com/ouvrage/9782807313200-probabilites},
issn = {978-2807313200},
year = {2018},
date = {2018-09-01},
volume = {1st edition},
pages = {368},
publisher = {Deboeck Superieur},
edition = {1st edition},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
Sergio Focardi
Money: What it is, how it's created, who gets it, and why it matters Ouvrage
First edition, Routledge, 2018, ISBN: 978-1138228955.
@book{focardi_226,
title = {Money: What it is, how it's created, who gets it, and why it matters},
author = {Sergio Focardi},
url = {https://www.routledge.com/Money-What-It-Is-How-Its-Created-Who-Gets-It-and-Why-It-Matters/Focardi/p/book/9781138228955},
issn = {978-1138228955},
year = {2018},
date = {2018-03-01},
volume = {First edition},
pages = {188},
publisher = {Routledge},
edition = {First edition},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
Philippe Dupuy; Patrice Fontaine; Joanne Hamet
Les marchés de capitaux français Ouvrage
Ed. Management & Société EMS, 2018, ISBN: 978-2-37687-068-5.
@book{dupuy_546,
title = {Les marchés de capitaux français},
author = {Philippe Dupuy and Patrice Fontaine and Joanne Hamet},
url = {https://www.editions-ems.fr/livres/collections/les-essentiels-de-la-gestion/ouvrage/494-les-march%C3%A9s-de-capitaux-fran%C3%A7ais.html},
issn = {978-2-37687-068-5},
year = {2018},
date = {2018-01-01},
pages = {232},
publisher = {Ed. Management & Société EMS},
keywords = {},
pubstate = {published},
tppubtype = {book}
}
Martino Grasselli
An efficient hybrid scheme for Fractional Riccati ODEs Conférence
Quantitative Methods in Finance 2018, Sydney, Australia, 2018.
@conference{grasselli_558,
title = {An efficient hybrid scheme for Fractional Riccati ODEs},
author = {Martino Grasselli},
year = {2018},
date = {2018-12-01},
booktitle = {Quantitative Methods in Finance 2018},
address = {Sydney, Australia},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
Gorgia Callegaro; Martino Grasselli; Gilles Pagès
Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Conférence
Quantitative Methods in Finance 2018, Sydney, Australia, 2018.
@conference{callegaro_1013,
title = {Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)},
author = {Gorgia Callegaro and Martino Grasselli and Gilles Pagès},
year = {2018},
date = {2018-12-01},
booktitle = {Quantitative Methods in Finance 2018},
address = {Sydney, Australia},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
Gorgia Callegaro; Martino Grasselli; Gilles Pagès
Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) Conférence
Research in Options 2018, Rio de Janeiro, Brazil, 2018.
@conference{callegaro_1014,
title = {Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)},
author = {Gorgia Callegaro and Martino Grasselli and Gilles Pagès},
url = {https://impa.br/en_US/eventos-do-impa/eventos-2018/research-in-options-2018/},
year = {2018},
date = {2018-11-01},
booktitle = {Research in Options 2018},
address = {Rio de Janeiro, Brazil},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
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