Finance Group

@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}

}

@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}

}

@conference{carassus_1383,

title = {Pricing without martingale measure},

author = {Laurence Carassus and Julien Baptiste and Emmanuel Lépinette},

url = {https:/},

year  = {2018},

date = {2018-11-01},

booktitle = {Séminaire at Alfréd Rényi Institute of Mathematics},

address = {Budapest, Hungary},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{carassus_547,

title = {Pricing without martingale measure},

author = {Laurence Carassus},

url = {http://people.maths.ox.ac.uk/obloj/RT2018.html},

year  = {2018},

date = {2018-09-01},

booktitle = {Robust Techniques in Quantitative Finance},

address = {Oxford, UK},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{baptiste_548,

title = {Pricing without martingale measure},

author = {Julien Baptiste and Laurence Carassus and Emmanuel Lépinette},

url = {https://conferences.cirm-math.fr/1816.html},

year  = {2018},

date = {2018-09-01},

booktitle = {Innovative Research in Mathematical Finance},

address = {Marseille, France},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{el_ouadghiri_537,

title = {Macroeconomic expectations under heterogeneous beliefs: a dynamic analysis using individual survey data},

author = {Imane El Ouadghiri},

url = {https://ipag-irm.sciencesconf.org/resource/page/id/22},

year  = {2018},

date = {2018-07-01},

booktitle = {9th International Research Meeting in Business and Management},

address = {Nice, France},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{bazgour_544,

title = {How do Volatility Regimes Affect the Pricing of Quality and Liquidity in the Stock Market?},

author = {Tarik Bazgour},

url = {https://ipag-irm.sciencesconf.org/resource/page/id/22},

year  = {2018},

date = {2018-07-01},

booktitle = {9th International Research Meeting in Business and Management},

address = {Nice, France},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{carassus_549,

title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework},

author = {Laurence Carassus and Romain Blanchard},

url = {http://bacheliercongress2018.com/},

year  = {2018},

date = {2018-07-01},

booktitle = {10th World Congress of the Bachelier Finance Society},

address = {Dublin, Ireland},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{belot_1282,

title = {Family Control, Stock Price Levels, and Stock Split Activity},

author = {François Belot and Timothée Waxin},

url = {http://www.mfsociety.org/page.php?pageID=358},

year  = {2018},

date = {2018-06-01},

booktitle = {25th Annual Conference of the Multinational Finance Society (MFS)},

address = {Budapest, Hungary},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{ayed_1549,

title = {Corporate Social Responsibility and stock market liquidity: The moderating role of institutional investors' ownership},

author = {Sabrine Ayed and Faten Lakhal and Aymen Ajina},

url = {https://hal.archives-ouvertes.fr/hal-02087545},

year  = {2018},

date = {2018-06-01},

booktitle = {Summer conference on financial implications of sustainability and corporate social responsibility},

address = {Nice, France},

abstract = {The purpose of this study is to shed the light on the effect of corporate social performance on stock market liquidity in the French context. Based on a sample of 100 companies from 2011-2013, our results approve the role of Corporate Social Responsibility (CSR), particularly community engagement and governance in reducing information asymmetry and improving stock market liquidity. This result supports the theoretical legitimacy and reputational hypotheses. Moreover, with the presence of a high proportion of institutional investors, we find a negative impact of CSR activities on market liquidity. These findings may have important implications in terms of the academic and managerial understanding toward the relative benefits of CSR. Indeed, our results highlight the relevance of developing the CSR activities and particularly community engagement and governance by French firms in order to better assess firms' values and improve their stock liquidity. However, institutional investors are not deemed to bean effective corporate governance device for French companies suggesting that stock liquidity could be affected by the way CSR is monitored.},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{bazgour_518,

title = {How do Volatility Regimes Affect the Pricing of Quality and Liquidity in the Stock Market?},

author = {Tarik Bazgour},

url = {http://affi2018.escpeurope.eu/},

year  = {2018},

date = {2018-05-01},

booktitle = {35th International Conference of the French Finance Association},

address = {Paris, France},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{grasselli_556,

title = {Recent results on Quantization in Finance},

author = {Martino Grasselli},

year  = {2018},

date = {2018-05-01},

booktitle = {4th Workshop on Branching Processes and Related Topics, East China Normal University},

address = {Shangai, China},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{grasselli_555,

title = {A consistent stochastic model of the term structure of interest rates for multiple tenors},

author = {Martino Grasselli},

url = {http://www.lse.ac.uk/Statistics/Events/Risk-and-Stochastics-Conference/Risk-and-Stochastics-Conference},

year  = {2018},

date = {2018-04-01},

booktitle = {Risk and Stochastic Conference London School of Economics - The Department's annual conference},

address = {Londres, UK},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{kotchoni_757,

title = {A New Approach to Detecting Jumps at High Frequency},

author = {Rachidi Kotchoni and Imane El Ouadghiri},

url = {http://www.cireqmontreal.com/view/21115/colloque-cireq-deconometrie-3},

year  = {2018},

date = {2018-04-01},

booktitle = {Colloque CIREQ d'économétrie : Avancées récentes sur la méthode des moments},

address = {Montréal, Canada},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{carassus_500,

title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework},

author = {Laurence Carassus and Romain Blanchard},

url = {https://sites.google.com/site/murf2018/},

year  = {2018},

date = {2018-03-01},

booktitle = {Model Uncertainty & Robust Finance - Workshop},

address = {Milan, Italie},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{carassus_499,

title = {Economic and financial problematics in discrete-time models with multiple and non-dominated priors},

author = {Laurence Carassus},

url = {http://www.iecl.univ-lorraine.fr/ProbaStat/archives-2017.php},

year  = {2018},

date = {2018-02-01},

booktitle = {Séminaire de Probabilités Université Lorraine},

address = {Nancy, France},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{carassus_498,

title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework},

author = {Laurence Carassus and Romain Blanchard},

url = {http://ykabanov.perso.math.cnrs.fr/Bachelier2018/programmes%20angl/programme4_B3_ang.html},

year  = {2018},

date = {2018-01-01},

booktitle = {The Twelfth Bachelier Colloquium on Mathematical Finance and Stochastic Calculus},

address = {Métabief, France},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{grasselli_554,

title = {A new technology for pricing options: Quantization meets},

author = {Martino Grasselli},

url = {https://staff.fnwi.uva.nl/p.j.c.spreij/winterschool/17winterschool.html},

year  = {2018},

date = {2018-01-01},

booktitle = {17th Winter school on Mathematical Finance},

address = {Lunteren, Netherlands},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{grasselli_259,

title = {Quantization meets Fourier: A New methodology for pricing options},

author = {Martino Grasselli},

year  = {2017},

date = {2017-12-01},

booktitle = {Quantitative Methods in Finance 2017},

address = {Sydney, Australia},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{carassus_254,

title = {Convergence of utility indifference prices to the superreplication price in a multiple-priors framework},

author = {Laurence Carassus and Romain Blanchard},

url = {https://www.maths.ox.ac.uk/node/25832},

year  = {2017},

date = {2017-11-01},

booktitle = {Mathematical and computational Finance seminar},

address = {Oxford, UK},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{grasselli_260,

title = {Quantization meets Fourier: A New methodology for pricing options},

author = {Martino Grasselli and Gorgia Callegaro and Lucio Fiorin},

year  = {2017},

date = {2017-11-01},

booktitle = {6th International Conference Mathematics in Finance},

address = {Cape Town, South Africa},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{grasselli_262,

title = {A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors},

author = {Martino Grasselli},

url = {https://impa.br/eventos-do-impa/eventos-2017/research-in-options-2017/},

year  = {2017},

date = {2017-11-01},

booktitle = {Research in Options 2017},

address = {Rio de Janeiro, Brazil},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{essid_602,

title = {L'adoption des outils de pilotage environnementaux : Quels apports des capacités dynamiques ?},

author = {Moez Essid and Nicolas Berland},

url = {http://www.essect.rnu.tn/fra/pages/198/Colloque-international},

year  = {2017},

date = {2017-11-01},

booktitle = {Colloque international Développement Durable et pratiques innovantes},

address = {Hammamet, Tunisia},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{carassus_252,

title = {Mini-symposium Big Data Mégadonnées : quelques enjeux},

author = {Laurence Carassus},

url = {http://smai.emath.fr/smai2017/},

year  = {2017},

date = {2017-06-01},

booktitle = {minisymposium industriel Big Data au SMAI},

address = {Moulimes, France},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{blanchard_253,

title = {Multiple-priors Optimal Investment for Unbounded Utility Function in Discrete Time},

author = {Romain Blanchard and Laurence Carassus},

url = {https://8amamef.nl/#programme},

year  = {2017},

date = {2017-06-01},

booktitle = {8th General AMaMeF Conference},

address = {Amsterdam, Netherlands},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{fontaine_256,

title = {Market Undervaluation and Inter-Company Borrowings},

author = {Patrice Fontaine and Sujiao Zhao},

url = {https://www.fma.org/lisbon},

year  = {2017},

date = {2017-06-01},

booktitle = {FMA 2017 European Conference},

address = {Lisbon, Portugal},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{fontaine_257,

title = {Peer Effects in Debt Maturity Decisions},

author = {Patrice Fontaine and Sujiao Zhao},

url = {https://www.fma.org/lisbon},

year  = {2017},

date = {2017-06-01},

booktitle = {FMA 2017 European Conference},

address = {Lisbon, Portugal},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}

@conference{grasselli_258,

title = {Organizer of a mini-symposium on Quantization},

author = {Martino Grasselli},

url = {https://8amamef.nl/#programme},

year  = {2017},

date = {2017-06-01},

booktitle = {8th General AMaMeF Conference},

address = {Amsterdam, Netherlands},

keywords = {},

pubstate = {published},

tppubtype = {conference}

}