Finance Group

@article{chiarella_420,

title = {Pricing Range Notes within Wishart Affine Models},

author = {Carl Chiarella and José Da Fonseca and Martino Grasselli},

url = {http://www.sciencedirect.com/science/article/pii/S0167668714000948},

year  = {2014},

date = {2014-09-01},

journal = {Insurance Mathematics & Economics},

volume = {58},

number = {1},

pages = {193-203},

abstract = {We provide analytic pricing formulas for Fixed and Floating Range Accrual Notes within the multifactor Wishart affine framework which extends significantly the standard affine model. Using estimates for three short rate models, two of which are based on the Wishart process whilst the third one belongs to the standard affine framework, we price these structured products using the FFT methodology. Thanks to the Wishart tractability the hedge ratios are also easily computed. As the models are estimated on the same dataset, our results illustrate how the fit discrepancies (meaning differences in the likelihood functions) between models translate in terms of derivatives pricing errors, and we show that the models can produce different price evolutions for the Range Accrual Notes. The differences can be substantial and underline the importance of model risk both from a static and dynamic perspective. These results are confirmed by an analysis performed at the hedge ratios level.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{focardi_422,

title = {Can We Predict Stock Market Crashes?},

author = {Sergio Focardi and Franck Fabozzi},

url = {https://jpm.pm-research.com/content/40/5/183},

year  = {2014},

date = {2014-09-01},

journal = {Journal Of Portfolio Management},

volume = {40},

number = {5},

pages = {183-195},

abstract = {In this article, the authors suggest how to think about a new framework for the analysis of financial bubbles and a possible vector of variables able to signal when an economy enters a state of disequilibrium. The working hypothesis is that market crashes are preceded by a bubble. The authors define a bubble as an anomalous increase in asset prices with respect to the economy. An exponentially growing spread between asset prices and the economy is therefore an indicator of the probability that a bubble is in the making. However, as the authors point out, this indicator alone is not sufficient as anomalous price growth can be generated by different macroeconomic scenarios. The authors discuss different macroscenarios that can lead to bubbles and the related indicators.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{gnoatto_426,

title = {An affine multi-currency model with stochastic volatility and stochastic interest rates},

author = {Alexandro Gnoatto and Martino Grasselli},

url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2226499},

year  = {2014},

date = {2014-08-01},

journal = {Siam Journal On Financial Mathematics},

volume = {5},

pages = {493-531},

abstract = {We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be efficiently performed through the FFT methodology thanks to the affine property of the model. Our framework is also able to describe many non trivial links between FX rates and interest rates: a calibration exercise highlights the ability of the model to t simultaneously FX implied volatilities while being coherent with interest rate products.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{belkhaoui_1082,

title = {Market structure, strategic choices and bank performance: a path model},

author = {Samir Belkhaoui and Faten Lakhal and Slaheddine Hellara},

url = {https://www.emerald.com/insight/content/doi/10.1108/MF-07-2013-0183/full/html?skipTracking=true},

year  = {2014},

date = {2014-06-03},

journal = {Managerial Finance},

volume = {40},

number = {6},

pages = {538-564},

abstract = {The purpose of this paper is to develop and test a conceptual model of bank performance},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{da_fonseca_421,

title = {Estimating the Wishart Affi ne Stochastic Correlation Model using the Empirical Characteristic Function},

author = {José Da Fonseca and Martino Grasselli and Florian Ielpo},

url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1054721},

year  = {2014},

date = {2014-06-01},

journal = {Studies In Nonlinear Dynamics And Econometrics},

volume = {18},

number = {3},

pages = {253-289},

abstract = {Abstract: This paper provides the first estimation strategy for the Wishart Affine Stochastic Correlation (WASC) model. We provide elements showing that the use of empirical characteristic function-based estimates is advisable as this function is exponential affine in the WASC case. We use a GMM estimation strategy with a continuum of moment conditions based on the characteristic function. We present the estimation results obtained using a dataset of equity indexes. The WASC model captures most of the known stylized facts associated with financial markets, including leverage and asymmetric correlation effects.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{gnoatto_427,

title = {The explicit Laplace transform for the Wishart process},

author = {Alexandro Gnoatto and Martino Grasselli},

url = {https://www.cambridge.org/core/journals/journal-of-applied-probability/article/explicit-laplace-transform-for-the-wishart-process/96D33CAE7D09562034079343F66FFBCF},

year  = {2014},

date = {2014-05-01},

journal = {Journal Of Applied Probability},

volume = {51},

number = {3},

pages = {640-656},

abstract = {We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral, which extends the original approach of Bru (1991). We compare our methodology with the alternative results given by the variation-of-constants method, the linearization of the matrix Riccati ordinary differential equation, and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{garcin_1656,

title = {Probability density of the empirical wavelet coefficients of a noisy chaos},

author = {Matthieu Garcin and Dominique Guégan},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0167278914000542},

year  = {2014},

date = {2014-05-01},

journal = {Physica D-Nonlinear Phenomena},

volume = {276},

number = {1},

pages = {28-47},

abstract = {We are interested in the random empirical wavelet coefficients of a noisy signal when this signal is a unidimensional or multidimensional chaos. More precisely we provide an expression of the conditional probability density of such coefficients, given a discrete observation grid. The noise is assumed to be described by a symmetric alpha-stable random variable. If the noise is a dynamic noise, then we present the exact expression of the probability density of each wavelet coefficient of the noisy signal. If we face a measurement noise, then the noise has a non-linear influence and we propose two approximations. The first one relies on a Taylor expansion whereas the second one, relying on an Edgeworth expansion, improves the first general Taylor approximation if the cumulants of the noise are defined. We give some illustrations of these theoretical results for the logistic map, the tent map and a multidimensional chaos, the Hénon map, disrupted by a Gaussian or a Cauchy noise.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{carassus_743,

title = {Pricing and Hedging Basis Risk under No Good Deal Assumption},

author = {Laurence Carassus and E. Temam},

url = {https://link.springer.com/article/10.1007%2Fs10436-013-0246-1},

year  = {2014},

date = {2014-02-01},

journal = {Annals of Finance},

volume = {10},

number = {1},

pages = {127-170},

abstract = {We consider the problem of explicitly pricing and hedging an option written on a non-exchangeable asset when trading in a correlated asset is possible. This is a typical case of incomplete market where it is well known that the super-replication concept provides generally too high prices. We study several prices and in particular the instantaneous no-good-deal price (see Cochrane and Saa-Requejo in J Polit Econ 108(1):79-119, 2001) and the global one. We show numerically that the global no-good-deal price can be significantly higher that the instantaneous one. We then propose several hedging strategies and show numerically that the mean-variance hedging strategy can be efficient.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{essid_724,

title = {Les indicateurs de la RSE dans les entreprises françaises : La complexité responsable},

author = {Moez Essid and Nicolas Berland},

url = {https://archives-rfg.revuesonline.com/article.jsp?articleId=18524},

year  = {2013},

date = {2013-01-01},

journal = {Revue Française de Gestion},

volume = {39},

number = {234},

pages = {27-41},

abstract = {This paper focuses on the CSR measures as major tool to manage a corporate social performance through the study of eight French companies. Based on behavioural control theoretical framework, this paper also analyzed the different uses of these CSR measures. This analysis allows us to report a huge number of these measures within these companies. Moreover, different control mechanisms using these tools were identified. The differences can be explained by both the oldness of CSR issues' consideration and the hierarchical level where the measures are used.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{garcin_1657,

title = {Extreme values of random or chaotic discretization steps and connected networks},

author = {Matthieu Garcin and Dominique Guégan},

url = {http://m-hikari.com/ams/ams-2012/ams-117-120-2012/garcinAMS117-120-2012.pdf},

year  = {2012},

date = {2012-01-01},

volume = {6},

number = {119},

pages = {5901 - 5926},

abstract = {x},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{lakhal_1525,

title = {Ownership structure and stock market liquidity in France},

author = {Faten Lakhal and Aymen Ajina},

url = {x},

year  = {2010},

date = {2010-01-01},

journal = {Bankers, Markets & Investors},

volume = {x},

number = {104},

pages = {42-52},

abstract = {his paper examines the effects of concentrated ownership structure and shareholder's type on the French stock-market liquidity. The results show that ownership concentration negatively affects market liquidity suggesting that large shareholders are likely to exacerbate information asymmetry, widen bid-ask spreads and decrease stock market liquidity. The findings also show that the proportion of institutional investors has a positive effect on market liquidity. These investors are inclined to trade more frequently on their stocks and to shrink bid-ask spreads. These findings are in line with adverse selection and trading hypotheses and shed the light on the role of corporate governance devices to consider shareholder minority interest's protection, which leads to improved stock market liquidity levels.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{lakhal_1524,

title = {Les mécanismes de gouvernement d'entreprises et les publications volontaires des résultats en France},

author = {Faten Lakhal},

url = {https://www.cairn.info/revue-comptabilite-controle-audit-2006-2-page-69.htm?contenu=resume},

year  = {2006},

date = {2006-12-01},

journal = {Comptabilite Controle Audit},

volume = {12},

number = {2},

pages = {69-92},

abstract = {Cet article étudie les relations entre les mécanismes de gouvernement d'entreprise et la communication volontaire des résultats sur un marché où l'actionnariat est concentré. Les résultats montrent que la publication volontaire est liée à la dispersion de la structure d'actionnariat marquée par la présence d'investisseurs institutionnels étrangers, à l'existence d'une structure de dualité dans le conseil et à la distribution de stocks-options aux dirigeants. Les dirigeants français peuvent occasionnellement annoncer leurs résultats afin d'informer le marché de leurs bonnes performances. Enfin, les annonces trimestrielles sont rattachées essentiellement à la cotation sur le marché américain alors que la publication prévisionnelle est liée à la rémunération des dirigeants par stock-options.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}