9
H index
9
i10 index
369
Citations
Université de Cergy-Pontoise | 9 H index 9 i10 index 369 Citations RESEARCH PRODUCTION: 46 Articles 132 Papers 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Luc Prigent. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Annals of Operations Research | 8 |
Economic Modelling | 8 |
Computational Economics | 5 |
European Journal of Operational Research | 3 |
Finance | 3 |
Journal of Banking & Finance | 2 |
Economic Inquiry | 2 |
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2025 | Mean-field Libor market model and valuation of long term guarantees. (2023). Schachinger, Gabriel ; Kienbacher, Eva ; Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2310.09022. Full description at Econpapers || Download paper |
2024 | Optimal VPPI strategy under Omega ratio with stochastic benchmark. (2024). Zhang, Litian ; Liang, Zongxia ; He, Lin ; Guan, Guohui. In: Papers. RePEc:arx:papers:2403.13388. Full description at Econpapers || Download paper |
2024 | Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference. (2024). Chakraborty, Tanujit ; Bandyopadhyay, Gautam ; Rakshit, Agni. In: Papers. RePEc:arx:papers:2405.02919. Full description at Econpapers || Download paper |
2024 | What drives the tail risk effect in the Chinese stock market?. (2024). Zhu, Yifeng ; Wang, Hui ; Sun, Kaisi. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004431. Full description at Econpapers || Download paper |
2024 | Robust portfolio selection with subjective risk aversion under dependence uncertainty. (2024). Li, Yuhan ; Su, Xiaoshan. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000233. Full description at Econpapers || Download paper |
2024 | Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy. (2024). Sensoy, Ahmet ; Goodell, John W ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007223. Full description at Econpapers || Download paper |
2024 | Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets. (2024). HU, YANG ; Corbet, Shaen ; Xu, Danyang ; Lang, Chunlin ; Goodell, John W. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400084x. Full description at Econpapers || Download paper |
2024 | It is a small world: The effect of analyst-media school ties on analyst performance. (2024). Wang, Yinghuan ; Guo, Yongzhen. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001820. Full description at Econpapers || Download paper |
2024 | Global climate policy uncertainty and financial markets. (2024). Zhang, Dayong ; Ji, Qiang ; Zhai, Pengxiang ; Ma, Dandan ; Fan, Ying. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:95:y:2024:i:c:s1042443124001136. Full description at Econpapers || Download paper |
2024 | Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Bellalah, Makram ; ben Amar, Amine ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246. Full description at Econpapers || Download paper |
2024 | Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments. (2024). Maghyereh, Aktham ; Cui, Jinxin ; Liao, Dijia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004623. Full description at Econpapers || Download paper |
2024 | Portfolio insurance strategy in the cryptocurrency market. (2024). Lee, Jaewook ; Son, Bumho ; Ko, Hyungjin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002611. Full description at Econpapers || Download paper |
2025 | The Global Financial Cycle and country risk in emerging markets during stress episodes: A Copula-CoVaR approach. (2025). Romero, José ; Ramrez-Gonzlez, Mahicol Stiben ; Melo-Velandia, Luis Fernando. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003945. Full description at Econpapers || Download paper |
2024 | Deciphering volatility spillovers amidst crises: analyzing the interplay among commodities, equities and socially responsible investments during the COVID-19 shock and financial turbulence. (2024). Ben Amar, Amine ; Boubrahimi, Nabil ; Bellalah, Makram ; Dkhissi, Ilham ; Hasnaoui, Amir. In: Post-Print. RePEc:hal:journl:hal-04643053. Full description at Econpapers || Download paper |
2024 | Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks. (2024). Dacorogna, Michel M ; Albrecher, Hansjrg. In: MPRA Paper. RePEc:pra:mprapa:122323. Full description at Econpapers || Download paper |
2024 | Institutional Ownership and Stock Liquidity: Evidence From an Emerging Market. (2024). Hong, Van Nguyen ; Dinh, Ngoc Bao. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:1:p:21582440241239116. Full description at Econpapers || Download paper |
2024 | Stochastic Inflation and the Term Structure of Interest Rates: a Simple Diffusion Model. (2024). Baldassari, Cristiano ; Nascenzi, Paola ; Meschini, Massimiliano. In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:13:y:2024:i:4:f:13_4_2. Full description at Econpapers || Download paper |
Year ![]() | Title ![]() | Type ![]() | Cited ![]() |
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Year ![]() | Title ![]() | Type ![]() | Cited ![]() |
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2018 | OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION In: Economic Inquiry. [Full Text][Citation analysis] | article | 0 |
2018 | Optimal Employee Ownership Contracts under Ambiguity Aversion.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2018 | DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS In: Economic Inquiry. [Full Text][Citation analysis] | article | 1 |
2018 | DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2011 | On the maximization of financial performance measures within mixture models In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 2 |
2011 | On the maximization of financial performance measures within mixture models.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2011 | On the maximization of financial performance measures within mixture models.(2011) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2013 | Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies In: Finance. [Full Text][Citation analysis] | article | 0 |
2013 | Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies..(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2015 | On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) In: Finance. [Full Text][Citation analysis] | article | 0 |
2015 | On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)..(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2014 | On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds).(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2022 | Performance Participation Strategies: OBPP versus CPPP In: Finance. [Full Text][Citation analysis] | article | 0 |
2022 | Performance Participation Strategies: OBPP versus CPPP.(2022) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1992 | The private provision of public good in the case of satiation points: The case of a quasi-linear economy In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
2000 | An Empirical Investigation in Credit Spread Indices In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2000 | An Empirical Investigation in Credit Spread Indices.(2000) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | ||
1998 | Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2000 | Convergence of discrete time option pricing models under stochastic interest rates.(2000) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
1999 | Convergence of discrete time option pricing models under stochastic interest rates.(1999) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
1999 | Option Pricing with Discrete Rebalancing In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
1999 | Option Pricing with Discrete Rebalancing.(1999) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2004 | Option pricing with discrete rebalancing.(2004) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
1999 | Option pricing with discrete rebalancing.(1999) In: THEMA Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2002 | Option Pricing with Discrete Rebalancing.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2004 | Option pricing with discrete rebalancing.(2004) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
1999 | An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
2000 | An auto-regressive conditional binomial option pricing model.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | ||
2014 | A dynamic autoregressive expectile for time-invariant portfolio protection strategies In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 22 |
2014 | A dynamic autoregressive expectile for time-invariant portfolio protection strategies.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2014 | A dynamic autoregressive expectile for time-invariant portfolio protection strategies.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2014 | A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2014 | A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2013 | A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2013) In: LEO Working Papers / DR LEO. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2013 | Optimal portfolio positioning under ambiguity In: Economic Modelling. [Full Text][Citation analysis] | article | 7 |
2013 | Optimal portfolio positioning under ambiguity.(2013) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2014 | On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
2014 | On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2016 | Optimal positioning in financial derivatives under mixture distributions In: Economic Modelling. [Full Text][Citation analysis] | article | 7 |
2016 | Optimal positioning in financial derivatives under mixture distributions.(2016) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2016 | Optimal positioning in financial derivatives under mixture distributions.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2014 | Optimal Positioning in Financial Derivatives under Mixture Distributions.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2016 | Equilibrium of financial derivative markets under portfolio insurance constraints In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
2016 | Equilibrium of financial derivative markets under portfolio insurance constraints.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2016 | Real estate investment: Market volatility and optimal holding period under risk aversion In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
2015 | Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion.(2015) In: THEMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2016 | Optimal funding and hiring/firing policies with mean reverting demand In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
2016 | Optimal funding and hiring/firing policies with mean reverting demand.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2017 | Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
2017 | Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2019 | Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market In: Economic Modelling. [Full Text][Citation analysis] | article | 6 |
2019 | Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market.(2019) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2014 | Portfolio insurance: Gap risk under conditional multiples In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 17 |
2014 | Portfolio insurance: Gap risk under conditional multiples.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2018 | Risk management of time varying floors for dynamic portfolio insurance In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 3 |
2018 | Risk management of time varying floors for dynamic portfolio insurance.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2019 | On the optimality of path-dependent structured funds: The cost of standardization In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
2019 | On the optimality of path-dependent structured funds: The cost of standardization.(2019) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2022 | Dynamic connectedness and optimal hedging strategy among commodities and financial indices In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 7 |
2022 | Dynamic connectedness and optimal hedging strategy among commodities and financial indices.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2008 | Utilitarianism and fairness in portfolio positioning In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 8 |
2008 | Utilitarianism and fairness in portfolio positioning.(2008) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2011 | Omega performance measure and portfolio insurance In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 44 |
2010 | Structured Portfolio Analysis under SharpeOmega Ratio In: EcoMod2010. [Full Text][Citation analysis] | paper | 0 |
2012 | Structured portfolio analysis under SharpeOmega ratio.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2012 | Structured portfolio analysis under SharpeOmega ratio.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2014 | Structured portfolio analysis under SharpeOmega ratio.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2012 | Structured portfolio analysis under SharpeOmega ratio.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2000 | Strategies optimales dallocation de portefeuilles internationaux avec contraintes In: THEMA Working Papers. [Citation analysis] | paper | 0 |
2000 | Portfolio Insurance : The extreme Value of the CCPI Method In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 10 |
2000 | Weak Convergence of Hedging Strategies of Contingent Claims In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 4 |
2002 | Weak Convergence of Hedging Strategies of Contingent Claims.(2002) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2000 | An Empirical Estimation in Credit Spread Indices In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
2003 | Optimal portfolio positioning In: THEMA Working Papers. [Citation analysis] | paper | 3 |
2003 | Optimal portfolio : towards an operational decision support system In: THEMA Working Papers. [Citation analysis] | paper | 0 |
2007 | Hedging global environment risks: An option based portfolio insurance In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | Hedging global environment risks: An option based portfolio insurance.(2008) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2008 | Optimal Time to Sell in Real Estate Portfolio Management In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 7 |
2009 | Optimal Time to Sell in Real Estate Portfolio Management.(2009) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2009 | Optimal Time to Sell in Real Estate Portfolio Management.(2009) In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
2011 | Real Estate Portfolio Management : Optimization under Risk Aversion In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
1996 | A general subordinated stochastic process for the derivatives pricing In: THEMA Working Papers. [Citation analysis] | paper | 0 |
2011 | A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING.(2011) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2001 | A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING.(2001) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
1996 | Implied risk neutral probability measures on options markets : The L2 approach In: THEMA Working Papers. [Citation analysis] | paper | 2 |
1997 | Convergence of discrete time options pricing models under stochastic In: THEMA Working Papers. [Citation analysis] | paper | 0 |
1997 | Incomplete markets : Convergence of options values under the minimal martingale measure. The multidimensional case In: THEMA Working Papers. [Citation analysis] | paper | 1 |
1997 | Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case..(1997) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
1997 | Option pricing with a general marked point process In: THEMA Working Papers. [Citation analysis] | paper | 9 |
1997 | Option Pricing with a General Market Point Process.(1997) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2001 | Option Pricing with a General Marked Point Process.(2001) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
1999 | An autoregressive conditional binomial option pricing model under stochastic rates In: THEMA Working Papers. [Citation analysis] | paper | 2 |
1999 | Optimal portfolio under insurance constraints on the horizon wealth In: THEMA Working Papers. [Citation analysis] | paper | 0 |
1999 | Optimality of portfolio insurance The extended CPPI method In: THEMA Working Papers. [Citation analysis] | paper | 0 |
In: . [Full Text][Citation analysis] | chapter | 0 | |
In: . [Full Text][Citation analysis] | chapter | 0 | |
2010 | Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination In: International Symposia in Economic Theory and Econometrics. [Full Text][Citation analysis] | chapter | 1 |
2010 | Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2010 | Chapter 4 Copula Theory Applied to Hedge Funds Dependence Structure Determination.(2010) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2012 | Estimation of Non-Gaussian Returns: The Hedge Funds Case In: International Symposia in Economic Theory and Econometrics. [Full Text][Citation analysis] | chapter | 0 |
2000 | Gestion de portefeuille avec garantie: lallocation optimale en actifs derives. In: G.R.E.Q.A.M.. [Citation analysis] | paper | 1 |
1995 | Pricing of Contingent Claims from Discrete to Continuous Time Models: On the Robustness of the Black and Scholes Formula. In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] | paper | 0 |
1995 | Incomplete Markets: A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing. In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] | paper | 0 |
1997 | Convergence of Discrete Time Options Pricing Models under Stochastic Rates In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] | paper | 0 |
2011 | PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 1 |
2014 | Portfolio Optimization within Mixture of Distributions.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2011 | PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS.(2011) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2014 | Portfolio Optimization within Mixture of Distributions.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2011 | VaR and Omega measures for hedge funds portfolios: A copula approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 1 |
2011 | VaR and Omega measures for hedge funds portfolios: A copula approach.(2011) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2010 | Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 6 |
2010 | Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures.(2010) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2015 | Detecting performance persistence of hedge funds In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 1 |
2015 | Detecting performance persistence of hedge funds.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2011 | Ownership structure and stock market liquidity: evidence from Tunisia In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 4 |
2011 | Ownership structure and stock market liquidity: evidence from Tunisia.(2011) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2011 | Ownership structure and stock market liquidity: evidence from Tunisia.(2011) In: International Journal of Managerial and Financial Accounting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2009 | A Risk Management Approach for Portfolio Insurance Strategies In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 4 |
2009 | A Risk Management Approach for Portfolio Insurance Strategies.(2009) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2009 | A Risk Management Approach for Portfolio Insurance Strategies.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2008 | Firms value under investment irreversibility, stochastic demand and general production function In: Post-Print. [Citation analysis] | paper | 0 |
2012 | Corporate investment choice and exchange option between production functions In: Post-Print. [Citation analysis] | paper | 1 |
2017 | Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions In: Post-Print. [Full Text][Citation analysis] | paper | 19 |
2010 | A Note on Risk Aversion, Prudence and Portfolio Insurance In: Post-Print. [Citation analysis] | paper | 7 |
2010 | A Note on Risk Aversion, Prudence and Portfolio Insurance.(2010) In: The Geneva Risk and Insurance Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
2003 | EVALUATION OF FINANCIAL STRUCTURED PRODUCTS: AN APPLICATION OF THE EXTREME VALUE THEORY. In: Post-Print. [Citation analysis] | paper | 0 |
2005 | Portfolio Insurance Strategies: OBPI versus CPPI. In: Post-Print. [Citation analysis] | paper | 30 |
2015 | French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing In: Post-Print. [Citation analysis] | paper | 1 |
2015 | French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing.(2015) In: Bankers, Markets & Investors. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2003 | Portfolio Insurance Strategies: A Comparison of Standard Methods When the Volatility of the Stock is Stochastic In: Post-Print. [Citation analysis] | paper | 16 |
2002 | Portfolio Insurance: The Extreme Value Theory of the Cppi Method In: Post-Print. [Citation analysis] | paper | 2 |
2001 | Portfolio Insurance: The Extreme Value Theory of the Cppi Method.(2001) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2000 | Optimisation de portefeuille sous contrainte de variance de la tracking-error In: Post-Print. [Citation analysis] | paper | 1 |
2018 | Mixed-asset portfolio allocation under mean-reverting asset returns In: Post-Print. [Citation analysis] | paper | 2 |
2019 | Mixed-asset portfolio allocation under mean-reverting asset returns.(2019) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2018 | Residential Real Estate in a Mixed-Asset Portfolio In: Post-Print. [Citation analysis] | paper | 0 |
2020 | On the risk management of demand deposits: quadratic hedging of interest rate margins In: Post-Print. [Citation analysis] | paper | 0 |
2022 | On the risk management of demand deposits: quadratic hedging of interest rate margins.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2022 | On the risk management of demand deposits: quadratic hedging of interest rate margins.(2022) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2022 | Risk management decisions and value under uncertainty In: Post-Print. [Citation analysis] | paper | 0 |
2022 | Risk management decisions and value under uncertainty.(2022) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2020 | About Long-Term Cross-Currency Bermuda Swaption Pricing In: Post-Print. [Citation analysis] | paper | 0 |
2020 | About Long-Term Cross-Currency Bermuda Swaption Pricing.(2020) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
1997 | A note on the valuation of an exotic timing option In: Post-Print. [Citation analysis] | paper | 1 |
1997 | A note on the valuation of an exotic timing option.(1997) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
1999 | Incomplete markets: convergence of options values under the minimal martingale measure In: Post-Print. [Citation analysis] | paper | 0 |
2019 | A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates In: Post-Print. [Citation analysis] | paper | 0 |
2019 | A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates.(2019) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2020 | Optimal Portfolio Positioning on Multiple Assets Under Ambiguity In: Post-Print. [Citation analysis] | paper | 0 |
2020 | Optimal Portfolio Positioning on Multiple Assets Under Ambiguity.(2020) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2019 | Preface: decision making and risk/return optimization in financial economics In: Post-Print. [Citation analysis] | paper | 0 |
2019 | Preface: decision making and risk/return optimization in financial economics.(2019) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2018 | Preface: Risk management decisions and wealth management in Financial Economics In: Post-Print. [Citation analysis] | paper | 1 |
2018 | Preface: Risk management decisions and wealth management in Financial Economics.(2018) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2018 | On the robustness of portfolio allocation under copula misspecification In: Post-Print. [Citation analysis] | paper | 5 |
2018 | On the robustness of portfolio allocation under copula misspecification.(2018) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2017 | Optimal portfolio positioning within generalized Johnson distributions In: Post-Print. [Citation analysis] | paper | 9 |
2014 | Optimal Portfolio Positioning within Generalized Johnson Distributions.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2017 | Optimal portfolio positioning within generalized Johnson distributions.(2017) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
2016 | On the diversity score: a copula approach In: Post-Print. [Citation analysis] | paper | 0 |
2016 | On the Stochastic Dominance of Portfolio Insurance Strategies In: Post-Print. [Citation analysis] | paper | 4 |
2010 | International Portfolio Optimization with Higher Moments In: Post-Print. [Citation analysis] | paper | 8 |
2010 | Behaviour towards Risk in Structured Portfolio Management In: Post-Print. [Citation analysis] | paper | 3 |
2009 | Standardized versus customized portfolio: a compensating variation approach In: Post-Print. [Citation analysis] | paper | 3 |
2009 | Standardized versus customized portfolio: a compensating variation approach.(2009) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2022 | Crises and Uncertainty in the Economy In: Post-Print. [Citation analysis] | paper | 0 |
2009 | Prise en compte de lattitude face au risque dans le cadre de la directive MiFID In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2010 | Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Corporate Governance and Market Microstructure: Evidence on Institutional Investors in the Tunisian Stock Exchange In: International Journal of Academic Research in Accounting, Finance and Management Sciences. [Full Text][Citation analysis] | article | 2 |
2001 | Option Pricing with a General Marked Point Process In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 8 |
2014 | Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2014 | Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2014 | Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | On the debt capacity of growth and decay options In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2023 | Crisis and Risk Management: Recent Developments in Computational Economics In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
2023 | On the Hedging of Interest Rate Margins on Bank Demand Deposits In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
2024 | Operational research insights on risk, resilience & dynamics of financial & economic systems In: Annals of Operations Research. [Full Text][Citation analysis] | article | 0 |
2023 | On the sovereign debt crisis: sovereign credit default swaps and their interaction with stock market indices In: Applied Economics. [Full Text][Citation analysis] | article | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team