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66 résultats
The mean–variance (in)efficiency of duration‐based immunizationInternational Review of Finance, 2024, ⟨10.1111/irfi.12447⟩
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hal-04529445v1
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Fuel up with OATmeals! The case of the French nominal yield curveThe Journal of Finance and Data Science, 2020, 6, pp.49-85. ⟨10.1016/j.jfds.2020.07.001⟩
Article dans une revue
halshs-02980563v1
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Relations between Corporate Credit Spreads, Treasury Yields and the Equity MarketInternational Journal of Business, 2009, 14 (2), pp.105-122
Article dans une revue
halshs-00391567v1
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American Step OptionsEuropean Journal of Operational Research, 2020, 282 (1), pp.363-385. ⟨10.1016/j.ejor.2019.09.009⟩
Article dans une revue
halshs-02283374v1
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Quadratic Approaches for Modeling Term Structures of Interest Rates in Discrete TimeEuro Working Group on Financial Modeling (46th EWGFM), May 2010, Istanbul, Turkey. 42 p
Communication dans un congrès
halshs-00523163v1
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The dynamics of the term structure of interest rates : an independent component analysisC. LESAGE M. COTTRELL. Connectionist Approaches in Economics and Management Sciences, Kluwer, 2003
Chapitre d'ouvrage
halshs-00076706v1
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Sensitivity Analysis of Credit Risk Measures in the Beta Binomial FrameworkJournal of fixed income, 2010, 19 (3), pp.66-76
Article dans une revue
halshs-00446903v1
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A switching self-exciting jump diffusion process for stock pricesAnnals of Finance, 2019, 15 (2), pp.267-306. ⟨10.1007/s10436-018-0340-5⟩
Article dans une revue
halshs-01909772v1
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Continuous barrier range optionsJournal of derivatives & Hedge Funds, 2009, 15 (3), pp.215-222
Article dans une revue
halshs-00426767v1
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Sur les obligations convertibles à clause de remboursement anticipé au gré de l'émetteurFinance, 2003, 24 (1), pp.7-28
Article dans une revue
halshs-00069557v1
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Impact of retail-platform loan programs on the SC performance under CSR dependent stochastic demand8th International Conference on Information Systems, Logistics and Supply Chain Interconnected Supply Chains in an Era of Innovation, ILS 2020, Apr 2020, Austin, United States. pp.9-18
Communication dans un congrès
hal-02893481v1
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What Moves Euro-Bund Futures Contracts on Eurex? Surprises!Market Microstructure and Nonlinear Dynamics. Keeping Financial Crisis in Context, Springer International Publishing, pp.129-153, 2014, 978-3-319-05211-3. ⟨10.1007/978-3-319-05212-0_5⟩
Chapitre d'ouvrage
halshs-01075657v1
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Bond portfolio management with affine and quadratic term structure models : selection, risk management and performanceNineteenth international conference forecasting financial markets : advances for exchange rates, May 2012, Marseille, France
Communication dans un congrès
halshs-00763196v1
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Pricing and hedging american strangles with finite maturity30th International French Finance Association conference (AFFI), May 2013, Lyon, France
Communication dans un congrès
halshs-00830484v1
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Strategic management of private benefits in a contingent claim frameworkBankers Markets & Investors : an academic & professional review, 2013, 122, pp.48-56
Article dans une revue
halshs-00801221v1
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Rescheduling debt in default : the Longstaff's proposition revisited.Banque & Marchés, 2006, n° 81, pp.51-59
Article dans une revue
halshs-00078569v1
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Debt renegotiation29th spring International conference of French Finance Association, May 2012, Strasbourg, France
Communication dans un congrès
halshs-00711650v1
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How valuable is your VaR? Large sample confidence intervals for normal VaRJournal of risk management in financial institutions, 2011, 4 (2), pp.189-200
Article dans une revue
halshs-00600718v1
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Recherches et innovations en sciences de gestionPUR, 282 p., 2013
Ouvrages
halshs-00815844v1
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Trade credit contracts: Design and regulationEuropean Journal of Operational Research, 2022, 296 (3), pp.980-992. ⟨10.1016/j.ejor.2021.04.036⟩
Article dans une revue
hal-03268865v1
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A closed form solution for pricing defaultable bondsFinance Research Letters, 2003, 1 (2), pp.135-142
Article dans une revue
halshs-00010144v1
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Rescheduling of distressed debt and business risk targeting ex ante the reorganizationEuropean Financial Management Association 2007 Annual Conference, Jun 2007, Vienne, Austria. pp.30
Communication dans un congrès
halshs-00190849v1
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On the Pricing and Design of Debt-Equity Swaps for Firms in DefaultBankers Markets & Investors : an academic & professional review, 2009, 103, pp.4-13
Article dans une revue
halshs-00446896v1
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Valuing corporate liabilities when the default threshold is not an absorbing barrierDan Galai ,Zvi Wiener ,Michel Crouhy. World Scientific Reference on Contingent Claims Analysis in Corporate Finance, World Scientific Publishing Co Pte Ltd, pp.331-353, 2019, 978-9814730723
Chapitre d'ouvrage
halshs-02447227v1
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Marché de la Dette Souveraine Française : Tendances et DynamiqueSymposium "Dette publique et Policy Mix" à Nancy les 8 et 9 novembre 2023., LE CEREFIGE, LE BETA-NANCY, L’UNIVERSITE DE LORRAINE ET LA REVUE Française D’ECONOMIE, Nov 2023, Nancy, France
Communication dans un congrès
hal-04451720v1
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On Bankruptcy Procedures and the Valuation of Corporate SecuritiesFinance, 2019, 40 (3), pp.141-191. ⟨10.3917/fina.403.0141⟩
Article dans une revue
halshs-02402128v1
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La finance serait-elle devenue anormale au XXIe siècle ?Recherches et innovations en sciences de gestion, Presses universitaires de Rennes, pp.75-98, 2013
Chapitre d'ouvrage
halshs-00924308v1
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Optimal payoffs under state-dependent constraints30th International French Finance Association conference (AFFI), May 2013, Lyon, France
Communication dans un congrès
halshs-00830435v1
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Foreign exchange risk management : evidence from French non-financial firms30th International French Finance Association conference (AFFI), May 2013, Lyon, France
Communication dans un congrès
halshs-00830492v1
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Make-whole callable bonds : Covenant yield premium insightsCongrès AFFI 2009, May 2009, Brest, France. 13 p
Communication dans un congrès
halshs-00391597v1
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