FINANCE DE MARCH FRANCK MORAUX PDF

Franck Moraux est professeur de finance à l’université de Rennes 1 et directeur délégué à la recherche de l’IGR-IAE de Rennes. Ses activités d’enseignement. Follow. Franck Moraux. Université 58, On cumulative Parisian options. F Moraux. FINANCE-PARIS- 23, , Finance de marché. F Moraux. フォロー. Franck Moraux. Université 58, On cumulative Parisian options. F Moraux. FINANCE-PARIS- 23, , Finance de marché. F Moraux.

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Their combined citations are counted only for the first article. Springer Finance, Springer Verlag Email address for updates. More seriously derivatives are very useful to model, understand, assess, design etc.

An Independent Component Analysis”, in: Morahx am used to explore real financial data at low and ultra- high frequencies. Valuing callable convertible bonds: Articles Cited by Co-authors.

Marxh corporate liabilities when the default threshold is not an absorbing barrier F Moraux. Moreover, the information content of Finaance.

Returns and volatility behave quite differently however. I like re- considering seemingly “simple” questions related to real-life problems that are still open and challenging.

The understanding of the uses, hedging strategies, valuation models and empirical properties of real data related to derivatives or bonds are key to capture the whole picture. The following articles are merged in Scholar.

My favorite financial securities are bonds and derivatives options, futures, CDS. A closed form solution for pricing defaultable bonds F Moraux Finance Research Letters 1 2, Articles 1—20 Show more.

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Finance de marché

ve Sensitivity analysis of credit risk measures in the beta binomial framework F Moraux Journal of fixed income 19 366 New citations to this author. We find that the gap between expected values and finally announced values matters for modeling returns and volatility. Quadratic term structure models: Recherche en Gestion, EconomicaChap.

Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty J Fouilloux, F Moraux, JL Viviani Energy Policy moraaux, The information content is also found to be important for the Euro Bund Futures frandk price, while the pure news release effect is key for volatility.

This “Cited by” count includes citations to the fdanck articles in Scholar. The predictive power of the French market volatility index: Publications in research monographs. New articles related to this author’s research. Large sample confidence intervals for normal VaR F Moraux Journal of risk management in financial institutions 4 2, My playing field is quite diverse, because derivatives are traded on some exchanges and available in many OTC transactions.

My profile My library Metrics Alerts. Tracking innovations in these topics is first of all just fun. Verified email at univ-rennes1.

Index of /franck.moraux/research

Recherche en Gestion, Economica, We emphasize the key role of information content which is the unexpected component of news or, for short, the surprise. Journal of Computational Finance, Forthcoming SynthexPearson, p.

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We collect a long and recent — database made of hand-collected macroeconomic news releases and median forecasts as well as prices franco at a 1-min frequency. How valuable is your VaR? Title Cited by Year Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux. New articles by this author.

Finally we provide preliminary evidences that the timing of news should not be neglected and that one should take care about the negative or positive message conveyed by the information content.

Business risk targeting and rescheduling of noraux debt F Moraux, P Navatte Finance 28 2, Gestion des Risques dans un cadre international: Common factors in international bond returns revisited: The system can’t perform the operation now.

Index of /

Working paper still in progress or submitted. The best is when bonds have some ifnance features! While returns adjust almost instantaneously, volatility is impacted over several minutes up to 50 min long. Journal of risk management in financial institutions 4 2,