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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Journal of Computational Finance, Forthcoming New articles by this author.

While returns adjust almost instantaneously, volatility is impacted over several minutes up to 50 min long. We collect a long and recent — database made of hand-collected macroeconomic news releases and median forecasts as well as prices sampled at a 1-min frequency.

Franck Moraux – Google Scholar Citations

Journal of risk management in financial institutions 4 2, Moreover, the information content of U. Large sample confidence intervals for normal VaR F Moraux Journal of risk management in financial institutions 4 2, Recherche en Gestion, EconomicaChap.

My profile My library Metrics Alerts. Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty J Fouilloux, F Moraux, JL Viviani Energy Policy 82, I am used to explore real financial data at low and ultra- high frequencies. The predictive power of the French market volatility index: Springer Finance, Springer Verlag Their combined citations are counted only for the first article.

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Finance de marché : FRANCK MORAUX :

SynthexPearson, finnace. Sensitivity analysis fihance credit risk measures in the beta binomial framework F Moraux Journal of fixed income 19 366 Working paper still in progress or submitted. Business risk targeting and rescheduling of distressed debt F Moraux, P Navatte Finance 28 2, Publications in research monographs.

More seriously derivatives are very useful to model, understand, assess, design etc. Quadratic term structure models: Title Cited by Year Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux. My playing field is quite diverse, because derivatives are traded on some exchanges and available in many OTC transactions.

The following articles are merged in Scholar. How valuable is your VaR?

Finance De Marché by Franck Moraux | Book

The best is when bonds have some optional features! This “Cited by” count includes citations to the following articles mlraux Scholar. 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.

We find that the gap between expected values and finally announced values matters for modeling returns and volatility. An Independent Component Analysis”, in: Articles 1—20 Show more. A closed form solution for pricing defaultable bonds F Moraux Finance Research Letters 1 2, Email address for updates.

Valuing callable convertible bonds: Tracking innovations in these topics is first of all just fun. I like re- considering seemingly “simple” questions morxux to real-life problems that are still open and challenging.

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Index of /franck.moraux/research

moarux New citations to this author. My favorite financial securities are bonds and derivatives options, futures, CDS. Gestion des Risques dans un cadre international: The system can’t perform the operation now. Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux.

Recherche en Gestion, Economica, Verified email at univ-rennes1. The information content is also found to be important for the Euro Bund Futures next price, while the pure news release effect is key for volatility. Articles Cited by Co-authors.

Common factors in international bond returns revisited: 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.

Returns and volatility behave quite differently however. New articles related to this author’s research. We emphasize the key role of information content which is the unexpected component of news or, for short, the surprise.