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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Index of /franck.moraux/research
Large sample confidence intervals for normal VaR F Moraux Journal of risk management in financial institutions 4 2, Business risk targeting and rescheduling of distressed debt F Moraux, P Navatte Finance 28 2, Title Cited by Year Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux. Articles Cited by Co-authors. My profile My library Metrics Alerts.
A closed form solution for pricing defaultable bonds F Moraux Finance Research Letters 1 2, I am used to explore real financial data at low and ultra- high frequencies. Publications in research monographs. Finally we provide preliminary evidences that the timing finanfe news should not be neglected and that one should take care about the negative or positive message conveyed by the information content.
Articles 1—20 Show more. Moreover, the information content of U.
Finance De Marché by Franck Moraux | Book | eBay
The best is when bonds have some optional features! How valuable is your VaR? 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. We emphasize the key role of information content which is the unexpected component of news or, fiance short, the surprise. The predictive power of the French market volatility index: The farnck 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.
New articles related to this author’s research.
This “Cited by” count includes citations to the following articles in Scholar. My favorite financial securities are bonds and derivatives options, futures, CDS.
Index of /
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. Working paper still in progress or submitted. Quadratic term structure models: More seriously derivatives are very useful to model, understand, assess, design etc.
An Independent Component Analysis”, in: Journal of Computational Finance, Forthcoming Common factors in international bond returns revisited: Returns and volatility behave quite differently however.
Valuing callable convertible bonds: SynthexPearson, p. My playing field is quite diverse, because derivatives are traded on ffanck exchanges and available in many OTC transactions. Verified email at univ-rennes1.
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, Gestion des Risques dans un cadre international: New citations to this author.
The following articles are merged in Scholar. We find that the gap between expected values and finally announced values matters for modeling returns and volatility.
Finance de marché
Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux. Franc articles by this author. Their combined citations are counted only for the first article.