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RESEARCH PROJECTS FINANCED BY
THE EUROPLACE INSTITUTE OF FINANCE (EIF)
updated: june 8, 2008
"Model uncertainty and its impact on the pricing of derivative instruments"
[download]
Rama Cont
Mathematical Finance , Vol 16 Pages 519-542, July 2006.
"Recovering volatility from option prices by evolutionary optimization"
[download]
Rama Cont, Sana BenHamida
Journal of Computational Finance, Vol 8, Number 4, Summer 2005.
"Risque de modele et options multi-sousjacents"
[download]
Philippe Dumont et Christophe Lunven
Memoire ENSAE primé par PRMIA et AFGAP (Prix du meilleur memoire financier 2005)
"Implying default probabilities from market CDO spreads" (Working Paper, 2006)
Rama Cont & Ioana Savescu
Presenté à : Standard and poors Credit Risk Summit (New York 2006)
"Approximation of large credit portfolio losses: zero bias transformation and Steins method"
Nicole El Karoui & Ying Jiao
Presenté a: Standard and poors Credit Risk Summit (Londres 2007)
"Credit derivatives: modeling, pricing and risk management"
Livre en cours de redaction par Rama Cont (publication prevue 2008)
"Whom should we believe? Collective risk-taking decisions with heterogeneous beliefs"
[download]
Christian Gollier, University of Toulouse (LERNA and IDEI)
October 3, 2006
"Evidence of the Contribution of Legal Insider Trading to Market Efficiency"
[download]
Nihat Aktas, Université catholique de Louvain, CORE & IAG Louvain School of Management, Eric de Bodt, Université de Lille 2, ESA and Hervé Van Oppens, Université catholique de Louvain, IAG Louvain School of Management
February 06, 2007
"Equilibrium liquidity discovery: an experimental investigation"
[download]
Bruno Biais, Christophe Bisière, Sébastien Pouget, Toulouse University
February, 2007
"La localisation des activites financieres dans l'Union Europeenne"
[download]
Gunther CAPELLE-BLANCARD, EconomiX - Universite Paris X Nanterre & CNRS, Universite Paris 1 Pantheon Sorbonne, Matthieu CROZET, Universite de Reims, Universite Paris 1 Pantheon Sorbonne CEPII, Fabien TRIPIER, Universite de Nantes, EconomiX - Universite Paris X Nanterre & CNRS
20 novembre 2006
"Aggregation of heterogeneous time preferences"
[download]
Christian Gollier, University of Toulouse, Richard Zeckhauser, Harvard University
April 11, 2005
"Risk and time preferences: saver types"
[download]
Luc Arrondel and André Masson, CNRS and PSE
January, 2007
"Individual Preferences and the Distribution of Wealth"
[download]
Luc Arrondel and André Masson, CNRS and PSE
September, 2006
"First findings from the Survey of European Business Incubators"
[download]
John Gabriel Goddard and Héla Chouk, IMRI, Paris Dauphine University
25 August 2006
"Environmental policy and speculation on markets for emission permits"
[download]
Paolo Colla, Università Bocconi, Marc Germain, EQUIPPE, Universités de Lille and CORE, Université catholique de Louvain, Vincent van Steenberghe, Belgian National Fund for Scientific Research (FNRS) and CORE, Université catholique de Louvain
December 2006
"Optimism, Pessimism and Financial Markets"
[download]
Laurent Germain, Toulouse Business School, Supaero and Europlace Institute of Finance, Fabrice Rousseauz, Department of Economics, NUI Maynooth, Anne Vanhemsx, Toulouse Business School
February 28, 2007
"Ownership, control and market liquidity"
[download]
Edith Ginglinger and Jacques Hamona, DRM-Cereg, University Paris-Dauphine
June 2007
"Understanding saving and portfolio choices with predictable changes in assets returns"
[download]
Christian Gollier, University of Toulouse (LERNA and EIF)
February 27, 2007
"How to reduce the risk of executing VWAP orders? New approach to modeling intraday volume"
[download]
Jedrzej Bialkowski, Auckland University of Technology, Serge Darolles, Société Générale Asset Management AI, Center for Research in Economics and Statistics (CREST), Gaëlle Le Fol, University of Evry, Center for Research in Economics and Statistics (CREST) and Europlace Institute of Finance
November 27, 2006
"Risky Debt Dynamic, Credit Spreads and optimal Financial Policy"
[download]
Jean Claude Gabillon, Groupe de Finance ESCT, Université Toulouse III, Laurent Germain, Groupe de Finance ESCT, Monique Pontier, Laboratoire de statistiques et Probabilité, Université Toulouse III
May 2005
"Spreads de crédit et taux d'intérêt"
[download]
Jean Claude Gabillon, Université Toulouse III - Toulouse Business School
21 Septembre 2006
"Value Relevance of Comprehensive Income and Its Components: Evidence from Major European Capital Markets"
[download]
Stephen W. Lin, Florida International University and Olivier J. Ramond, Jean-François Casta, Universite of Paris Dauphine
February 2007
"Informational Cascades with Endogenous Prices: The Role of Risk Aversion"
J.P. Décamps and S. Lovo
Journal of Mathematical Economics, 42, 1, 109-120 (2006)
"Risk Aversion and Herd Behavior in Financial Markets"
J.P. Décamps and S. Lovo
The Geneva Papers on Risk and Insurance Theory, 31, 35-42. (2006)
"Switching to a Poor Business Activity: Optimal Capital Structure, Agency Costs and Covenant Rules"
J.P. Décamps and B. Djembissi
Annals of Finance, sous presse (2007)
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