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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Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty J Fouilloux, F Moraux, JL Viviani Energy Policy 82, Common factors in international bond returns revisited: The best is when bonds have some optional features! maarch
Franck Moraux – Google Scholar Citations
Quadratic term structure models: We collect a long and recent — database made of hand-collected macroeconomic news releases and median forecasts as well as prices sampled at a funance frequency. Publications in research monographs. SynthexPearson, p.
Sensitivity analysis of credit risk measures in the beta binomial framework F Moraux Journal of fixed income 19 366 We find that the gap between expected values and finally announced values matters for modeling returns and volatility.
A closed form solution for pricing defaultable bonds F Moraux Finance Research Letters 1 2, Tracking innovations in these topics is first of all just fun.
New articles related to this author’s research. How valuable is your VaR? 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.
The system can’t perform the operation now. Verified email at univ-rennes1. Journal of Computational Finance, Forthcoming Springer Finance, Springer Verlag Articles Cited by Co-authors.
Email address for updates. My profile My library Metrics Alerts. The information content is also found to be important for the Euro Bund Futures fiannce price, while the pure news release effect is key for volatility. While returns adjust almost instantaneously, volatility is impacted over several minutes up to 50 min long. Gestion des Risques dans un cadre international: 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.
Index of /franck.moraux/research
New articles by this author. I am used to explore real financial data at low and ultra- high frequencies.
More seriously derivatives are very useful to model, understand, assess, design etc. The predictive power of the French market volatility index: Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux.
The following articles are merged in Scholar. Their combined citations are counted only for the first article.
Returns and volatility behave quite differently however. This “Cited by” count includes citations to the following articles in Scholar. Working paper still in progress or submitted.
I like re- considering seemingly “simple” questions related to real-life problems that are still open and challenging. Recherche en Gestion, EconomicaChap. Moreover, the information content of U. Valuing callable convertible bonds: We emphasize the key role of information content which is the unexpected component of news or, for short, the surprise. My playing field is quite diverse, because derivatives are traded on some exchanges and available in many OTC transactions.
Large sample confidence intervals for normal VaR F Moraux Journal of risk management in financial institutions 4 2, New citations to this author. Articles 1—20 Show more. Journal of risk management in financial institutions 4 2, Business risk targeting and rescheduling of distressed debt F Moraux, P Navatte Finance 28 2, An Independent Component Analysis”, in: Recherche en Gestion, Economica, Title Cited by Year Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux.
My favorite financial securities are bonds and derivatives options, futures, CDS.