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