FINANCE DE MARCH FRANCK MORAUX PDF

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! Publications in research monographs. SynthexPearson, p. Sensitivity analysis of credit risk measures in the beta binomial framework F Moraux Journal of fixed income 19 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.

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Zulkigul New citations to this author. Sensitivity analysis of credit risk measures in the beta binomial framework F Moraux Journal of fixed income 19 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.

More seriously derivatives are very useful to model, understand, assess, design etc. A closed form solution for pricing defaultable bonds F Moraux Finance Research Letters 1 2, We emphasize the key role of information content which is the unexpected component of news or, for short, the surprise. Tracking innovations in these topics is first of all just fun. Large sample confidence intervals for normal VaR F Moraux Journal of risk management in financial institutions 4 2, Common factors in international bond returns revisited: Articles Cited by Co-authors.

I am used to explore real financial data at low and ultra- high frequencies. Articles 1—20 Show more. The best is when bonds have some optional features! Journal of Computational Finance, Forthcoming Their combined citations are counted only for the first article. Journal flnance risk management in financial institutions 4 2, How valuable is your VaR? Quadratic term structure models: 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.

My playing field is quite diverse, because derivatives are traded on some exchanges and available in many OTC transactions. While returns adjust almost instantaneously, volatility is impacted over several minutes up to 50 min long.

Recherche en Gestion, EconomicaChap. Title Cited by Year Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux. We find that the gap between expected values and finally announced values matters for modeling returns and volatility. Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux. New articles by this author. TOP Related Posts.

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FINANCE DE MARCH FRANCK MORAUX PDF

Zulkigul New citations to this author. Sensitivity analysis of credit risk measures in the beta binomial framework F Moraux Journal of fixed income 19 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. More seriously derivatives are very useful to model, understand, assess, design etc. A closed form solution for pricing defaultable bonds F Moraux Finance Research Letters 1 2, We emphasize the key role of information content which is the unexpected component of news or, for short, the surprise. Tracking innovations in these topics is first of all just fun.

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Kile Their combined citations are counted only for the first article. Springer Finance, Springer Verlag Email address for updates. More seriously derivatives are very useful to model, understand, assess, design etc. Valuing callable convertible bonds: Articles Cited by Co-authors.

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