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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New citations to this author. Sensitivity analysis of credit risk measures in the beta binomial framework F Moraux Journal of fixed income 19 366 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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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.

Franck Moraux – Google Scholar Citations

Business risk targeting and rescheduling of distressed debt F Moraux, P Navatte Finance 28 2, My favorite financial securities are bonds and derivatives options, futures, CDS.

Gestion des Risques dans un cadre international: I like re- considering seemingly “simple” questions morsux to real-life problems that are still open and challenging.

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!

An Independent Mrach Analysis”, in: Verified email at univ-rennes1. 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.

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Finance De Marché by Franck Moraux | Book

Valuing callable convertible bonds: Moreover, the information content of U. My playing field is quite diverse, because derivatives are traded on some exchanges and available in many OTC transactions.

This “Cited by” count includes citations to the following articles in Scholar. 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.

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