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

Index of /

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. We collect a long and recent — database made of hand-collected macroeconomic news releases and median forecasts as finanec as prices sampled at a 1-min frequency.

Returns and volatility behave quite differently however. SynthexPearson, p. Journal of Computational Finance, Forthcoming Moreover, the information content of U. Publications in research monographs.

The predictive power of the French market volatility index: An Independent Component Analysis”, in: Quadratic term structure models: Sensitivity analysis of credit risk measures in the beta binomial framework F Moraux Journal of fixed income 19 366 New citations to this author.

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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 system can’t perform the operation now. Gestion des Risques dans un cadre international: My favorite financial securities are bonds and derivatives options, futures, CDS.

Title Cited by Year Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux. I like re- considering seemingly “simple” questions related to real-life problems that are still open and challenging. The following articles are merged in Scholar.

Springer Finance, Springer Verlag Common factors in international bond returns revisited: A closed form solution for pricing defaultable bonds F Moraux Finance Research Letters 1 2, How valuable is your VaR? New articles by this author. Verified email at univ-rennes1. Tracking innovations in these topics is first of all just fun.

Finance de marché

Large sample confidence intervals for normal VaR F Moraux Journal of risk management in financial institutions 4 2, Journal of risk management in financial institutions 4 2, My profile My library Metrics Alerts.

Their combined citations are counted only for the first article.

We emphasize the key role of information content which is the unexpected component of news or, for short, the surprise.

Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty J Fouilloux, F Moraux, JL Viviani Energy Policy 82, Valuing callable convertible bonds: Articles Cited by Co-authors.

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Valuing corporate liabilities when the default threshold is not an absorbing barrier F Moraux.

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.

Working paper still in progress or submitted.

Finance De Marché by Franck Moraux | Book | eBay

While returns adjust almost instantaneously, volatility is impacted over several minutes up to 50 min long. Recherche en Gestion, EconomicaChap. The best is when bonds have some optional features!

We find that the gap between expected values and finally announced values matters for modeling returns and volatility.

Index of /franck.moraux/research

Articles 1—20 Show more. 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. My playing field is quite diverse, because derivatives are traded on some exchanges and available in many OTC transactions.