Academic Publications
Predictability dynamics of emerging sovereign CDS markets
Economics Letters, Volume 161, December 2017, Pages 5-9
Explosive rents: The real estate market dynamics in exuberance
The Quarterly Review of Economics and Finance, Volume 66, November 2017, Pages 100-107
Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios
Applied Economics Letters, Volume 24, 2017 - Issue 13, Spring 2017
Commodity Markets, Long-Run Predictability, and Intertemporal Pricing
Review of Finance, Volume 21, Issue 3, 1 May 2017, Pages 1159-1188
An Examination of the Impact of the EU Ban on Naked Purchases of Sovereign Credit Default Swaps
Bankers, Markets & Investors, N.147 - Mars Avril 2017
Exploring rating shopping for european triple a senior structured finance securities
Finance Research Letters, Volume 20, February 2017, Pages 35-39
Intensity-based framework for surrender modeling in life insurance
Insurance: Mathematics and Economics, Volume 72, January 2017, Pages 189-196
On the Estimation of the SABR Model's Beta Parameter
The Journal of Derivatives, Fall 2016, Vol. 24, No. 1: pp. 48-57
Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management
Journal of Portfolio Management, Special QES Issue 2016, Volume 42, No. 5, pp94-106.
Best Practices in Research for Quantitative Equity Strategies
Journal of Portfolio Management, Special QES Issue 2016, Volume 42, No. 5, pp135-143., May 2016
Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Model
The Journal of Fixed Income, Vol. 27, No. 2: pp. 30-36, September 2017
Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction
International Review of Financial Analysis, December 2016
Kinetic Component Analysis
Journal of Investing, Vol. 25 Issue 3 pp. 142 - 154, Fall 2016
An improved method for pricing and hedging long dated American options
European Journal of Operational Research, Volume 254, Issue 2, 16 October 2016, Pages 656-666
Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion
Economics Letters, Volume 145, pp225-229, August 2016.
Portfolio selection with conservative short-selling
Finance Research Letters, Volume 18, August 2016, Pages 363-369
The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis
Journal of Monetary Economics, Volume 81, August 2016, Pages 25-43
On stability of operational risk estimates by LDA: From causes to approaches
Journal of Banking and Finance, Volume 68, July 2016, pp266-287.
Is idiosyncratic volatility priced in commodity futures markets?
International Review of Financial Analysis, Volume 46, pp219-226, July 2016.
Factor decomposition of the Eurozone sovereign CDS spreads
Journal of International Money and Finance, Volume 65, July 2016, pp1-23.
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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
