Academic Publications
Penalizing variances for higher dependency on factors
Quantitative Finance, March 2017
Constructing equity portfolios to control for stock market volatility and unforeseen portfolio losses is critical...
Volatility Wisdom of Social Media Crowds
The Journal of Portfolio Management, Winter 2017, Vol. 43, No. 2: pp. 136-151
In this article, the authors provide new evidence on the usefulness...
Predictability dynamics of emerging sovereign CDS markets
Economics Letters, Volume 161, December 2017, Pages 5-9
We compare the time-varying weak-form efficiency of Credit Default Swap (CDS)...
Explosive rents: The real estate market dynamics in exuberance
The Quarterly Review of Economics and Finance, Volume 66, November 2017, Pages 100-107
The interaction of the trading behavior of market...
Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios
Applied Economics Letters, Volume 24, 2017 - Issue 13, Spring 2017
This article estimates the elasticity of intertemporal substitution using...
Commodity Markets, Long-Run Predictability, and Intertemporal Pricing
Review of Finance, Volume 21, Issue 3, 1 May 2017, Pages 1159-1188
This article shows that commodity portfolios that capture the backwardation and...
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
We examine the impact of the November 2012 EU ban on the naked purchasing of EU...
Exploring rating shopping for european triple a senior structured finance securities
Finance Research Letters, Volume 20, February 2017, Pages 35-39
In much of the research with respect to the use of credit ratings, the notion of...
Intensity-based framework for surrender modeling in life insurance
Insurance: Mathematics and Economics, Volume 72, January 2017, Pages 189-196
In this paper, we propose an intensity-based framework for surrender...
On the Estimation of the SABR Model's Beta Parameter
The Journal of Derivatives, Fall 2016, Vol. 24, No. 1: pp. 48-57
The stochastic-alpha-beta-rho (SABR) model has become the dominant interest rate...
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.
In this article, the authors provide a nontechnical...
Best Practices in Research for Quantitative Equity Strategies
Journal of Portfolio Management, Special QES Issue 2016, Volume 42, No. 5, pp135-143., May 2016
The authors examine the research process and...
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
In this article, we propose an alternative approach for pricing bond...
Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction
International Review of Financial Analysis, December 2016
We investigate the potential use of textual information from user-generated microblogs...
Kinetic Component Analysis
Journal of Investing, Vol. 25 Issue 3 pp. 142 - 154, Fall 2016
The authors introduce kinetic component analysis (KCA), a state-space application...
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
The majority of quasi-analytic pricing methods for...
Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion
Economics Letters, Volume 145, pp225-229, August 2016
We construct a binomial tree model fitting all moments to the approximated geometric...
Portfolio selection with conservative short-selling
Finance Research Letters, Volume 18, August 2016, Pages 363-369
Mean-variance analysis is considered the foundation of portfolio selection. Among...
The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis
Journal of Monetary Economics, Volume 81, August 2016, Pages 25-43
In a production economy with trade in financial markets motivated by the desire...
Is idiosyncratic volatility priced in commodity futures markets?
International Review of Financial Analysis, Volume 46, pp219-226, July 2016.
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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.
