Academic Publications
A Binomial-Tree Model for Convertible Bond Pricing
The Journal of Fixed Income Winter 2013, 22(3) 79 - 94
In this article, we derive a binary tree–based model for convertible bond valuation subject...
A Pricing Framework for Real Estate Derivatives
European Financial Management, Volume18, Issue5 November 2012 Pages 762-789
New methods are developed here for pricing the main real...
A New Method for Generating Approximation Algorithms for Financial Mathematics Applications
Quantitative Finance Volume 12, 2012 - Issue 10
This paper describes a new technique that can be used in financial mathematics for a...
Looking Beyond Credit Ratings: Factors Investors Consider in Pricing European Asset-Backed Securities
European Financial Management Volume18, Issue4 September 2012 Pages 515-542
In this paper, we empirically investigate what credit...
Environmental corporate social responsibility and financial performance: Disentangling direct and indirect effects
Ecological Economics, Vol. 78, June 2012.
This paper assesses the impact of environmental corporate social responsibility (ECSR...
What’s Wrong with Today’s Economics? The Current Crisis Calls for an Approach to Economics Rooted More on Data Than on Rationality
The Journal of Portfolio Management Spring 2012, 38 (3) 104 - 119
Focardi and Fabozzi argue that current mainstream economics is not a science in...
Option pricing and hedging under a stochastic volatility Lévy process model
Review of Derivatives Research, Volume 15, pages 81–97, (2012)
In this paper, we discuss a stochastic volatility model with a Lévy...
Higher-Order Durations with Respect to Inflation and Real Rates and their Portfolio Management Applications
The Journal of Fixed Income Spring 2012, 21 (4) 69 - 79
This study considers duration measures of any order with respect to inflation and real...
Approximation of Skewed and Leptokurtic Return Distributions
Applied Financial Economics Volume 22, 2012 - Issue 16
There is considerable empirical evidence that financial returns exhibit leptokurtosis and...
Performance of Socially Responsible Investment Funds against an Efficient SRI Index: The Impact of Benchmark Choice when Valuating Active Managers
Bankers, Markets & Investors, N.117 - March - April 2012
This paper conducts a performance measurement of SRI funds and assesses the impact of...
Determinants of Primary Market Spreads on U.K. Residential Mortgage-Backed Securities and the Implications for Investor Reliance on Credit Ratings
The Journal of Fixed Income Winter 2012, 21 (3) 7 - 14
We provide empirical evidence about the credit factors that affect the pricing of newly...
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
Insurance: Mathematics and Economics Volume 50, Issue 1, January 2012, Pages 85-93
With the decline in the mortality level of populations,...
Diversifying The Diversifiers And Tracking The Tracking Error: Outperformaing Cap-Weighted Indices With Limited Risk Of Underperformance
The Journal of Portfolio Management Spring 2012, 38 (3) 72 - 88
A number of quantitative or fundamental weighting schemes have been shown to...
The Changing Face of Real Estate Investment Management
The Journal of Portfolio Management Special Real Estate Issue 2011, 37 (5) 12 - 23
The real estate investment management industry has been...
Household Search Choice: Theory and Evidence
Applied Economics 43, 2011 - Issue 26
Since the work by Stigler (1961) on the economics of information in the early 1960s, economists have paid...
Metrization of Stochastic Dominance Rules
International Journal of Theoretical and Applied Finance Vol. 15, No. 02 (2012)
We consider a new approach towards stochastic dominance rules...
Selecting Prior Year’s Top Fund of Hedge Funds as This Year’s Choice
The Journal of Wealth Management Fall 2010,13 (2) 61 - 68
Can investors select winning funds of hedge funds (FOFs) by merely assuming a simple...
The Performance of Socially Responsible Investment: A Study of the French Market
Bankers, Markets & Investors, N.106 - May - June 2010
Socially responsible investment (SRI) has grown considerably since 2000 and it is now...
Corporate governance reform and firm value in Mexico: an empirical assessment
Journal of Economic Policy Reform Volume 12, 2009 - Issue 3
Based on a newly assembled firm-level data set on corporate governance and firm...
The Performance of Characteristics-based Indices
European Financial Management vol. 5, n°2, March 2009
This paper analyses a set of characteristics-based indices that, it has been argued,...
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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.
