UNIVERSITÉ DE GENÈVE

• Finance

Master en Finance

• 4313054C Processus aléatoires avec application en finance: Contents

Master en Finance

• 4313056C Econométrie et méthodes empiriques en finance: Contents

Master en Finance

• 4313047C Gestion des risques: Contents

Bachelor en Gestion d'Entreprise

• 4201022CR Analyse des décisions

• Paola Pederzoli
• Adrien Treccani

RAPPELS DE PROBABILITES

• Evenements et probabilite (PDF)

ARTICLES

• Article 1 (PDF)

• Article 2 (PDF)

• Article 3 (PDF)

• Article 4 (PDF)

• Article 5 (PDF)

• Article 6 (PDF)

• Article 7 (PDF)

• Article 8 (PDF)

• Article 9 (PDF)

• Article 10 (PDF)

• Article 11 (PDF)

• Article 12 (PDF)

Econometric Theory

• "Nonparametric instrumental variable estimators of quantile structural effects", with P. Gagliardini, forthcoming in Econometrica
• "Robust subsampling", with L. Camponovo and F. Trojani, Journal of Econometrics, 167, (2012), 197-210.
• "Tikhonov regularisation for nonparametric instrumental variable estimators", with P. Gagliardini, Journal of Econometrics, 167, (2012), 61-75.
• "Testing for equality between two copulas", with B. Rémillard, Journal of Multivariate Analysis, 100, (2009), 377-386.
• "Local multiplicative bias correction for asymmetric kernel density estimators", with M. Hagmann, Journal of Econometrics, 141, (2007), 213-249.
• "Multivariate wavelet-based shape preserving estimation for dependent observations", with A. Cosma and R. von Sachs, Bernoulli, 13, (2007), 301-329.
• "A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives" with M. Denuit and A.-C. Goderniaux, Technometrics, 49, (2007), 88-99.
• "Kernel based goodness-of-fit tests for copulas with fixed smoothing parameters", Journal of Multivariate Analysis, 98, (2007), 533-543.
• "A fast subsampling method for nonlinear dynamic models", with H. Hong, Journal of Econometrics, 133, (2006), 557-578.
• "A Kolmogorov-Smirnov type test for positive quadrant dependence ", Canadian Journal of Statistics, 33, (2005), 415-427.
• "Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data", with T. Bouezmarni, Econometric Theory, 21, (2005), 390-412. Abstract
• "Density estimation using inverse and reciprocal inverse Gaussian kernels", Journal of Nonparametric Statistics, 16, (2004), 217-226.
• "Indirect inference, nuisance parameter and threshold moving average models" with A. Guay, Journal of Business and Economic Statistics, 21, (2003), 122-132.
• "Instrumental models and indirect encompassing" with G. Dhaene and C. Gouriéroux, Econometrica, 66, (1998), 673-688. Abstract
• "Quasi indirect inference for diffusion processes" with L. Broze and J.M. Zakoïan, Econometric Theory, 14, (1998), 161-186.
• "Estimation d'équations de diffusion à partir d'observations discrètes et de méthodes fondées sur des simulations" with L. Broze and J.M. Zakoian, Mélanges en l'honneur de Simone Huyberechts, Cahiers du CERO, Vol. 36, (1994), 43-55.

Econometrics applied to Finance and Insurance

• "Technical trading revisited: persistence tests, transaction costs, and false discoveries" with P. Bajgrowicz, forthcoming in Journal of Financial Economics.
• "False discoveries in mutual fund performance: Measuring luck in estimated alphas" with L. Barras and R. Wermers, Journal of Finance, 65, (2010), 179-216, Banque Privée Espirito Santo Award Prize 2008.
• "Testing for stochastic dominance efficiency" with N. Topaloglou, Journal of Business and Economic Statistics, 28, (2010), 169-180.
• "Testing for threshold effect in ARFIMA models: Application to US unemployment rate data" with A. Lahiani, International Journal of Forecasting, 25, (2009), 418-428.
• "Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data" with P. Huber and Maria-Pia Victoria-Feser, Annals of Applied Statistics, 3, (2009), 249-271.
• "Local transformation kernel density estimation of loss distributions", with J. Gustafsonn, M. Hagmann and J.P Nielsen, Journal of Business and Economic Statistics, 27, (2009), 161-175.
• "Business and financial indicators: what are the determinants of default probability changes?" with F. Couderc and O. Renault, in Credit Risk: Models, Derivatives, and Management, Chapman & Hall, Financial Mathematics Series, (2008), 235-268.
• "The estimation of copulas: theory and practice" with A. Charpentier and J.-D. Fermanian, Copulas: From theory to application in finance, Ed: Rank J., Risk Publications, London, (2007), Section 2.
• "Estimation of recovery rate densities: non-parametric and semi-parametric approaches versus industry practice" with M. Hagmann and O. Renault, Recovery Risk: The Next Challenge in Credit Risk Management, Eds: Resti, A., Sironi, A., Altman E., Risk Publications, London, (2005), 323-346.
• "Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements" with J.D. Fermanian, Journal of Banking and Finance, 29, (2005), 927-958.
• "Some statistical pitfalls in copula modeling for financial applications" with J.D. Fermanian, in Capital Formation, Governance and Banking, Nova Science Publishers (2005), 57-72.
• "Nonparametric estimation of conditional expected shortfall", Revue Assurances et Gestion des Risques/Insurance and Risk Management Journal, 74, (2005), 639-660.
• "Non parametric tests for positive quadrant dependence" with M. Denuit, Journal of Financial Econometrics, 2, (2004), 422-450.
• "On the way to recovery: A nonparametric bias free estimation of recovery rate densities" with O. Renault, Journal of Banking and Finance, 28, (2004), 2915-2931.
• "Testing for concordance ordering", with A. Cebrian and M. Denuit, Astin Bulletin, 34, (2004), 151-173.
• "Option pricing with discrete rebalancing", with J.L. Prigent and O. Renault, Journal of Empirical Finance, 11, (2004), 133-161.
• "Nonparametric estimation and sensitivity analysis of expected shortfall", Mathematical Finance, 14, (2004), 115-129. Abstract
• "The origin and development of VaR", in Modern Risk Management: A History, 15th Anniversary of Risk Magazine, Risk Publications, London, (2003), 151-158.
• "Nonparametric estimation of copulas for time series", with J.D. Fermanian, Journal of Risk, 5, (2003), 25-54.
• "A nonparametric analysis of stock index return dependence through bivariate copulas", European Investment Review, 1, (2002), 7-16.
• "The dynamics of US credit spread indices", with O. Renault, European Investment Review, 1, (2002), 45-49.
• "An empirical investigation in credit spread indices" with J.L. Prigent and O. Renault, Journal of Risk, 3, (2001), 27-55.
• "Sensitivity analysis of Values at Risk", with C. Gouriéroux and J.P. Laurent, Journal of Empirical Finance, Bi-Annual Award Winning Paper of Best Paper published in JEF, 7, (2000), 225-245.
• "Multiregime term structure models" with C. Gouriéroux, Finance, 19, (1998), 71-92.
• "Analyse empirique de la théorie des anticipations de la structure par terme des taux d'intérêt", Bulletin du Service d'Analyse Economique de l'IRES, Janvier, (1998), 101-127.
• "A new index of Belgian shares" with R. Anderson and D. Reinard, Revue de la Banque, 3, (1998), 126-130.
• "Unemployment insurance and mortgages" with C. Gouriéroux, Insurance : Mathematics and Economics, 20, (1997), 173-195.
• "Comparaison de la rentabilité historique de l'immobilier, des actions, des obligations et du monétaire" with T. de Roquemaurel, Banque et Marchés, 28, (1997), 16-20.
• "Estimation de modèles de la structure par terme des taux d'intérêt" with L. Broze and J.M. Zakoian, Revue Economique, XLIV Congrès de l'AFSE, Vol. 47, N° 3, (1996), 511-519.
• "Testing for continuous-time models of the short-term interest rate" with L. Broze and J.M. Zakoian, Journal of Empirical Finance, Vol. 2, (1995), 199-223.

Derivative Pricing

• "Pricing American options under stochastic volatility and stochastic interest rates, with A. Medvedev, Journal of Financial Economics, 98, (2010), 145-159. .
• "A primer on weather derivatives", with P. Barrieu, Handbook on Uncertainty and Environmental Decision Making, International Series in Operations Research and Management Science, Springer Verlag, (2008).
• "CMS spread options", with S. Galluccio, Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd, (2008).
• "Swap market models", with S. Galluccio, Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd, (2008).
• "Linear-quadratic jump-diffusion modelling", with P. Cheng, Mathematical Finance, 17, (2007), 575-598.
• "Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility", with A. Medvedev, Review of Financial Studies, 20, (2007), 427-459.
• "Theory and calibration of Swap Market Models", with S. Galluccio, Z. Huang and J.-M. Ly, Mathematical Finance,17, (2007), 111-141.
• "An autoregressive conditional binomial option pricing model" with J.L. Prigent and O. Renault, in Selected Papers from the First World Congress of the Bachelier Finance Society, eds. Geman, Madan, Pliska and Vorst, Springer Verlag, Heidelberg, (2001), Inquire UK prize 2001.
• "Convergence of discrete time option pricing models under stochastic interest rates", with J.P. Lesne and J.L. Prigent, Finance and Stochastics, 4, (2000), 81-93.
• "A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary", with B. Leblanc and O. Renault, Finance and Stochastics, 4, (2000), 109-111.
• "Lookback and barrier options: A comparison between Black-Scholes and ACB pricing" with J.L. Prigent and O. Renault, Finance, 20, (1999), 143-152.
• "Path dependent options on yields in the affine term structure model", with B. Leblanc, Finance and Stochastics, 2, (1998), 349-367.
• "Compound and exchange options in the affine term structure model", Applied Mathematical Finance, Vol. 3, (1996), 75-92.
• "Options on futures and forward contracts in the affine term structure model", with B. Leblanc, Advances in Futures and Options Research, Vol. 8, (1995), 241-261.

Asset Allocation

• "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases", with P. Battocchio and F. Menoncin, Annals of Operations Research, 142, (2007), 141-165.
• "Optimal asset management for pension funds", with F. Menoncin, Managerial Finance, Vol. 32, (2006), 347-374.