In addition to their current research programmes on investment solutions, EDHEC-Risk research engineers and research associates have been exploring since 2001 diverse areas of financial sciences.


Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

2018

Michele Leonardo Bianchi, Frank J. Fabozzi, Svetlozar T. Rachev


A Note on the Valuation of Asset Management Firms

2017

Juha Joenväärä, Bernd Scherer


Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach

2015

Yaacov Kopeliovich, Arcady Novosyolov, Daniel Satchkov, Barry Schachter


Analysing Statistical Robustness of Cross-Sectional Volatility

2013

Felix Goltz, Lionel Martellini, Stoyan Stoyanov


Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View

2013

Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi


Multivariate Stable Distributions and Generating Densities

2013

Hassan Fallahgoul, S.M. Hashemiparast, Frank J. Fabozzi, Young Shin Kim


A Pricing Framework for Real Estate Derivatives

2012

Frank J. Fabozzi, Radu Tunaru, Robert Shiller


Executive Stock Options as a Screening Mechanism

2012

Abel Cadenillas, Jakša Cvitanic, Fernando Zapatero


Stock Return Predictability of Cross-Market Deviations in Option Prices and Credit Default Swap Spreads

2012

Georgios Angelopoulos, Daniel Giamouridis, Georgios Nikolakakis


Inferring the Value of Intangible Assets

2012

Georgios Angelopoulos, Daniel Giamouridis, Orestes Vlismas


Option pricing and hedging under a stochastic volatility Lévy process model

2012

Frank J. Fabozzi, Young Shin Kim, Zuodong Lin, Svetlozar T. Rachev


Approximation of Skewed and Leptokurtic Return Distributions

2012

Frank Fabozzi, Young Shin Kim, Svetlozar Rachev, Matthias Scherer


What do Short Sellers Know?

2012

Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang


The Changing Face of Real Estate Investment Management

2011

Jim Clayton, Frank J. Fabozzi, S. Michael Giliberto, Jacques N. Gordon, Susan Hudson-Wilson, William Hughes, Youguo Liang, Greg MacKinnon, Asieh Mansour


Metrization of Stochastic Dominance Rules

2011

Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi


A Variational Approach to Contracting under Imperfect Observations

2011

Agostino Capponi, Jakša Cvitanic, Türkay Yolcu


Limit Order Markets, High Frequency Traders and Asset Prices

2011

Jakša Cvitanic, Andrei Kirilenko


Option Pricing and Hedging in the Presence of Basis Risk

2011

Lionel Martellini, Vincent Milhau


Optimal Contracting with Effort and Misreporting

2011

Agostino Capponi, Jakša Cvitanic, Türkay Yolcu


A Post-crisis Perspective on Diversification for Risk Management

2011

Noël Amenc, Felix Goltz, Stoyan Stoyanov


Giants at the Gate: On the Cross-Section of Private Equity Investment Returns

2011

Florencio Lopez-de-Silanes, Ludovic Phalippou, Oliver Gottschalg


Risk Reduction in Style Rotation

2010

Rodrigo Dupleich, Daniel Giamouridis, Chris Montagu


A Portfolio Approach to Venture Capital Financing

2010

Pascal François, Georges Hübner


Fairness in Trading — A Microeconomic Interpretation

2009

Stephen Satchell, Bernhard Scherer


Corporate governance reform and firm value in Mexico: an empirical assessment

2009

Alberto Chonga, Jorge Guillenb, Florencio Lopez-de-Silanes


Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model

2008

Frank J. Fabozzi, Sergio Focardi, Masao Fukushima, Dashan Huang, Zudi Lu, Baimin Yu


Conditional Correlations and Real Estate Investment Trusts

2008

James Chong, Joëlle Miffre, Simon Stevenson


Empirical Properties of Straddle Returns

2008

Felix Goltz, Wan Ni Lai


Fees at Risk

2008

Bernhard Scherer


State Dependence Can Explain the Risk Aversion Puzzle

2007

Fousseni Chabi-Yo, René Garcia, Eric Renault


Hidden Liquidity in a Pure Order-Driven Market

2006

Rudy De Winne, Catherine D’Hondt


History of the Risk Concept and Risk Modeling

2004

Jean-Christophe Meyfredi


Edhec European Asset Management Practices Survey

2003

Noël Amenc, Anne Delaunay, Jean-René Giraud, Felix Goltz, Lionel Martellini


Grafting Information in Scenario Trees Application to Option Prices

2003

Michael Schyns, Yves Crama and Georges Hübner