Franck Moraux est professeur de finance à l’université de Rennes 1 et directeur délégué à la recherche de l’IGR-IAE de Rennes. Ses activités d’enseignement. Follow. Franck Moraux. Université 58, On cumulative Parisian options. F Moraux. FINANCE-PARIS- 23, , Finance de marché. F Moraux. フォロー. Franck Moraux. Université 58, On cumulative Parisian options. F Moraux. FINANCE-PARIS- 23, , Finance de marché. F Moraux.
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Finance De Marché by Franck Moraux | Book
Working paper still in progress or submitted. Publications in research monographs.
My favorite financial securities are bonds and derivatives options, futures, CDS. My playing field is quite diverse, because derivatives are traded on some exchanges and available in many OTC transactions. The best is when bonds have some optional features!
Index of /franck.moraux/research
Tracking innovations in these topics is first of all just fun. More seriously derivatives are very useful to model, understand, assess, design etc.
The understanding of the uses, hedging strategies, valuation models and empirical properties of real data related to derivatives or bonds are key to capture the whole picture. I am used to explore real financial data at low and ultra- high frequencies. I like re- considering seemingly “simple” questions related to real-life problems moraaux are still open and challenging.
We emphasize the key role of information content which is the unexpected component of news or, for short, the surprise. We collect a long and recent — database made of hand-collected macroeconomic news releases and median forecasts as well as prices sampled at a 1-min frequency.
Finance de marché : FRANCK MORAUX :
We find that the gap between expected values and finally announced values matters for modeling returns and volatility. Moreover, the information content of U.
Returns and volatility behave quite differently however. While returns adjust almost instantaneously, volatility is impacted over several minutes up to 50 min long. The information content is also found to be important for the Euro Bund Futures next price, while the pure news release effect is key for volatility.
Finally we provide preliminary evidences that the timing of news should not be neglected and that one should take care about the negative or positive message conveyed by the information content. An Independent Component Analysis”, in: Springer Finance, Springer Verlag Recherche en Gestion, Economica, Gestion des Risques dans un cadre international: Recherche en Gestion, EconomicaChap. SynthexPearson, p.