CHIBANE Messaoud
PhD, Sciences de Gestion, Finance
Finance
PhD, Sciences de Gestion, Finance
Messaoud CHIBANE est le directeur du MSc Finance & Big Data et professeur assistant en Finance. Il enseigne la finance digitale, la finance durable, l'évaluation des produits dérivés et la finance quantitative dans le programme grandes écoles ainsi qu’en formation continue. Ses recherches portent sur l’évaluation des actifs financier et ??des produits dérivés, les marchés financiers, les crypto-monnaies, la Fintech et les méthodes numériques. Ses recherches ont été publiées dans de nombreuses revues telles que le magazine Risk et le Wilmott Journal.
Domaines de spécialisation
- Cryptomonnaies
- Choix de portefeuille
- Tarification des actifs basée sur la consommation
- Evaluation d'option exotique
- Investissement socialement responsable
Récentes contributions académiques
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CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle?", Applied Economics, Juin 2022
DOI : 10.1080/00036846.2022.2092053 -
CHIBANE, M., G. GIMENEZ ROCHE, A. GABRIEL, "Contents Credit booms and crisis-emergent asset comovement: The problem of latent correlation", Quarterly Review of Economics and Finance, 2022
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YOUSSEF , M., B. B. NAOUA, F. BEN ABDELAZIZ, M. CHIBANE, "Portfolio selection: should investors include crypto-assets? A multiobjective approach", International Transactions in Operational Research, Août 2022
DOI : 10.1111/itor.13203
Academic Journals
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CHIBANE, M., G. GIMENEZ ROCHE, A. GABRIEL, "Contents Credit booms and crisis-emergent asset comovement: The problem of latent correlation", Quarterly Review of Economics and Finance, 2022
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CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle?", Applied Economics, Juin 2022
DOI : 10.1080/00036846.2022.2092053 -
YOUSSEF , M., B. B. NAOUA, F. BEN ABDELAZIZ, M. CHIBANE, "Portfolio selection: should investors include crypto-assets? A multiobjective approach", International Transactions in Operational Research, Août 2022
DOI : 10.1111/itor.13203 -
CHIBANE, M., A.GABRIEL, G.GIMENEZ ROCHE, "Malinvestment and Crisis-Emergent Asset Comovement: The Problem of Latent Correlation", SSRN Electronic Journal, Juin 2020
DOI : 10.2139/ssrn.3593751 -
CHIBANE, M., H.MIAO, G.SHELDON, "Accurate Pricing of Continuous Barrier Options With Local Volatility", Wilmott, Novembre 2012, vol. 2012, no. 62, pp. 74-81
DOI : 10.1002/wilm.10168 -
CHIBANE, M., H.MIAO, C.XU, "Sensible Sensitivities for the SABR Model", Wilmott Journal, Février 2011, vol. 3, no. 1, pp. 25-38
DOI : 10.1002/wilj.46
Book chapter
- CHIBANE, M., J.SELVARAJ, G.SHELDON, "Building Curves on a Good Basis" dans Interest Rate Modelling after the Financial Crisis., Massimo Morini and Marco Bianchetti Ed., Incisive Media Investments Limited, pp. 283-310, 2013
- CHIBANE, M., Y.-C.HUANG, J.SELVARAJ, "Taking Collateral Into Account" dans Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges., Carsten Wehn, Christian Hoppe , Greg N. Gregoriou Eds, Elsevier, pp. 13-26, 2012
Academic conferences
- JANSON, N., M.CHIBANE, "Do Bitcoin Stylized Facts Depend On Geopolitical Risk ?" dans Souther Economic Association, 2019, Fort Lauderdale, FL, États-Unis
- CHIBANE, M., N.JANSON, "Do Bitcoin Stylized Facts Depend On Geopolitical Risk ?," dans The International Finance and Banking Society (IFABS) Conference, 2019, Angers, France
- CHIBANE, M., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" dans International Finance and Banking Society (IFABS), 2019, Angers, France
- CHIBANE, M., "Asset Pricing with Heterogeneous Disaster Beliefs" dans Financial Engineering and Banking Society, 2019
- CHIBANE, M., S. OUZAN, "Value Bubbles" dans The International Finance and Banking Society (IFABS) Conferences, 2018, Porto, Portugal
- CHIBANE, M., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" dans French Finance Association (AFFI), 2017