Centre de Recherches sur la Gestion DRM - CNRS UMR 7088

Sofiane Aboura

Maître de conférences
Sofiane.Aboura@dauphine.fr

Sofiane Aboura
PhD Finance, ESSEC
Université Paris Dauphine
Place du Maréchal de Lattre de Tassigny
Paris cedex 75775 - France
sofiane.aboura@dauphine.fr
Tel : +33 +1 44 05 45 65
Fax : +33 +1 44 05 40 23

# Office Hours for students: Mondays 2 p.m.-6 p.m.

# Fields of research:
Quantitative finance, Empirical finance, Macro-finance

# Area of interest:
Risk management, Derivatives, Banking regulation, Macroeconomics

# Courses:
Derivatives, Fixed Income and Corporate Finance

# Membership:
French Finance Association
American Finance Association
French Society of Statistics

# Direction:
Master in Finance (http://master-bim.dauphine.fr)
Chair in Asset Management (Dauphine-Amundi)
Macro-Finance Policy Conference (Dauphine-Caisse des Dépôts et Consignations)

# Last working papers, publications, books and conferences:
« Disentangling crashes from tail events », 2015, forthcoming, International Journal of Finance and Economics.
« Cross-market spillovers with volatility surprise », 2014, (with J. Chevallier), Review of Financial Economics, 23, 194-207.
« Why the market's participants in the Modigliani-Miller model are Markowitz rational? », 2014, (with E. Lepinette).
« Does aggregate uncertainty explain size and value anomalies? », 2015, (with E. Arisoy).
« Cross-market volatility index with Factor-DCC », 2014, (with J. Chevallier), forthcoming, International Review of Financial Analysis.
« Option pricing under skewness and kurtosis using a Cornish Fisher expansion », 2015, (with D. Maillard).
« Volatility returns with vengeance: Financial markets vs. commodities », 2014, (with J. Chevallier), Research in International Business and Finance, 33, 334-354.
« Which effect drives the equity market during stress periods? », 2015, Annals of Economics and Statistics.
« A model of self-regulation in banking industry », 2014, (with E. Lepinette).
« Cross-market index with Factor-DCC », 2014, (with J. Chevallier), Economic Modelling, 40, 158-166.
« Do banks satisfy the Modigliani-Miller theorem ? », 2014, (with E. Lépinette).
« Volatility equicorrelation: a cross-market perspective », 2014, (with J. Chevallier), Economics Letters, 122, 289-295.
« The impact of speculation on firms' capital structure », 2014, (with E. Lepinette).
« The cross-market index for volatility surprise », 2014, (with J. Chevallier), forthcoming, Journal of Asset Management.
« Option pricing with a dynamic fat-tailed model » , 2014, (with S. Valeyre, N. Wagner),  Journal of Hedge Funds and Derivatives, 20, 131–155.
« When the U.S. stock market becomes extreme? », 2014, Risks, 2, 211-225.
« Empirical performance study of alternative option pricing models: An application to the French option market » , 2013, Journal of Stock & Forex Trading, 2, 1-10.
« An alternative model to Basel regulation », 2013, (with E. Lépinette).
« An equicorrelation measure for equity, bond, foreign exchange and commodity returns », 2013, (with J. Chevallier), Applied Economics Letters, 20, 1618-1624.
« Financial stress and economic dynamics: An application to France », 2013, (with B. van Roye).
« The Reactive volatility model », 2013, (with S. Valeyre, D. Grebenkov and Q. Liu), Quantitative Finance, 13, 1697-1706.
« Leverage vs. Feedback: Which effect drives the oil market? », 2013, (with J. Chevallier), Finance Research Letters, 10, 131-141.
« Extreme asymmetric volatility, leverage, feedback and asset prices », 2009, (with N. Wagner).
« The extreme downside risk of the S&P 500 stock index », 2009, Journal of Financial Transformations, 26, 104-107.
« Systematic credit risk : CDX index correlation and extreme dependence », Chapter 20, Financial Mathematics Series Volume 6, Chapman & Hall / CRC, Boca Raton, London, New York, 2008, (with N. Wagner).
« Testing the Fed and the Graham and Dodd models: asymmetric vs. symmetric adjustment », Applied Economics Letters, 2008, vol 15, 91-94, (with C. Boucher).
« Le marché d’options », 2008, Editions Economica.
Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, January 2014, France
Dauphine Amundi Asset Management Annual Conference, June 2013, France
Joint seminar ESSEC-SFdS-Institute of Actuaries, May 2012, France.
Midwest Finance Association Annual Meeting, March 2011, USA.
Conference on Computational and Financial Econometrics, December 2010, UK.
Market Microstructure: confronting many viewpoints, December 2010, France.
Annual Conference of the Multinational Finance Society, June 2010, Spain.
French Finance Association International Conference, May 2010/14, France.
International Financial Research Forum: Risk Dependencies, March 2010, France.
CFA Institute Conference, July 2009/10/13, USA.

# http://ssrn.com/author=101097

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