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Fixed-income securities : valuation, risk management and portfolio strategies

Martellini, Lionel; Priaulet, Philippe; Priaulet, Stéphane - 2003

Persistent link: https://www.econbiz.de/10001747338

Competing methods for option hedging in the presence of transaction cost

Martellini, Lionel; Priaulet, Philippe - In: The journal of derivatives : the official publication … 9 (2002) 3, pp. 26-38

Persistent link: https://www.econbiz.de/10001708435

Dynamic asset pricing theory with uncertain time-horizon

Blanchet-Scalliet, Christophette; El Karoui, Nicole; … - In: Journal of economic dynamics & control 29 (2005) 10, pp. 1737-1764

Persistent link: https://www.econbiz.de/10003128383

Hedging interest-rate risk with term-structure factor models

Martellini, Lionel; Priaulet, Philippe; Fabozzi, Frank J. - In: The handbook of fixed income securities, (pp. 967-985). 2005

Persistent link: https://www.econbiz.de/10003055173

Predictability in the shape of the term structure of interest rates

Fabozzi, Frank J.; Martellini, Lionel; Priaulet, Philippe - In: The journal of fixed income 15 (2005) 1, pp. 40-53

Persistent link: https://www.econbiz.de/10003018774

On the valuation and incentive effects of executive cash bonus contracts

Martellini, Lionel (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002386997

CUTTING EDGE: HEDGEFUNDS Optimal allocation to hedgefunds - The authors argue that it is only by taking into account the exact nature and composition of their existing portfolio that institutional investors can maximise the benefits they can expect from investing in hedge funds. To this end, they introduce suitably designed measures of the contribution of various hedge fund strategies to the risk ...

Martellini, Lionel; Vaissié, Mathieu - In: Risk : managing risk in the world's financial markets 19 (2006) 3, pp. 76-81

Persistent link: https://www.econbiz.de/10007221918

PREDICTABILITY IN THE SHAPE OF THE TERM STRUCTURE OF INTEREST RATES

Fabozzi, Frank J.; Martellini, Lionel; Priaulet, Philippe - In: The journal of fixed income 15 (2005) 1, pp. 40-53

Persistent link: https://www.econbiz.de/10007149132

Using Index Options to Improve the Performance of Dynamic Asset Allocation Strategies

Amnec, Noel; Martellini, Lionel; Malaise, Philippe; … - In: Economic & financial computing : a journal of the … 14 (2004) 4, pp. 153-154

Persistent link: https://www.econbiz.de/10007150926

Idiosyncratic Risk and the Cross-Section of Realized Returns : Reconciling the Aggregate Returns’ Predictability Evidence

Mantilla-Garcia, Daniel - 2010

Whether idiosyncratic volatility has increased over time and whether it is a good predictor of future returns is a matter of active debate. We show formally through central limit arguments that there is a direct relationship between the dynamics of the cross-sectional variance of realized...

Persistent link: https://www.econbiz.de/10013146647