Sami Attaoui

NEOMA Business School

Boulevard André Siegfried - BP 215

Mont Saint Aignan, 76825

France

SCHOLARLY PAPERS

9

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CITATIONS

1

Scholarly Papers (9)

1.

Calendar Spreads, Risk Premium and the Convenience Yield

Number of pages: 16 Posted: 29 Jul 2009
Sami Attaoui, Constantin Mellios and Pierre Six
NEOMA Business School, Université Paris I Panthéon-Sorbonne and Neoma Business School
Downloads 535 (36,846)
Citation 1

Abstract:

commodity futures markets, convenience yield, calendar spread, investment, Samuelson hypothesis, commodity futures prices correlation, market prices of risk

2.
Downloads 280 ( 91,178)

The Bond-Stock Mix: A New Insight

Number of pages: 28 Posted: 18 Jan 2010 Last Revised: 09 Oct 2010
Sami Attaoui and Pierre Six
NEOMA Business School and Neoma Business School
Downloads 191 (133,753)

Abstract:

Bond-stock mix, consumption, risk aversion, investment horizon, wealth

The Bond-Stock Mix: A New Insight

International Conference of the French Finance Association (AFFI), 11-13 May 2011
Number of pages: 35 Posted: 16 May 2011 Last Revised: 30 Jan 2012
Sami Attaoui and Pierre Six
NEOMA Business School and Neoma Business School
Downloads 89 (246,044)

Abstract:

Bond-stock mix, pension funds, consumption, bequest, risk aversion, investment horizon

3.

A Partial Equilibrium Model for the Convenience Yield Risk Premium

Number of pages: 27 Posted: 17 Sep 2010 Last Revised: 23 May 2011
Sami Attaoui, Vincent Lacoste and Pierre Six
NEOMA Business School, Groupe ESC Rouen and Neoma Business School
Downloads 199 (128,374)

Abstract:

Convenience Yield, Risk Premium, Commodity Futures Markets, Commodity Risk Management, Commodity Derivatives Pricing, Samuelson Effect

4.

Interest Rate Risk Hedging Demand Under a Gaussian Framework

Number of pages: 9 Posted: 06 Feb 2010
Sami Attaoui and Pierre Six
NEOMA Business School and Neoma Business School
Downloads 120 (198,224)

Abstract:

Merton-Breeden hedging demand, interest rate risk, expected utility maximization, intermediate consumption, terminal wealth

5.

Optimal Capital and Debt Structures with Loss-Absorbing Debts

Number of pages: 47 Posted: 24 Oct 2013
Sami Attaoui and Patrice Poncet
NEOMA Business School and ESSEC Business School
Downloads 63 (260,961)

Abstract:

Capital structure, Debt structure, Contingent convertible bonds, Write-down debt, Credit event, Liquidity risk, Solvency risk

6.

Hedging Demand for Bequest Motives

Number of pages: 11 Posted: 15 Feb 2012
Sami Attaoui and Pierre Six
NEOMA Business School and Neoma Business School
Downloads 35 (375,499)

Abstract:

Bequest Motive, Hedging Demand, Dynamic Opportunity Set, Wealth Certainty Equivalent, Risk Aversion

7.

Capital Structure and Debt Priority

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Posted: 13 Oct 2011 Last Revised: 14 May 2012
Sami Attaoui and Patrice Poncet
NEOMA Business School and ESSEC Business School

Abstract:

Capital structure, Debt priority structure, Liquidation, Default probability, Credit spread

8.

Commodity Derivatives Pricing with an Endogenous Convenience Yield Market Price of Risk

Posted: 09 Nov 2008 Last Revised: 17 Sep 2010
Sami Attaoui and Pierre Six
NEOMA Business School and Neoma Business School

Abstract:

Commodities, convenience yield, market price of risk, futures, options

9.

A Jump-Diffusion Nominal Short Rate Model

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Posted: 13 Oct 2008 Last Revised: 03 Apr 2012
Sami Attaoui and Pierre Six
NEOMA Business School and Neoma Business School

Abstract:

E31, E43, G12