Christophe Villa

Audencia Nantes School of Management

Associate Professor

8 route de la Jonelière, BP 31222

Nantes Cedex 3, Cedex 3 44312

France

http://www.audencia.com/?id=970

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 16,799

SSRN RANKINGS

Top 16,799

in Total Papers Downloads

2,829

CITATIONS
Rank 30,792

SSRN RANKINGS

Top 30,792

in Total Papers Citations

18

Scholarly Papers (7)

1.

International Market Volatility Indexes: A Study on Vx1, Vdax and VIX

Number of pages: 26 Posted: 23 May 2003
Sofiane Aboura and Christophe Villa
Université Paris XIII Nord - Department of Economics and Management and Audencia Nantes School of Management
Downloads 1,159 (17,243)
Citation 6

Abstract:

Loading...

GARCH model, Implied Volatility Index, Risk Management

2.

Common Factors in International Bond Returns Revisited: A Common Principal Component Approach

Number of pages: 41 Posted: 04 Mar 2002
Franck Moraux, Christophe Perignon and Christophe Villa
Université de Rennes I and CREM, HEC Paris - Finance Department and Audencia Nantes School of Management
Downloads 622 (41,570)
Citation 2

Abstract:

Loading...

Term Structure, Interest Rates, Factor Models, Principal Component Analysis, Common Principal Component Analysis

3.

Extracting Information from Options Markets; Smiles, State-Price Densities and Risk-Aversion

EFMA 2001 Lugano Meetings
Number of pages: 46 Posted: 01 Jun 2001
Christophe Perignon and Christophe Villa
HEC Paris - Finance Department and Audencia Nantes School of Management
Downloads 554 (48,347)
Citation 3

Abstract:

Loading...

4.

How Common are Common Return Factors Across NYSE and NASDAQ?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 27 Sep 2007 Last Revised: 14 Mar 2013
Christophe Perignon, Amit Goyal and Christophe Villa
HEC Paris - Finance Department, University of Lausanne and Audencia Nantes School of Management
Downloads 477 (58,428)
Citation 1

Abstract:

Loading...

Risk Factors

5.

Extracting Information from Options Markets: Smiles, State-Price Densities and Risk Aversion

European Financial Management, Vol. 8, pp. 495-513, 2002
Number of pages: 19 Posted: 13 Feb 2003
Christophe Perignon and Christophe Villa
HEC Paris - Finance Department and Audencia Nantes School of Management
Downloads 17 (536,500)
  • Add to Cart

Abstract:

Loading...

6.

Recent Advances in Lending to the Poor with Asymmetric Information

Galariotis E.C., Yusupov, N., and C. Villa, (2011) "Recent advances in lending to the poor with asymmetric information", Journal of Development Studies, 47, pp. 1371-1390
Posted: 21 Jan 2016
Audencia Business School , Audencia Nantes School of Management and Independent

Abstract:

Loading...

7.

The Information Content of Implied Volatility, Skewness and Kurtosis: The Empirical Evidence from Long Term CAC 40 Options

European Financial Management, Vol. 6, No. 1, March 2000
Posted: 16 May 2000
Patrick Navatte and Christophe Villa
Université de Rennes I and Audencia Nantes School of Management

Abstract:

Loading...

Implied Density Function, Smile, Volatility, Skewness, Kurtosis.