Constantin Mellios

Université Paris I Panthéon-Sorbonne

17, rue de la Sorbonne

Paris, IL 75005

France

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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 637 (39,726)

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

Optimal Dynamic Hedging in Commodity Futures Markets with a Stochastic Convenience Yield

Number of pages: 24 Posted: 05 Mar 2008 Last Revised: 11 May 2010
Constantin Mellios and Pierre Six
Université Paris I Panthéon-Sorbonne and Neoma Business School
Downloads 395 (71,859)

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Commodity Futures Markets, Convenience Yield, Optimal Hedging Demand

Optimal Dynamic Hedging in Commodity Futures Markets with a Stochastic Convenience Yield

21st Australasian Finance and Banking Conference 2008 Paper
Posted: 25 Aug 2008 Last Revised: 12 May 2010
Constantin Mellios and Pierre Six
Université Paris I Panthéon-Sorbonne and Neoma Business School

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Commodity spot prices, futures prices, convenience yield, stochastic market prices of risk, optimal hedging demands

3.

The Traditional Hedging Model Revisited with a Non Observable Convenience Yield

22nd Australasian Finance and Banking Conference 2009
Number of pages: 38 Posted: 23 Aug 2009 Last Revised: 29 May 2011
Constantin Mellios and Pierre Six
Université Paris I Panthéon-Sorbonne and Neoma Business School
Downloads 292 (101,986)

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Partial information, hedging demand, convenience yield, commodity futures prices, market price of risk, interest rates

4.

Performance-Based Fees and Asset Allocation Under Loss-Aversion

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 23 Posted: 17 Sep 2012
Constantin Mellios
Université Paris I Panthéon-Sorbonne
Downloads 56 (362,525)

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Prospect theory, Asymmetric fees, Risky benchmark, Dynamic optimal demands

5.

The Traditional Hedging Model Revisited with a Nonobservable Convenience Yield

Financial Review, Vol. 46, Issue 4, pp. 569-593, 2011
Number of pages: 25 Posted: 08 Oct 2011
Constantin Mellios and Pierre Six
Université Paris I Panthéon-Sorbonne and Neoma Business School
Downloads 3 (616,770)
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Abstract:

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partial information, hedging demand, convenience yield, commodity futures markets, market prices of risk, interest rates, G11, G12, G13