Pierre Six

Neoma Business School

1, rue du Maréchal Juin - BP 188

Mont Saint Aignan Cedex, Normandy 76825

France

SCHOLARLY PAPERS

15

DOWNLOADS
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Top 14,296

in Total Papers Downloads

2,664

CITATIONS

2

Scholarly Papers (15)

1.

Calendar Spreads, Risk Premium and the Convenience Yield

Number of pages: 16 Posted: 29 Jul 2009
NEOMA Business School, Université Paris I Panthéon-Sorbonne and Neoma Business School
Downloads 535 (35,985)
Citation 1

Abstract:

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 386 (60,148)
Citation 1

Abstract:

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

Abstract:

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 290 (84,347)

Abstract:

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

4.
Downloads 280 ( 87,699)

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 (129,008)

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 (237,716)

Abstract:

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

5.

Dynamic Strategies When Consumption and Wealth Risk Aversions Differ

Number of pages: 23 Posted: 10 Nov 2008 Last Revised: 11 Aug 2010
Pierre Six
Neoma Business School
Downloads 247 (99,501)

Abstract:

risk aversion, dynamic asset allocation, Merton-Breeden hedging demand, consumption-wealth ratio, wealth elasticity of consumption, consumption, consumption, wealth

6.

Strategic Commodity Allocation and The Theory of Storage

Number of pages: 33 Posted: 16 Sep 2011 Last Revised: 12 Apr 2012
Pierre Six
Neoma Business School
Downloads 199 (104,741)

Abstract:

Commodity investment, Commodity portfolio management, Asset Allocation, Commodity risk premium, Theory of storage

7.

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 (123,799)

Abstract:

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

8.

On The Shape of Risk Aversion and Asset Allocation

Number of pages: 29 Posted: 29 Mar 2011 Last Revised: 12 Sep 2011
Pierre Six
Neoma Business School
Downloads 136 (172,522)

Abstract:

Risk Aversion, Asset Allocation, Mean-Reversion, Wealth, Options

9.

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 (191,399)

Abstract:

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

10.

Correlation as a Pricing Factor for Oil Derivatives

Number of pages: 11 Posted: 21 Jul 2012
Pierre Six
Neoma Business School
Downloads 68 (263,966)

Abstract:

oil, dynamic correlation, convenience yield, heteroskedasticity

11.

On the Shape of Risk Aversion and Asset Allocation

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 30 Posted: 26 Aug 2012
Pierre Six
Neoma Business School
Downloads 53 (283,481)

Abstract:

risk aversion, asset allocation, mean-reversion, wealth, options

12.

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 (363,135)

Abstract:

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

13.

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 (520,944)
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Abstract:

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

14.

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

15.

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