Brice V. Dupoyet

Florida International University - College of Business Administration - Finance

Assistant Professor

University Park, RB 209 A

11200 SW 8th Street

Miami, FL 33199

United States

SCHOLARLY PAPERS

24

DOWNLOADS
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2,086

CITATIONS
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SSRN RANKINGS

Top 29,705

in Total Papers Citations

19

Scholarly Papers (24)

1.

Debt and Equity Valuation of it Companies: A Real Option Approach

Number of pages: 27 Posted: 04 Dec 2004
Chung Baek, Brice V. Dupoyet and Arun J. Prakash
University of Nebraska at Lincoln, Florida International University - College of Business Administration - Finance and Florida International University (FIU) - Department of Finance
Downloads 820 (28,558)
Citation 3

Abstract:

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Real options, equity, debt, Black Scholes

2.

Information Content of Cross-Sectional Option Prices: A Comparison of Alternative Currency Option Pricing Models on the Japanese Yen

Number of pages: 34 Posted: 31 Jan 2003
Brice V. Dupoyet
Florida International University - College of Business Administration - Finance
Downloads 274 (110,420)
Citation 1

Abstract:

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currency, options, stochastic volatility, stochastic interest rates, jumps, implied-state GMM

3.

Asymmetric Jump Processes: Option Pricing Implications

Number of pages: 16 Posted: 15 Nov 2003
Brice V. Dupoyet
Florida International University - College of Business Administration - Finance
Downloads 196 (153,717)
Citation 4

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Fundamental Capital Valuation for IT Companies: A Real Options Approach

Frontiers in Finance and Economics, Vol. 5, No. 1, pp. 1-26, 2008
Number of pages: 26 Posted: 27 Nov 2009
Chung Baek, Brice V. Dupoyet and Arun J. Prakash
Troy State University at Dothan, Florida International University - College of Business Administration - Finance and Florida International University (FIU) - Department of Finance
Downloads 161 (183,188)

Abstract:

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Fundamental valuation, Real options, Monte Carlo simulation

Fundamental Capital Valuation for IT Companies: A Real Options Approach

Frontiers in Finance and Economics, Vol. 5, No. 1, 1-26, April 2008
Number of pages: 26 Posted: 15 Apr 2019
Chung Baek, Brice V. Dupoyet and Arun J. Prakash
Troy State University at Dothan, Florida International University - College of Business Administration - Finance and Florida International University (FIU) - Department of Finance
Downloads 10 (602,964)

Abstract:

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Fundamental valuation, Real options, Monte Carlo simulation

Asset Pricing with Incomplete Information Under Stable Shocks

Number of pages: 68 Posted: 08 Nov 2005
Florida International University (FIU) - Department of Economics, Florida International University - College of Business Administration - Finance and Ohio State University
Downloads 81 (303,798)
Citation 1

Abstract:

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asset pricing, incomplete information, time-varying volatility, fat tails, stable distributions

Asset Pricing with Incomplete Information Under Stable Shocks

Number of pages: 68 Posted: 17 Mar 2005
Florida International University (FIU) - Department of Economics, Florida International University - College of Business Administration - Finance and Ohio State University
Downloads 62 (353,475)
Citation 2

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asset pricing, incomplete information, time-varying volatility, fat tails

6.

The Relationship between Psychopathy and Financial Risk and Time Preferences

Number of pages: 32 Posted: 23 Apr 2019 Last Revised: 05 Jul 2019
Dalton State College - Division of Business Administration, Florida International University - College of Business Administration - Finance, Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking and North Carolina Central University (NCCU)
Downloads 88 (288,118)

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Financial Psychopath, Risk Aversion, Present Bias, Risk Preferences, Time Preferences

7.

The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia

Number of pages: 19 Posted: 07 Dec 2004
Prasad V. Bidarkota and Brice V. Dupoyet
Florida International University (FIU) - Department of Economics and Florida International University - College of Business Administration - Finance
Downloads 81 (301,025)

Abstract:

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Fat tails, term premia, risk premium, Gaussian

8.

Oil Prices Implied Volatility or Direction: Which Matters More to Financial Markets?

Number of pages: 30 Posted: 22 May 2017 Last Revised: 24 Mar 2019
Brice V. Dupoyet and Corey A. Shank
Florida International University - College of Business Administration - Finance and Dalton State College - Division of Business Administration
Downloads 80 (303,247)
Citation 1

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Oil Implied Volatility, OVX, Stock Returns, Credit Spreads

9.

Asset Pricing with Incomplete Information in a Discrete Time Pure Exchange Economy

Journal of Applied Research in Finance, Vol. III, No. 1(5), pp. 9-26, 2011
Number of pages: 29 Posted: 24 Oct 2011
Prasad V. Bidarkota and Brice V. Dupoyet
Florida International University (FIU) - Department of Economics and Florida International University - College of Business Administration - Finance
Downloads 51 (382,653)

Abstract:

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asset pricing, incomplete information, Kalman filter, equity returns, riskfree returns

10.

A Dimension-invariant Cascade Model for VIX Futures

Number of pages: 21 Posted: 14 May 2019
Zhiguang Wang and Brice V. Dupoyet
South Dakota State University and Florida International University - College of Business Administration - Finance
Downloads 29 (469,379)

Abstract:

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11.

The Implied Convexity of VIX Futures

The Journal of Derivatives, 2016
Number of pages: 18 Posted: 17 Apr 2019
Robert T. Daigler, Brice V. Dupoyet and Fernando Patterson
Florida International University (FIU) - Department of Finance, Florida International University - College of Business Administration - Finance and North Carolina Central University (NCCU)
Downloads 29 (469,379)

Abstract:

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Implied Convexity, VIX Futures Variance, Volatility

12.

From Currency Volatilities to Global Equity Correlations

Number of pages: 67 Posted: 14 May 2019
Brice V. Dupoyet, Ali Parhizgari and Antonio Figueiredo
Florida International University - College of Business Administration - Finance, Florida International University and Nova Southeastern University
Downloads 21 (512,982)

Abstract:

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Exchange Rate, Volatility, International Equity, Correlations

13.

A Simplified Pricing Model for Volatility Futures

Journal of Future Markets, Volume 31, Issue 4, April 2011, Pages 307-339
Number of pages: 39 Posted: 23 May 2019
Brice V. Dupoyet, Robert T. Daigler and Zhiyao Chen
Florida International University - College of Business Administration - Finance, Florida International University (FIU) - Department of Finance and The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 20 (518,734)

Abstract:

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volatility, VIX futures

14.

Spicing up a Portfolio with Commodity Futures: Still a Good Recipe?

The Journal of Alternative Investments, 2017
Number of pages: 16 Posted: 17 Apr 2019
Robert T. Daigler, Brice V. Dupoyet and Leyuan You
Florida International University (FIU) - Department of Finance, Florida International University - College of Business Administration - Finance and Texas State University, San Marcos
Downloads 17 (536,240)

Abstract:

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commodity futures; portfolio optimization; tail risk

15.

Optimum Allocation of Weights to Assets in a Portfolio: The Case of Nominal Annualisation Versus Effective Annualisation of Returns

Number of pages: 31 Posted: 01 May 2019
Arun J. Prakash, Chun-Hao Chang and Brice V. Dupoyet
Florida International University (FIU) - Department of Finance, Florida International University (FIU) and Florida International University - College of Business Administration - Finance
Downloads 13 (559,853)

Abstract:

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Portfolio Allocation, Annualization, Returns, Weights, Skewness

16.

A Behavioral Explanation for the Negative Asymmetric Return-Volatility Relation

Number of pages: 30 Posted: 23 May 2019
Ann Marie Hibbert, Robert T. Daigler and Brice V. Dupoyet
West Virginia University, Florida International University (FIU) - Department of Finance and Florida International University - College of Business Administration - Finance
Downloads 10 (578,557)
Citation 2

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Return–volatility relation; Behavioral finance; Leverage hypothesis; Volatility feedback hypothesis; VIX

17.

Gauge Invariant Lattice Quantum Field Theory: Implications for Statistical Properties in High Frequency Financial Markets

Physica A: Statistical Mechanics and its Applications, Volume 389, Issue 1, 1 January 2010, Pages 107-116
Number of pages: 7 Posted: 17 May 2019
Brice V. Dupoyet, Rudolf H Fiebig and David Musgrove
Florida International University - College of Business Administration - Finance, Florida International University (FIU) - Department of Physics and American Real Estate Society - Florida International University
Downloads 8 (591,146)

Abstract:

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Econophysics, Financial markets, Statistical field theory, Gauge invariance

18.

Replicating Financial Market Dynamics with a Simple Self-Organized Critical Lattice Model

Number of pages: 20 Posted: 10 Apr 2019
Brice V. Dupoyet, Rudolf H Fiebig and David Musgrove
Florida International University - College of Business Administration - Finance, Florida International University (FIU) - Department of Physics and American Real Estate Society - Florida International University
Downloads 8 (591,146)

Abstract:

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econophysics, financial markets, statistical field theory, self-organized criticality

19.

A New Take on the Relationship between Interest rates and Credit Spreads

Number of pages: 55 Posted: 14 May 2019
Brice V. Dupoyet, Xiaoquan Jiang and Qianying Zhang
Florida International University - College of Business Administration - Finance, Florida International University (FIU) - Department of Finance and affiliation not provided to SSRN
Downloads 6 (604,156)

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20.

Effect of Intervalling and Skewness on Portfolio Selection in Developed and Developing Markets

Number of pages: 22 Posted: 01 May 2019
Arun J. Prakash, Chun-Hao Chang and Brice V. Dupoyet
Florida International University (FIU) - Department of Finance, Florida International University (FIU) and Florida International University - College of Business Administration - Finance
Downloads 6 (604,156)

Abstract:

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Skewness, Returns, Portfolio Allocation

21.

Asset Pricing With Incomplete Information and Fat Tails

Journal of Economic Dynamics and Control, Volume 33, Issue 6, June 2009, Pages 1314-1331
Number of pages: 47 Posted: 23 May 2019
Florida International University (FIU) - Department of Economics, Florida International University - College of Business Administration - Finance and Ohio State University
Downloads 5 (610,781)

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Asset pricing, Incomplete information, Time-varying volatility, Fat tails, Stable distributions

22.

Intrinsic Bubbles and Fat Tails in Stock Prices: A Note

Number of pages: 35 Posted: 20 May 2019
Prasad V. Bidarkota and Brice V. Dupoyet
Florida International University (FIU) - Department of Economics and Florida International University - College of Business Administration - Finance
Downloads 5 (610,781)

Abstract:

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Stock Prices, Present-Value Model, Intrinsic Bubbles, Fat Tails, Normal Distributions, Stable Distributions

23.

Arbitrage-Free Self-Organizing Markets with GARCH Properties: Generating Them in the Lab with a Lattice Model

Physica A 391 (2012), Pages 4350-4363
Number of pages: 14 Posted: 18 Apr 2019
Brice V. Dupoyet, Rudolf H Fiebig and David Musgrove
Florida International University - College of Business Administration - Finance, Florida International University (FIU) - Department of Physics and American Real Estate Society - Florida International University
Downloads 5 (610,781)

Abstract:

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Econophysics, Financial Markets, Statistical Field Theory, Self-Organized Criticality

24.

Interest Rates and Credit Spread Dynamics

Posted: 20 May 2019
Indiana University - Kelley School of Business, City University of Hong Kong, Florida International University - College of Business Administration - Finance and Federal Reserve Bank of Kansas City
Downloads 0 (666,167)
Citation 18

Abstract:

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