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
Rank 22,632

SSRN RANKINGS

Top 22,632

in Total Papers Downloads

2,046

SSRN RANKINGS

Top 12,879

in Total Papers Citations

30

!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

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 (28,257)

Abstract:

Loading...

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 (109,232)

Abstract:

Loading...

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 (152,107)

Abstract:

Loading...

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 (181,330)

Abstract:

Loading...

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 8 (608,632)

Abstract:

Loading...

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 80 (302,802)

Abstract:

Loading...

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 61 (352,516)

Abstract:

Loading...

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

6.

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 (299,959)

Abstract:

Loading...

Oil Implied Volatility, OVX, Stock Returns, Credit Spreads

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 80 (299,959)

Abstract:

Loading...

Fat tails, term premia, risk premium, Gaussian

8.

The Decision Making of a Financial Psychopath

Number of pages: 36 Posted: 23 Apr 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 76 (309,187)

Abstract:

Loading...

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

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 49 (384,928)

Abstract:

Loading...

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 26 (479,171)

Abstract:

Loading...

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 24 (489,980)

Abstract:

Loading...

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 19 (518,294)

Abstract:

Loading...

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 16 (535,509)

Abstract:

Loading...

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 15 (541,365)

Abstract:

Loading...

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 12 (559,130)

Abstract:

Loading...

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 9 (577,320)

Abstract:

Loading...

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

17.

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 (583,481)

Abstract:

Loading...

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

18.

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 7 (589,654)

Abstract:

Loading...

Econophysics, Financial markets, Statistical field theory, Gauge invariance

19.

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 (596,005)

Abstract:

Loading...

Skewness, Returns, Portfolio Allocation

20.

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 (602,479)

Abstract:

Loading...

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

21.

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 (602,479)

Abstract:

Loading...

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

22.

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 5 (602,479)

Abstract:

Loading...

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 4 (609,228)

Abstract:

Loading...

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 (657,341)

Abstract:

Loading...