Messaoud Chibane

NEOMA BUSINESS SCHOOL

Assistant Professor

1, rue du Maréchal Juin

Mont Saint-Aignan, 76130

France

SCHOLARLY PAPERS

10

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6,403

CITATIONS
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SSRN RANKINGS

Top 26,020

in Total Papers Citations

16

Scholarly Papers (10)

1.

Building Curves on a Good Basis

Number of pages: 21 Posted: 25 Apr 2009 Last Revised: 11 Jun 2012
Messaoud Chibane, JayaPrakash Selvaraj and Guy Sheldon
NEOMA BUSINESS SCHOOL, Shinsei Bank, Limited and affiliation not provided to SSRN
Downloads 3,627 (2,573)
Citation 11

Abstract:

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discount curve, forecast curve, vanilla swaps, cross-currency swaps basis swaps

2.

A Quadratic Volatility Cheyette Model

Number of pages: 18 Posted: 30 Aug 2012
Messaoud Chibane and Dikman Law
NEOMA BUSINESS SCHOOL and affiliation not provided to SSRN
Downloads 763 (31,312)
Citation 2

Abstract:

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HJM, Cheyette, smile, quadratic volatility, averaging techniques

3.

Explicit Volatility Specification for the Linear Cheyette Model

Number of pages: 18 Posted: 30 Jan 2012
Messaoud Chibane
NEOMA BUSINESS SCHOOL
Downloads 416 (68,462)
Citation 2

Abstract:

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HJM, Cheyette, Separable volatilities, Skew, Averaging Technics

4.

Analytical Option Pricing for Time Dependent Quadratic Local Volatility Models

Number of pages: 38 Posted: 24 May 2011 Last Revised: 10 Mar 2012
Messaoud Chibane
NEOMA BUSINESS SCHOOL
Downloads 397 (72,438)
Citation 2

Abstract:

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Quadratic Volatility, Time-Dependent Parameters, Parameter Averaging, Smart Expansion

5.

Discounting Consistently with Collateral Posting

Number of pages: 28 Posted: 15 Jun 2012 Last Revised: 21 Jun 2012
Messaoud Chibane, Yi-Chen Huang and JayaPrakash Selvaraj
NEOMA BUSINESS SCHOOL, Shinsei Bank, Ltd and Shinsei Bank, Limited
Downloads 337 (87,556)

Abstract:

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CSA, OIS discounting, Bootstrapping, Cheyette model, Foreign collateralisation

6.

Accurate Pricing of Continuous Barrier Options with Local Volatility

Number of pages: 22 Posted: 25 May 2011
Messaoud Chibane
NEOMA BUSINESS SCHOOL
Downloads 318 (93,382)

Abstract:

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Barrier Option, Finite Difference, Local Volatility, Smoothing

7.

Sensible Sensitivities for the SABR Model

Number of pages: 26 Posted: 27 Jan 2011 Last Revised: 19 Oct 2012
Messaoud Chibane, Hong Miao and Chenghai Xu
NEOMA BUSINESS SCHOOL, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 289 (103,611)

Abstract:

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SABR, Hedging, European, FX Smile, Smile Risk, Replication

8.

A Volatile Interest in Local Volatility: A Hybrid Model for Long Dated Equity Structures

Number of pages: 19 Posted: 16 Oct 2012
Messaoud Chibane and Dikman Law
NEOMA BUSINESS SCHOOL and affiliation not provided to SSRN
Downloads 137 (207,702)

Abstract:

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equity smile, stochastic interest rates, local volatility, Markovian projection, quadratic volatility

9.

Asset Pricing with Housing Booms and Disasters

Number of pages: 81 Posted: 02 Feb 2017 Last Revised: 05 Dec 2017
Messaoud Chibane, Abraham Lioui and Patrice Poncet
NEOMA BUSINESS SCHOOL, EDHEC Business School and ESSEC Business School
Downloads 100 (261,741)

Abstract:

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Housing CCAPM, Rare Disaster Events, Cumulant Generating Function, Power Law Distribution, Yield Curve

10.

Value Bubbles

Number of pages: 33 Posted: 01 Jul 2019
Messaoud Chibane and Samuel Ouzan
NEOMA BUSINESS SCHOOL and Neoma Business School
Downloads 19 (520,669)

Abstract:

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Biases; Contrarian; Market Anomalies; Market Efficiency; Market States, Over-reaction; Value Premium