Messaoud Chibane

Neoma Business School

1 Rue du Maréchal Juin

Mont Saint Aignan Cedex, 76825

France

ESSEC Business School

Assistant Professor

1, rue du Maréchal Juin

Mont Saint-Aignan, 76130

France

SCHOLARLY PAPERS

12

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CROSSREF CITATIONS

14

Scholarly Papers (12)

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 3,664 (2,897)
Citation 15

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 815 (31,933)
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 454 (68,302)
Citation 3

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 409 (77,452)
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 345 (94,222)
Citation 1

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 329 (99,354)

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 305 (107,952)

Abstract:

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

8.

Value Bubbles

Number of pages: 33 Posted: 01 Jul 2019
Messaoud Chibane and Samuel Ouzan
Neoma Business School and Neoma Business School
Downloads 245 (135,797)

Abstract:

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

9.

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 140 (224,107)

Abstract:

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

10.

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 Scientific Beta Research Chair and ESSEC Business School
Downloads 108 (272,115)

Abstract:

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

11.

Do Bitcoin Stylized Facts Depend on Geopolitical Risk?

Number of pages: 15 Posted: 08 Feb 2020
Messaoud Chibane and Nathalie Janson
Neoma Business School and Neoma Business School
Downloads 46 (433,871)

Abstract:

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Bitcoin, Geopolitical Risk, Hedging, Diversification, Bubbles

12.

Malinvestment and Crisis-Emergent Asset Comovement: The Problem of Latent Correlation

Number of pages: 28 Posted: 03 Jun 2020
Messaoud Chibane, Amadeus Gabriel and Gabriel Giménez Roche
Neoma Business School, La Rochelle Business School - Excelia Group and NEOMA Business School
Downloads 7 (649,925)

Abstract:

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correlation shift, credit, disaster event, latent correlation, malinvestment