Messaoud Chibane

Neoma Business School

1 Rue du Maréchal Juin

Mont Saint Aignan Cedex, 76825

France

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 10,128

SSRN RANKINGS

Top 10,128

in Total Papers Downloads

8,759

SSRN CITATIONS
Rank 47,456

SSRN RANKINGS

Top 47,456

in Total Papers Citations

4

CROSSREF CITATIONS

14

Scholarly Papers (15)

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 3,858 (5,349)
Citation 16

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 1,200 (33,257)
Citation 4

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 662 (75,055)
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 486 (110,162)
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 446 (122,040)
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 415 (132,715)

Abstract:

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Barrier Option, Finite Difference, Local Volatility, Smoothing

7.

Value Bubbles

Number of pages: 37 Posted: 01 Jul 2019 Last Revised: 21 Dec 2023
Messaoud Chibane, Victoria Dobrynskaya and Samuel Ouzan
Neoma Business School, School of Finance, HSE University and Neoma Business School
Downloads 412 (133,817)
Citation 1

Abstract:

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

8.

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, Shinsei Bank, Ltd and affiliation not provided to SSRN
Downloads 388 (143,245)

Abstract:

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

9.

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 200 (280,953)

Abstract:

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Bitcoin, Geopolitical Risk, Hedging, Diversification, Bubbles

10.

Housing, Risk Aversion and Asset Prices

Number of pages: 76 Posted: 02 Feb 2017 Last Revised: 29 Nov 2021
Messaoud Chibane, Abraham Lioui and Patrice Poncet
Neoma Business School, EDHEC Business School and ESSEC Business School
Downloads 194 (288,831)

Abstract:

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

11.

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 174 (318,216)

Abstract:

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

12.

Can COVID-19 Solve The Equity Premium Puzzle?

Number of pages: 25 Posted: 09 Feb 2021 Last Revised: 11 Mar 2021
Messaoud Chibane
Neoma Business School
Downloads 103 (479,953)

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Rare Disaster Events, COVID 19, Equity Premium, Risk-Free Rate

13.

Dynamic Asset Allocation and Consumption with the Indirect Utility Function

Number of pages: 9 Posted: 07 Aug 2023
Pierre Six and Messaoud Chibane
Neoma Business School and Neoma Business School
Downloads 98 (496,243)

Abstract:

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Indirect Utility Function, Direct Utility Function, Risk aversion, Dynamic Asset Allocation, Consumption, Inverse Optimal Control

14.

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 85 (542,857)

Abstract:

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

15.

Eurozone Stock Market Integration and the Base-Bank Money Divergence

Number of pages: 35 Posted: 21 Nov 2023
Messaoud Chibane, Amadeus Gabriel and Gabriel Giménez Roche
Neoma Business School, La Rochelle Business School - Excelia Group and NEOMA Business School
Downloads 38 (796,690)

Abstract:

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bank credit, base money, integration, leverage gap, malinvestment