Sofiane Aboura

Maître de conférences
Sofiane.Aboura@dauphine.fr

Sofiane Aboura,

PhD Finance, ESSEC

Université Paris Dauphine
Place du Maréchal de Lattre de Tassigny
Paris cedex 75775 - France
sofiane.aboura@dauphine.fr

Tel : +33 +1 44 05 45 65
Fax : +33 +1 44 05 40 23

 
# Area of interest:

   Asset valuation, Risk management, Macro-finance.

# Courses:

   Derivatives, Fixed Income, FX and Corporate Finance.

# Last working papers, publications, books and conferences:

« Disentangling crashes from tail events », 2010.

« Non-Gaussian option pricing under tail events », 2010, (with S. Valeyre).

« Extreme asymmetric volatility, leverage, feedback and asset prices», 2009, (with N. Wagner).

« Systematic credit risk : CDX index correlation and extreme dependence », Chapter 20, Financial Mathematics Series Volume 6, Chapman & Hall / CRC, Boca Raton, London, New York, 2008, (with N. Wagner).

« Testing the Fed and the Graham and Dodd models: asymmetric vs. symmetric adjustment », Applied Economics Letters, 2008, vol 15, 91-94, (with C. Boucher).

« Le marché d’options », 2008, Editions Economica.

Annual Conference of the Multinational Finance Society, June 2010, Spain.

French Association of Finance International Meeting, May 2010, France.

International Financial Research Forum: Risk Dependencies, March 2010, France.

CFA Institute Conference, July 2009, USA.

Third Annual Risk Management Conference: Systemic risk and the challenges for risk management, July 2009, Singapore.