2012

Working Papers

• Chevallier, Julien ; Aboura, Sofiane . Leverage vs. Feedback: Which Effect Drives the Oil Market ?. Université Paris-Dauphine . 2012 .

2010

Conference Contributions

• Aboura, Sofiane . Disentangling crashes from tail events. AFFI 2010. Saint-Malo. France. 2010.
• Wagner, Niklas ; Aboura, Sofiane . Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices. International Risk Management Conference (IRMC 2010) Financial Stability and Value. Florence. Italie. 2010.

2009

Articles

• Aboura, Sofiane . The extreme downside risk of the S&P 500 stock index. Journal of Financial Transformation. n° 26. 2009. pages 47. Capco.

Conference Contributions

• Aboura, Sofiane ; Wagner, Niklas . Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices. Third Annual Risk Management Conference: Systemic Risk and the Challenges for Risk Management. Singapour. Singapour. 2009.

2008

Articles

• Aboura, Sofiane ; Boucher, Christophe . Testing the Fed and the Graham and Dodd Models : Asymmetric vs Symmetric Adjustment. Applied Economics Letters. Volume 15. n° 2. 2008. pages 91-94. Routledge Taylor and Francis Group. DOI http://dx.doi.org/10.1080/13504850600706693.

Book chapters

• Aboura, Sofiane ; Renucci, Antoine . La rémunération des dirigeants des grandes entreprises : un problème non résolu. Colasse, Bernard; Pezet, Anne. L'état des entreprises 2009. Paris. 2008. pages 49-58.
• Aboura, Sofiane ; Wagner, Niklas . Systematic credit risk: CDX index correlation and extreme dependence. Wagner, Niklas. Credit-risk models, derivatives and management. New York. 2008. pages 377-389.

Books

• Aboura, Sofiane . Le Marché d'options. Paris. Economica . 2008 . pages .112 . ISBN 978-2-7178-5527-2 .

2006

Books

• Aboura, Sofiane . Les modèles de volatilité et d'options. Paris. publibook . 2006 . pages 110 . ISBN 2-7483-0956-1 .

2005

Articles

• Aboura, Sofiane . Pricing CAC 40 Index Options under Asymmetry of Information. Risk letters. n° 1. 2005. pages 55-62. Global Eco Finance.
• Aboura, Sofiane . GARCH option pricing under skew. ICFAI International Journal of Applied Economics. Volume 4. n° 6. 2005. pages 78-86. ICFAI Press.
• Aboura, Sofiane . Le comportement des indices de volatilité implicite internationaux. Revue Bancaire et Financière. Volume 7. n° 8. 2005. pages 457-460. Larcier.
• Aboura, Sofiane . Pricing CAC 40 Index Options with Stochastic Volatility. Journal of Derivatives Accounting. Volume 2. n° 1. 2005. pages 77-85. World Scientific Publishing. DOI http://dx.doi.org/10.1142/S0219868105000343.
• Aboura, Sofiane . French media bias and the vote on the European constitution. European Journal of Political Economy. Volume 21. n° 4. 2005. pages 1093-1098. Elsevier. DOI http://dx.doi.org/10.1016/j.ejpoleco.2005.09.003.
• Aboura, Sofiane . L'analyse de la performance des fonds obligataires Français. Revue des Sciences de Gestion. n° 216. 2005. pages 110-121. La Revue des Sciences de Gestion. DOI http://dx.doi.org/10.1051/larsg:2005048.

2003

Conference Contributions

• Bellalah, Makram ; Aboura, Sofiane . The effect of asymmetric information and transaction costs on asset pricing: theory and tests. 12th Annual Meeting of EFMA. Helsinki. Finlande. 2003.