WorldCat Identities

Prigent, Jean-Luc 1958-

Overview
Works: 78 works in 162 publications in 3 languages and 2,222 library holdings
Genres: Conference papers and proceedings 
Roles: Author, Other, Thesis advisor, Opponent, Contributor, Editor
Publication Timeline
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Most widely held works by Jean-Luc Prigent
Risk management and value : valuation and asset pricing by Mondher Bellalah( )

11 editions published in 2008 in English and held by 1,336 WorldCat member libraries worldwide

"This book presents a discussion of the issues related to risk, volatility, value and risk management. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. The second half of the book is dedicated to the banking industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity."--BOOK JACKET
Portfolio optimization and performance analysis by Jean-Luc Prigent( Book )

17 editions published in 2007 in English and held by 257 WorldCat member libraries worldwide

Covering both static and dynamic portfolio optimisation, this title contains an overview of active and passive portfolio optimisation. With modern risk analysis, it summarises results of portfolio optimisation and shows how theoretical results can be applied to practical and operational portfolio management and optimisation
Weak convergence of financial markets by Jean-Luc Prigent( )

14 editions published in 2003 in English and German and held by 192 WorldCat member libraries worldwide

This overview of weak convergence of stochastic processes and its application to the study of financial markets is split into three parts. The first recalls the mathematics of stochastic processes and stochastic calculus with special emphasis on contiguity properties and weak convergence of stochastic integrals. The second part is devoted to the analysis of financial theory from the convergence point of view. The main problems such as portfolio optimization, option pricing and hedging are examined, especially when considering discrete-time approximations of continuous-time dynamics. The third part deals with lattice- and tree-based computational procedures for option pricing both on stocks and stochastic bonds. More general discrete approximations are also introduced and detailed
Weak convergence of financial markets by Jean-Luc Prigent( Book )

1 edition published in 2003 in English and held by 160 WorldCat member libraries worldwide

Gestion de portefeuille : analyse quantitative et gestion structurée by Philippe Bertrand( Book )

4 editions published between 2006 and 2012 in French and held by 128 WorldCat member libraries worldwide

An empirical investigation in credit spread indices by Jean-Luc Prigent( Book )

12 editions published in 2000 in English and French and held by 19 WorldCat member libraries worldwide

An autoregressive conditional binomial option pricing model by Jean-Luc Prigent( Book )

7 editions published between 1999 and 2000 in English and held by 13 WorldCat member libraries worldwide

Option pricing with discrete rebalancing by Jean-Luc Prigent( Book )

8 editions published between 1999 and 2002 in English and held by 10 WorldCat member libraries worldwide

Weak Convergence of Financial Markets by Jean-Luc Prigent( )

in English and held by 8 WorldCat member libraries worldwide

Weak convergence of hedging strategies of contingent claims by Jean-Luc Prigent( Book )

5 editions published in 2002 in English and French and held by 8 WorldCat member libraries worldwide

CONVERGENCE OF DISCRETE TIME OPTION PRICING MODELS UNDER STOCHASTIC INTEREST RATES by Jean Philippe LESNE( Book )

6 editions published in 1998 in English and held by 6 WorldCat member libraries worldwide

Risk management and value : valuation and asset pricing by Hammamet, Tunisia) International Finance Conference (2007( )

1 edition published in 2008 in English and held by 3 WorldCat member libraries worldwide

This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a "high level" one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the valuation of financial assets are further studied in detail. The second half of the book is dedicated to the banking industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts and recent literature, academics and risk managers will want to read this book
Suivi bactériologique des gisements naturels de coquillages des Côtes d'Armor fréquentés en pêche à pied( Book )

3 editions published between 2001 and 2003 in French and held by 3 WorldCat member libraries worldwide

Optimal Portfolio Positioning on Multiple Assets Under Ambiguity by Hachmi Ben Ameur( )

1 edition published in 2019 in English and held by 2 WorldCat member libraries worldwide

On the robustness of portfolio allocation under copula misspecification by Abdallah Ben Saida( )

1 edition published in 2016 in English and held by 2 WorldCat member libraries worldwide

Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions by Julien Vedani( )

1 edition published in 2017 in English and held by 2 WorldCat member libraries worldwide

The private provision of public good in the case of satiation points : the case of a quasi-linear economy by A Trannoy( Book )

1 edition published in 1992 in English and held by 2 WorldCat member libraries worldwide

Preface: decision making and risk/return optimization in financial economics by Farid AitSahlia( )

1 edition published in 2019 in English and held by 2 WorldCat member libraries worldwide

Trois essais sur la généralisation des préférences moyenne-variance à l'ambiguïté by Eric Andre( Book )

2 editions published in 2014 in French and held by 2 WorldCat member libraries worldwide

This dissertation proposes a generalisation of the mean-variance preferences to ambiguity, that is contexts in which the investor can not, or does not wish to, describe the behaviour of the risky assets with a single probabilistic model. Hence it belongs to the field of research that seeks to apply models of decision under ambiguity to the mathematical theory of finance, and whose aim is to improve the descriptive capacities of this theory of finance through the generalisation of one of its central hypothesis: expected utility.The models that are studied here are those which represent the decision maker's beliefs by a set of priors: we aim to show, on the one hand, under which conditions these models can be applied to the financial theory, and, on the other hand, what they bring to it. Therefore, following a general introduction which proposes a survey of the advances of this field of research, a first essay studies the conditions of compatibility between these models with a set of priors and the mean-variance preferences, a second essay analyses the possibilities given by the Vector Expected Utility model to generalise these preferences to ambiguity and, finally, a third essay develops one of these threads to construct a generalised mean-variance criterion and to study the effects of ambiguity aversion on the optimal composition of a portfolio of risky assets. The results that are obtained allow notably to conclude that aversion to ambiguity is indeed a possible explanation of the home-bias puzzle
Analyse du choix des investissements : options réelles et modes de production by Olfa Bouasker( Book )

2 editions published in 2010 in French and held by 2 WorldCat member libraries worldwide

Cette thèse traite du choix optimal des investissements à la lumière de la théorie des options réelles et de la prise en compte des différents modes de production. Nous proposons dans un premier temps plusieurs extensions du modèle d'investissement irréversible de Pindyck (1988): introduction de processus plus complexes pour décrire l'évolution de la valeur de marché et de fonctions de production très générales pour décrire l'activité de la firme ; prise en compte de l'aversion au risque dans un cadre d'optimisation dynamique. Dans un second temps, nous montrons comment les options d'échange de Margrabe (1978) permettent de résoudre certains problèmes de choix d'investissement. Nous en proposons diverses extensions et illustrations
 
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Audience level: 0.29 (from 0.01 for Risk manag ... to 0.97 for Weak conve ...)

Weak convergence of financial markets Weak convergence of financial markets
Covers
Portfolio optimization and performance analysisWeak convergence of financial marketsWeak convergence of financial markets
Alternative Names
Prigent, J.

Prigent, J. 1958-

Prigent, J. L.

Prigent, J.-L. 1958-

Languages
English (83)

French (13)

German (3)