Publications
Derivatives applications in asset management – from theory to practice Download
(with Frank J. Fabozzi)
Book edition with Palgrave-Macmillan, 2025.
ESG ratings: cocktails of stakeholder values Download
(with Jean-Charles Garibal and Anita Mukherjee)
Journal of Asset Management, vol. 26 no 7, 2025.
Using Monte Carlo simulation to assess the risk of bonds Download
(with David Buckle)
in Fabozzi’s Bond Markets, Analysis and Strategies, 11th edition, MIT Press, 2025.
Et si le VIX concernait aussi les actifs non cotés ? Download
In Option Finance L’Hebdo n° 1819, 2025.
Monte Carlo simulation for portfolio analysis Download
(with David Buckle)
Journal of Portfolio Management, vol. 51 no 2, 2024.
Youth, the quiescent stakeholder of sustainable enterprise Download
(with Ian Sug)
Journal of Asset Management, vol. 25 no 7, 2024.
Applications of CDS to bond portfolio management Download
(compiled article)
Journal of Asset Management, vol. 25 no 6, 2024.
Global bond allocation using duration times spread Download
Journal of Portfolio Management, vol. 49 no 6, 2023.
Green commodities: the making of a new asset class Download
(with Caroline Bavasso)
Journal of Asset Management, vol. 24 no 7, 2023.
The Capital-Protection Capacity of Emerging Markets Inflation-Linked Bonds Download
(with Laurens Swinkels)
Journal of Portfolio Management, vol. 48, no 8, 2022.
Emerging-Markets Debt Securities: A Literature Review Download
(with Frank Fabozzi)
Journal of Portfolio Management, vol. 48, no 8, 2022.
The Covariance Structure between Liquid and Illiquid Assets Download
Journal of Portfolio Management, vol. 48, no 4, 2022.
Outstanding article award winner
From ad hoc Bond-Risk Measures to Variance-Covariance Forecasts Download
(with Frank Fabozzi)
Journal of Fixed Income, vol. 30, no 4, 2021.
Building Corporate Bond Portfolios
Chapter 52 of Fabozzi’s Handbook of Fixed-Income Securities,
9th ed., Mc Graw Hill, 2021.
The Market Risk of Corporate Bonds Download
(with Frank Fabozzi)
Journal of Portfolio Management, vol. 46, no 2, 2020.
European Asset and Mortgage –Backed Securities– Ten Years On! Download
(with Hubert Vannier)
Amundi Working Paper, no 77, 2018.
The Covariance Matrix Between Real Assets Download
Journal of Portfolio Management, vol. 45, no 1, 2018.
Portfolio Optimisation in an Uncertain World Download
Journal of Asset Management, vol. 19, no 4, 2018.
Bond Liquidity Scores Download
(with Mohamed Ben Slimane)
Journal of Fixed Income, vol. 27, no 1, 2017.
Appraising Investment Risk Download
(with Pascal Blanqué and Philippe Ithurbide)
Journal of Asset Management, vol. 17, no 4, 2016.
Weathered for Climate Risk: A Bond Investment Proposition Download
(with Anne Nguyen)
Financial Analysts Journal, vol. 72, no 3, 2016.
A Fundamental Bond Index Including Solvency Criteria Download
(with Lauren Stagnol)
Journal of Asset Management, vol. 17, no 4, 2016.
The Asset –and Mortgage– Backed Securities Market in Europe Download
(with Anne Nguyen and Hubert Vannier)
Amundi Working Paper Series, no 48, 2015.
The Art of Tracking Corporate Bond Indices Download
(with Laurent Gouzilh, Thierry Lebaupin and Hongwen Wu)
Amundi Working Paper Series, no 42, 2014.
Fundamental Indexation for Bond Markets Download
(with Hongwen Wu)
Amundi Working Paper Series, no 36, 2013.
Journal of Risk Finance, vol. 15, no 3, 2014.
Incorporating Linkers in a Global Government Bond Risk Model Download
Journal of Portfolio Management, vol. 39, no 2, 2013.
Practical Implications of Incorporating Linkers in a Global Government Bond Risk Model Download
Institutional Investor Journals Practical Applications, vol. 1 no 3, 2013.
Breakeven Inflation Rates and Their Puzzling Correlation Relationships Download
(with Gilbert Cette)
Banque de France Working Paper Series, no 367, 2012.
Applied Economics, vol. 45, no 18, 2013.
Market-Implied Inflation and Growth Rates Adversely Affected by the Brent Download
(with Gilbert Cette)
Banque de France Working Paper Series, no 433, 2013.
Amundi Journal of Asset Management, no 030, 2012.
An Adequate Measure for Exchange Rate Returns Download
Amundi Working Paper Series, no 13, 2011.
Journal of Asset Management, no 12, 2011.
The Rocky Ride of the Breakeven Inflation Rates Download
(with Gilbert Cette)
Banque de France Working Paper Series, no 230, 2008.
Economics Bulletin, vol. 5, no 30, 2008.
The Importance of Being Value Download
(with François Bourguignon)
Journal of Portfolio Management, vol. 32, no 3, 2006.
Value versus Growth: Investment Styles and Stock Characteristics Download
(with François Bourguignon)
Journal of Portfolio Management, vol. 29, no 4, 2003.
Value contre growth : la distinction a-t-elle du sens ? Download
(with François Bourguignon)
Banques & Marchés, no 51, 2001.
The Setting of Shelf Heights and the Distribution of Box Sizes in Two-Dimensional Shelf Packing Download
(with Edward Anderson)
International Transactions in Operational Research, vol. 2, no 2, 1995.