Topics

International Finance, Asset Pricing, Performance Measurement, Financial Econometrics, Portfolio Optimization, Asset Allocation, Volatility and Risk Management, Hedge Funds.

Affiliations

AAAdvisors-QCG (ABN AMRO), Variances, CES/CNRS – University of Paris-1 and Europlace Institute of Finance.

Publications and Research

 Peer Reviewed Articles.

  • Boucher Ch., B. Maillet and Th. Michel, (2008), “Do Misalignments Predict Aggregated Stock Market Volatility?”, Economics Letters, forthcoming 2008, 10 pages.
  • Rousset P., Ch. Guinot and B. Maillet, (2006), “Understanding and Reducing Variability of SOM Neighborhood Structure”, Neural Networks 19(6-7), 838-846.
  • Maillet B. and Th. Michel, (2005), “The Impact of the 9/11 Events on the American and French Stock Markets”, Review of International Economics 13(3), 597-611.
  • Maillet B. and Th. Michel, (2005), “Technical Analysis Profitability when Exchange Rates are Pegged: A Note”, European Journal of Finance 11(6), 463-470.
  • Jurczenko E., B. Maillet and B. Negréa, (2004), “A Note on Skewness and Kurtosis Adjusted Option Pricing Models under the Martingale Restriction”, Quantitative Finance 4(4), 479-488.
  • Maillet B., M. Olteanu and J. Rynkiewicz, (2004), “Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)”, Revue d’Economie Politique 114(4), 489-506.
  • Chauveau Th., S. Friederich, J. Héricourt, E. Jurczenko, C. Lubochinsky, B. Maillet, Ch. Moussu, B. Négrea and H. Raymond-Feingold, (2004), “La volatilité des marchés augmente-elle ?”, Revue d’Economie Financière 74, 17-44. 
  • Maillet B. and Th. Michel, (2003), “A Market Shock Index based on Multiscale Analysis”, Quantitative Finance 3(2), 88-97.
  • Maillet B. and Th. Michel, (2002), “Quelle a été l'ampleur de la crise financière de Septembre 2001 ? Une mise en perspective”, Revue d’Economie Financière 67, 269-276.
  • Capelle-Blancard G., E. Jurczenko and B. Maillet, (2001), “The Approximate Option Pricing Model: Performances and Dynamic Properties”, Journal of Multinational Financial Management 11(4-5), 427-443.
  • Maillet B. and Th. Michel, (2000), “Further Insights on the Puzzle of Technical Analysis Profitability”, European Journal of Finance 6(2), 196-224.
  • Maillet B. and H. Raymond, (1998), “Variabilité du risque systématique : une étude du bêta sur le marché français des actions”, Banque et Marchés 37, 14 pages.
  • Maillet B. and Th. Michel, (1998), “Une étude empirique de la performance de l'analyse technique sur le marché des changes”, Banque et Marchés 34, 11 pages.
  • Maillet B. and Th. Michel, (1997), “Mesure de temps, information et distribution des rendements intra-journaliers”, Journal de la Société Statistique de Paris 138(4), 89-120.

 Book Chapters

  • Jurczenko E. and B. Maillet, (2006-d), “Introduction to Multi-moment Asset Allocation and Pricing Models”, inMulti-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, 21-24.
  • Jurczenko E. and B. Maillet, (2006-c), “Theoretical Foundations of Higher Moments when Pricing Assets”, in Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, Chapter 1, 1-36.
  • Jurczenko E., B. Maillet and P. Merlin, (2006), “Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier”, inMulti-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, Chapter 3, 51-66.
  • Jurczenko E. and B. Maillet, (2006-b), “The 4-CAPM: in between Asset Pricing and Asset Allocation”, inMulti-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, Chapter 6, 113-164.
  • Maillet B. and P. Merlin, (2005), “Completing Hedge Fund Missing Net Asset Values using Kohonen Maps and Constrained Randomization”, in Artificial Neural Networks: Formal Models and Their Applications, Duch et al. (Eds), Lecture Note in Computer Science, Volume 3697,  Springer Verlag - Berlin, Part II, 923-928.
  • Maillet B. and P. Rousset, (2003), “Classifying Hedge Funds using Kohonen Map”, in Connectionist Approaches in Economics and Management Sciences, Series in Advances in Computational Management Science, Vol. 6, Cottrell-Lesage (Eds), Kluwer Academic Publisher, 2003, 233-259.
  • “The 3-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models in an Unified Framework”, in Developments in Forecast Combination and Portfolio Choice, Series in Financial Economics and Quantitative Analysis, Dunis-Moody-Timmermann (Eds), John Wiley & Sons – New-York, Chapter 13, 239-273.

 Book Edition

  • Jurczenko E. and B. Maillet, (2006-a), Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, 236 pages.

  Submitted works

  • Kouontchou P. and B. Maillet, (2008), “Roses des vents, éventails et explosions d’étoiles sur le marché français : caractérisation, mesures et applications”,  35 pages - in Banque et Marchés, accepted with revisions.
  • Hamidi B., E. Jurczenko and B. Maillet, (2008), “D'un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires”, 20 pages - in Banque et Marchés, revise and resubmit.
  • Jurczenko E., B. Maillet and P. Merlin, (2008), “Efficient Frontier for Robust Higher-moment Portfolio Selection”, 30 pages – in Journal of Economic Dynamic and Control, first round.
  • Kouontchou P., B. Maillet and I. Mathur, (2008), “Measures of the Compass Rose Phenomenon on French Stock Market”, 6 pages - in Economics Letters, first round.
  • Kouontchou P., B. Maillet and I. Mathur, (2008), “On the Impact of the Compass Rose Phenomenon on GARCH Estimation”, 6 pages - in Economics Letters, first round.
  • Bagnarosa G., C. Corrado, E. Jurczenko and B. Maillet, (2008), “Pricing Option on Volatility with Padé”, 30 pages – to be re-submitted.
  • Maillet B., J.-Ph. Médecin and Th. Michel, (2008), “High Watermarks of Market Risks”, 67 pages – to be submitted.

 Working Papers

  • Bagnarosa G., C. Corrado, E. Jurczenko and B. Maillet, (2008), “An Implicit Martingale Restriction in a Closed-form Higher Order Moments Option Pricing Formula based on Multipoint Padé Approximants”, mimeo, 35 pages.
  • Kouontchou P. and B. Maillet, (2007), “Roses des vents, éventails et explosions d’étoiles sur le marché français : caractérisation, mesures et applications”, mimeo, 35 pages.
  • Jurczenko E. and Maillet B., (2005), “The 4-CAPM: in between Asset Pricing and Asset Allocation”, mimeo, 79 pages.
  • Olteanu M., J. Rynkiewicz and B. Maillet, (2005), “Non-linear Analysis of Shocks when Financial Markets are subject to Changes in Regime”, mimeo, 18 pages.
  • Olteanu M., J. Rynkiewicz and B. Maillet, (2004), “Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)”, Preprint du SAMOS, Université de Paris-1, 21 pages.
  • Jurczenko E. and B. Maillet, (2003), “The 4-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models in an Unified Framework”, Working Paper in Finance Series, ESCP-EAP, 74 pages.
  • Maillet B. and Th. Michel, (2003), “A Market Shock Index based on Multiscale Analysis”, Documents de Travail du TEAM, Université de Paris-1, 20 pages.
  • Rousset P. and B. Maillet, (2003), “Classifying Hedge Funds using Kohonen Map: A First Attempt”, Preprint du SAMOS, Université de Paris-1, 23 pages.
  • Jurczenko E., B. Négrea and B. Maillet, (2002), “Revisited Multi-moment Approximate Option Pricing Models (Part 1)”, Discussion Paper of the LSE-FMG n°430, 84 pages.      
  • Jurczenko E., B. Négrea and B. Maillet, (2002), “Skewness and Kurtosis Implied by Option Prices: A Second Comment”, Discussion Paper of the LSE-FMG n°419, 32 pages.     
  • Maillet B. and Th. Michel, (2002), “How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with and Index of Market Shocks”, Discussion Paper of the LSE-FMG, n°417, 14 pages.       
  • Jurczenko E. and B. Maillet, (2001), “The 3-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models in an Unified Framework”, Documents de Travail du TEAM, Université de Paris-1, 63 pages.
  • Capelle-Blancard G., E. Jurczenko and B. Maillet, (2001), “The Approximate Option Pricing Model: Empirical Performances and Simple Dynamic Properties”, Documents de Travail du TEAM, Université de Paris-1, 36 pages.
  • Capelle-Blancard G., E. Jurczenko and B. Maillet, (2001), “The Approximate Option Pricing Model: Empirical Performances on the French Market”, Documents de Travail du TEAM, Université de Paris-1, 55 pages.
  • Chauveau Th. and B. Maillet, (1998), “Estimations de ‘bêtas flexibles’ : le cas du marché parisien”, Documents de Travail de la Caisse des Dépôts et Consignations, n°1997-03/FI, 30 pages.          
  • Chauveau Th. and B. Maillet, (1998), “Deux nouvelles mesures de performance”, Documents de Travail de la Caisse des Dépôts et Consignations n°1997-03/FI, 51 pages.       

 Other Works

  • Chauveau Th., S. Friederich, J. Héricourt, E. Jurczenko, C. Lubochinsky, B. Maillet, Ch. Moussu, B. Négrea and H. Raymond-Feingold, (2004), “Réactions des autorités de marchés pendant et après les crises financières : causes, bilan et perspectives”, mimeo, 18 pages.      
  • Lubochinsky C. and B. Maillet, (2003), “Beaucoup de bruit autour de la volatilité”, in Recueil d’opinion sur la Volatilité, publication of the AFG-ASFFI,  12 pages.
  • Chauveau Th., J. Héricourt, E. Jurczenko, C. Lubochinsky, B. Maillet, B. Négrea and H. Raymond-Feingold, (2003), “La volatilité des marchés augmente-elle ? Théorie et mise en perspective historique”, mimeo, Discussion Paper of the NRF, 53 pages.
  • Maillet B. and Th. Michel, (2002), “Mise en perspective des dernières turbulences de marché à l'aide d'un indice de crise”, Bulletin de la COB, 8 pages.
  • Lubochinsky C. and B. Maillet, (2002), “Gestion alternative : un nouvel enjeu pour le marché français”, Recueil d’opinion sur la Gestion Alternative, publication of the AFG-ASFFI, 65-73.
  • Jurczenko E., B. Négrea and B. Maillet , (2002), “Simplified Multi-moment Approximate Option Pricing Models”, Université de Paris I, mimeo, 54 pages.
  • Maillet B. and Th. Michel, (2001), “Quelle est la gravité de la crise financière de septembre 2001 ?”,  Flash, CDC-IXIS Publication, 4 pages.
  • Chauveau Th. and B. Maillet, (2001), “Performance: A Generalization of Traditional Measures”, Université de Paris I, mimeo, 60 pages.
  • Maillet B. and Th. Michel, (1998), “Volume Time-scale and Intra-day Returns Density”, Université de Paris I, mimeo, 25 pages.

 Works in Progress

  • Kouontchou P. and B. Maillet, (2008), “ICA-based High Frequency VaR for Risk Management”, 8 pages.
  • Kouontchou P. and B. Maillet, (2008), “High-frequency Market Risk Scenarii by Independent Component Analysis: Method and Application”, 39 pages.
  • Kouontchou P. and B. Maillet, (2008), “A Robust Conditional Multi-moment Asset Pricing Model with High-frequency Data and Heterogeneous Market Participants”, 46 pages.
  • Kouontchou P., B. Maillet and T. Michel, (2008), “Recovering an Intrinsic Well-behaved Business Time from Market Prices”, 29 pages.
  • Filippi P., P. Kouontchou, B. Maillet and P. Merlin, (2008), “Analyse de style, classification de fonds et  cartes auto-organisées de Kohonen”, 45 pages.
  • Maillet B. and P. Merlin, (2008), “Time-series Completion and Scenarii Generation for Robust Asset Allocation and Risk Measurement”, 32 pages.
  • Sorjamaa A., A. Lendasse, B. Maillet and P. Merlin, (2008), “Conditional Robust Flexible Completion”, 10 pages.
  • Bagnarosa G., E. Jurczenko and B. Maillet, (2008), “Recovering Constrained Implied Risk-neutral Moments for Option Pricing with a Parallel Stochastic Hybrid Self-adapted Genetic Algorithm”, 35 pages.
  • Hamidi B., J-L. Prigent and B. Maillet, (2008), “Time-Varying Proportion Portfolio Insurance based on a CAViaR Approach”, 29 pages.
  • Hamidi B., E. Jondeau and B. Maillet, (2008), “Centile Regression Approaches for Crisis Analysis”, 26 pages.
  • Boucher Ch. and B. Maillet, (2008), “A New Richter Scale for Stock Markets”, 20 pages.
  • Boucher Ch. and B. Maillet, (2008), “One Century of Financial Crises on the American Stock Market”, 6 pages.

 Conference, Workshop and Seminar Presentations (since March 2000):
1. TEAM seminar, University of Paris I Panthéon-Sorbonne (Paris, March 2000 - 1 paper)
2. Vth Spring Meeting of Young Economists (Oxford, March 2000 - 2 papers)
3. TEAM Seminar, University of Paris I Panthéon-Sorbonne (Paris, Mai 2000 - 1 paper)
4. VIIth International Conference in Forecasting Financial Markets (London, May 2000 - 2 papers)
5. XVIIth “Journées de Micro-économie Appliquée” (Québec, June 2000 - 1 paper)
6. XVIIth International Meeting of the GDR-CNRS Money and Finance (Lisbon, June 2000 - 2 papers, 1 discussion)
7. XVIIth AFFI International Conference in Finance (Paris, June 2000 - 1 paper)
8. Ist International Portuguese Finance Network Conference (Braga, July 2000 - 1 paper)
9. IXth European Financial Management Association Meetings (Athens, July 2000 - 1 paper)
10. IVth International Congress on Insurance, Mathematics and Economics (Barcelona, July 2000 - 2 papers)
11. ILth Conference of AFSE (Paris, September 2000 - 1 paper)
12. XIIIth Australasian Finance and Banking Conference (Sydney, December 2000 - 1 paper)
13. VIIIth International Conference in Forecasting Financial Markets (London, May 2001 - 4 papers)
14. XVIIIth “Journées de Micro-économie Appliquée” (Nancy, June 2001 - 1 chair, 1 discussion)
15. XVIIIth International Meeting of the GDR-CNRS Money and Finance (Pau, June 2001 - 1 chair, 1 discussion)
16. TEAM Seminar, University of Paris I Panthéon-Sorbonne (Paris, June 2001 - 1 paper)
17. XVIIIth AFFI International Conference in Finance (Namur, June 2001 - 1 paper)
18. Xth European Financial Management Association (Lugano, June 2001 - 2 papers)
19. VIIIth Multinational Finance Association Conference (Verona, June 2001 - 1 paper)
20. SIRIF Conference on Performance Measurement (Edinburgh, July 2001 - 1 paper)
21. VIIIth International Meeting of ACSEG (Rennes, November 2001 - 1 paper)
22. IIIrd Conference on Applications of Physics in Financial Analysis (London, December 2001 - 1 paper)
23. AFFI International Conference in Finance (Paris, December 2001 - 2 papers)
24. TEAM Seminar, University of  Paris I Panthéon-Sorbonne (Paris, February 2002 - 1 paper)
25. Finance-sur-Seine Workshop (Paris, April 2002 - 1 paper)
26. GRIFI Conference on Financial Econometrics (Lille, May 2002 - 1 paper)
27. IXth International Conference in Forecasting Financial Markets (London, May 2002 - 1 paper)
28. XIXth “Journées de Micro-économie Appliquée” (Rennes, June 2002 - 1 chair, 1 paper)
29. XIIth International Meeting of the GDR-CNRS International Economics and Finance (Bordeaux, June 2002 - 1 paper)
30. IXth Multinational Finance Association Conference (Paphos - Cyprus, July 2002 - 1 paper)
31. XIXth AFFI International Conference in Finance (Strasbourg, June 2002 - 1 chair, 1 discussion, 2 papers)
32. LVIIth European Meeting of the Econometric Society (Venice, August 2002 - 1 paper)
33. SIRIF Conference on Financial Econometrics (Edinburg, August 2002 - 1 paper)
34. INQUIRE UK Conference on Higher Moments (London, September 2002 - 1 paper)
35. IXth International Meeting of ACSEG (Boulogne, November 2002 - 1 paper)
36. AFFI International Conference in Finance (Paris, December 2002 - 1 paper)
37. Advances in Financial Econometrics, University of Paris-10 (Paris, January 2003-- 1 paper)
38. Xth International Conference in Forecasting Financial Markets (Paris, June 2003 - 2 papers, 1 chair)
39. XXth “Journées de Micro-économie Appliquée” (Montpellier, June 2003 - 1 chair)
40. XXth AFFI International Conference in Finance (Lyon, June 2003 -  1 chair)
41. VIIth IME Conference (Lyon, June 2003 - 1 paper)
42. Xth International Meeting of ACSEG (Nantes, November 2003 - 1 paper)
43. AEA - Stock Market Conference (Paris, April 2004 - 1 paper, 1 chair)
44. International Conference of the Euro Working Group (Paris, May 2004 - 1 chair)
45. International ESANN Conference (Brugge, May 2004 - 1 paper)
46. XXIth “Journées de Micro-économie Appliquée” (Lille, June 2004 - 1 discussion, 1 chair)
47. XIth International Conference in Forecasting Financial Markets (Paris, June 2004 - 1 paper, 1 chair)
48. GRETA International Conference in  Financial Econometrics (Venice, June 2005 - 1 paper)
49. XXIInd  International Meeting of the GDR-CNRS Money-Finance (Strasbourg, June 2005 - 1 paper)
50. XX1st “Journées de Micro-économie Appliquée” (Hammamet, June 2005 - 1 chair)
51. XX1tst AFFI International Conference in Finance (La Defense, June 2005 - 3 papers)
52. XXXIInd European Finance Association Conference  (Moscow, June 2005 - 1 discussion)
53. International Conference on Natural Computation (Changsha, August 2005 - 1 paper)
54. Vth Workshop on SOM (Paris, September 2005 - 2 papers)
55. International Meeting of ICANN (Warsaw, September 2005 - 2 papers)
56. International Conference on Financial Forecasting (Loutraki,  October 2005 - 2 papers)
57. XIIth International Meeting of ACSEG (Marseille, November 2005 - 2 papers)
58. Advances in Financial Econometrics, University of Paris-10 (Paris, December 2005 - 4 papers)
59. EC2 Insurance and Finance Conference (Istanbul, December 2005 - 2 papers)
60. International Conference on High Frequency Finance (Konstanz, May 2006 - 1 paper)
61. XXIIIth “Journées de Micro-économie Appliquée” (Nantes, June 2006 - 1 discussion, 1 chair, 4 papers)
62. XXII nd AFFI International Conference in Finance (Poitiers, June 2006 - 1 Prize  jury)
63. International ESANN Conference (Brugge, May 2007 - 2 papers)
64. XXII th AFFI International Conference in Finance (Bordeaux, June 2007 - 10 papers)
65. XX1sst “Journées de Micro-économie Appliquée” (Fribourg, June 2007 - 2 papers)
66. Xth European Workshop on Efficiency and Productivity Analysis (Lille, June 2007 - 1 paper)
67. Vth International Financial Research Forum, Europlace Institute of Finance, (Paris, June 2007 - 1 paper)
68. LVIth Annual Congress, AFSE (Paris, September 2007 - 1 paper)
69. Advances in Financial Econometrics, University of Paris-10 (Paris, November 2007 -4 papers)
70. International  Conference in Math. and Stat. Methods  for Actuarial. Science  and Finance (Venice, March 2008 - 1 paper)
71. Financial Risks International Forum (Paris, March 2008 - 1 paper)
72. XXVth “Journées de Microéconomie Appliquée”(Ile de la Réunion, May 2008 - 1 paper)
73. XXIII rd AFFI International Conference in Finance (Lille, June 2008 - 1 paper)

Total Visitors: 56231