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CHIBANE Messaoud

PhD, Management, Finance

Messaoud CHIBANE is the director of the MSc Finance & Big Data and assistant professor of Finance. He teaches Digital Finance, Sustainable Finance, Derivatives Valuation and Quantitative Finance at undergraduate and graduate levels as well as executive education. His research specializes on Asset Pricing, Derivative Pricing, Financial markets, Crypto-currencies, Fintech and Numerical Methods. His research has appeared in numerous practitioners’ journals such as Risk magazine and Wilmott journal.

Areas of research

  • Cryptocurrencies
  • Portfolio choice
  • Consumption-based Asset Pricing
  • Exotic Option Pricing
  • Socially responsible investing

Recent academic contributions

  • CHIBANE, M., A.GABRIEL, G.GIMENEZ ROCHE, "Malinvestment and Crisis-Emergent Asset Comovement: The Problem of Latent Correlation", SSRN Electronic Journal, June 2020
    DOI : 10.2139/ssrn.3593751
  • JANSON, N., M.CHIBANE, "Do Bitcoin Stylized Facts Depend On Geopolitical Risk ?" in Souther Economic Association, 2019, Fort Lauderdale, FL, United States
  • CHIBANE, M., N.JANSON, "Do Bitcoin Stylized Facts Depend On Geopolitical Risk ?," in The International Finance and Banking Society (IFABS) Conference, 2019, Angers, France

Academic Journals

  • CHIBANE, M., A.GABRIEL, G.GIMENEZ ROCHE, "Malinvestment and Crisis-Emergent Asset Comovement: The Problem of Latent Correlation", SSRN Electronic Journal, June 2020
    DOI : 10.2139/ssrn.3593751
  • CHIBANE, M., H.MIAO, G.SHELDON, "Accurate Pricing of Continuous Barrier Options With Local Volatility", Wilmott, November 2012, vol. 2012, no. 62, pp. 74-81
    DOI : 10.1002/wilm.10168
  • CHIBANE, M., H.MIAO, C.XU, "Sensible Sensitivities for the SABR Model", Wilmott Journal, February 2011, vol. 3, no. 1, pp. 25-38
    DOI : 10.1002/wilj.46

Book chapter

  • CHIBANE, M., J.SELVARAJ, G.SHELDON, "Building Curves on a Good Basis" in Interest Rate Modelling after the Financial Crisis., Massimo Morini and Marco Bianchetti Ed., Incisive Media Investments Limited, pp. 283-310, 2013
  • CHIBANE, M., Y.-C.HUANG, J.SELVARAJ, "Taking Collateral Into Account" in Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges., Carsten Wehn, Christian Hoppe , Greg N. Gregoriou Eds, Elsevier, pp. 13-26, 2012

Academic conferences

  • JANSON, N., M.CHIBANE, "Do Bitcoin Stylized Facts Depend On Geopolitical Risk ?" in Souther Economic Association, 2019, Fort Lauderdale, FL, United States
  • CHIBANE, M., N.JANSON, "Do Bitcoin Stylized Facts Depend On Geopolitical Risk ?," in The International Finance and Banking Society (IFABS) Conference, 2019, Angers, France
  • CHIBANE, M., S. OUZAN, "Value Bubbles", 2019
  • CHIBANE, M., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" in International Finance and Banking Society (IFABS), 2019
  • CHIBANE, M., "Asset Pricing with Heterogeneous Disaster Beliefs" in Financial Engineering and Banking Society, 2019
  • CHIBANE, M., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" in AFFI, French Finance Association, 2017