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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

  • GIMENEZ ROCHE, G., M. CHIBANE, A. GABRIEL, "The impact of bank money on stock market integration: evidence from the Eurozone", The European Journal of Finance, May 2024
    DOI : 10.1080/1351847X.2024.2355104
  • CHIBANE, M., P. SIX, "Dynamic Asset Allocation and Consumption with the Indirect Utility Function.", Finance Research Letters, May 2024, pp. 105542
    DOI : 10.1016/j.frl.2024.105542
  • CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle?", Applied Economics, February 2023, vol. 55, pp. 603-616
    DOI : 10.1080/00036846.2022.2092053

Article

  • CHIBANE, M., P. SIX, "Dynamic Asset Allocation and Consumption with the Indirect Utility Function.", Finance Research Letters, May 2024, pp. 105542
    DOI : 10.1016/j.frl.2024.105542
  • GIMENEZ ROCHE, G., M. CHIBANE, A. GABRIEL, "The impact of bank money on stock market integration: evidence from the Eurozone", The European Journal of Finance, May 2024
    DOI : 10.1080/1351847X.2024.2355104
  • CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle?", Applied Economics, February 2023, vol. 55, pp. 603-616
    DOI : 10.1080/00036846.2022.2092053
  • YOUSSEF , M., B. B. NAOUA, F. BEN ABDELAZIZ, M. CHIBANE, "Portfolio selection: should investors include crypto-assets? A multiobjective approach", International Transactions in Operational Research, September 2023, vol. 30, no. 5, pp. 2620-2639
    DOI : 10.1111/itor.13203
  • CHIBANE, M., F. BEN ABDELAZIZ, "Portfolio optimization in the presence of tail correlation", Economic Modelling, May 2023, vol. 122
    DOI : 10.1016/j.econmod.2023.106235
  • CHIBANE, M., K. ANO SUJITHAN, "Is The Fed Failing To Re-Anchor Expectations? An Analysis Of Jumps In Inflation Swaps", Finance Research Letters, July 2023, vol. 55, no. B
    DOI : 10.1016/j.frl.2023.104004
  • CHIBANE, M., A. GABRIEL, G. GIMENEZ ROCHE, "Credit booms and crisis-emergent asset comovement: The problem of latent correlation", The Quarterly Review of Economics and Finance, August 2022, vol. 85, pp. 270-279
    DOI : 10.1016/j.qref.2022.03.009
  • 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

  • CHIBANE, M., "Portfolio Choice In the Presence of Tail Correlation" in Dasa -Decision Aid Sciences and Applications, 2022, Chengrai, Thailand
  • CHIBANE, M., "Portfolio Choice In The Presence of Tail Correlation?" in TSFS-Tunisian Society of Financial Studies, 2022
  • SIX, P., M. CHIBANE, "Investment as a source of income" in Inter-business-school Seminar, EM Lyon, 2022, Lyon
  • 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., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" in International Finance and Banking Society (IFABS), 2019, Angers, France
  • CHIBANE, M., "Asset Pricing with Heterogeneous Disaster Beliefs" in Financial Engineering and Banking Society, 2019
  • CHIBANE, M., S. OUZAN, "Value Bubbles" in The International Finance and Banking Society (IFABS) Conferences, 2018, Porto, Portugal
  • CHIBANE, M., A. LIOUI, P. PONCET, "Asset Pricing with Housing Booms and Disasters" in French Finance Association (AFFI), 2017

Participation at an academic or professional conference

  • CHIBANE, M., "Portfolio Choice In the Presence of Tail Correlation", 2022, Chengrai, Thailand
  • DUMOUX, K., M. CHIBANE, S. BENHENDA, AND AL - "Groupe de réflexion K2 - Les enjeux du Big Data" - 2022
  • CHIBANE, M., "Can COVID-19 Solve The Equity Premium Puzzle ?", 2021, Lille, France
  • OUZAN, S., M.CHIBANE, "Value Bubbles" Finance Seminar - Neoma Business School. 2018, Paris, France

Professional journals

  • CHIBANE, M., L.DIKMAN, "Hybrid Local Volatility Model with Stochastic Interest Rates", Risk Magazine, August 2013
  • CHIBANE, M., L.DIKMAN, "Quadratic Volatility Cheyette Model", Risk Magazine, June 2013