KALIFE Aymeric

< Back to ILB Patrimony
Topics of productions
Affiliations
  • 2005 - 2006
    Université Paris-Dauphine
  • 2018
    Optimal behavior strategy in the GMIB product.
  • 2017
    Managing investment and liquidity risks for derivatives within a market impact perspective.
  • 2016
    On Optimal Options Book Execution Strategies with Market Impact.
  • 2006
    Portfolio strategies for a large trader.

  • Optimal behavior strategy in the GMIB product.

    Aymeric KALIFE, Gabriela LOPEZ RUIZ, Saad MOUTI, Xiaolu TAN
    Insurance Markets and Companies | 2018
    No summary available.
    More informations See the publication

  • Managing investment and liquidity risks for derivatives within a market impact perspective.

    Aymeric KALIFE
    Insurance Markets and Companies | 2017
    No summary available.
    More informations See the publication

  • On Optimal Options Book Execution Strategies with Market Impact.

    Aymeric KALIFE, Saad MOUTI
    Market Microstructure and Liquidity | 2016
    No summary available.
    More informations See the publication

  • Portfolio strategies for a large trader.

    Aymeric KALIFE, Helyette GEMAN
    2006
    Traditional models of market finance do not explicitly account for the volume traded, although the price always reflects an equality of supply and demand. The aim of this thesis is precisely to account quantitatively for the impact of an agent trading a large number of assets, highlighting its link to market paradoxes and anomalies, and to develop appropriate hedging and arbitrage strategies. In the options market, the supply-demand imbalance requires a synthetic hedging strategy, which causes feedback effects on the option price, illustrating the so-called portfolio insurance paradox. From a concise model giving rise to a realistic bid-ask spread and a volatility smile, we develop concrete strategies based on inventory costs and information asymmetries.
    More informations See the publication
Affiliations are detected from the signatures of publications identified in scanR. An author can therefore appear to be affiliated with several structures or supervisors according to these signatures. The dates displayed correspond only to the dates of the publications found. For more information, see https://scanr.enseignementsup-recherche.gouv.fr