Publications et cahiers de recherche



Fondements de la gestion financière
  • Fondements de la gestion financière, Sous la direction de M. Kooli avec I. Gargouri et K. Sedzro. Chenelière éducation, première édition 2019. ISBN13 : 9782765055822 (Manuel imprimé); ISBN13 : 9782765055839 (version numérique).


  • Roch, A. (2022) Hedging of American options in illiquid markets with price impacts, International Journal of Theoretical and Applied Finance, à paraitre.
  • Ishii, H., Roch, A. (2021)Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing, SIAM J. Finan. Math. 12, 604-640.
  • Chevalier, E., Ly Vath, V., Roch, A. (2020) Optimal Dividend and Capital Structure with Debt Covenants, Journal of Optimization Theory and Applications 187, 535-565.
  • Amaya, D., Filbien, J-Y, Okou, C., et Roch, A. (2018) Distilling Liquidity Costs from Limit Order Books. Journal of Banking and Finance. Volume 94: 16-34.
  • Roch, A. (2018). Asymptotic asset pricing and bubbles. Mathematics and Financial Economics. 12, 275-304.
  • Fahrenwaldt, M. A. et Roch, A. (2017) Option prices under liquidity risk as weak solutions of semi linear diffusion equations, Nonlinear Differential Equations and Applications 24:12
  • Chevalier, E., Ly Vath, V., Roch, A. et Scotti, S. (2016) Optimal Execution Cost for Liquidation Through a Limit Order Market, International Journal of Theoretical and Applied Finance, Vol. 19.
  • Chevalier, E., Ly Vath, V., Roch, A. et Scotti, S. (2015) Optimal exit strategies for investment projects, Journal of Mathematical Analysis and Applications, Volume 425, 666-694.
  • Jarrow, R. et Roch, A. (2015) Liquidity Risk and the Term Structure of Interest Rates, Mathematics and Financial Economics, Volume 9, 57-83.
  • Roch, A. et Soner, M. (2013) Resilient price impact of trading and the cost of illiquidity, International Journal of Theoretical and Applied Finance, September 2013, Vol. 16 (6). (27 pages)
  • Roch, A. (2012) A Liquidity Based Model for Asset Price Bubbles, Quantitative Finance, 12 (9), 1339-1349
  • Gokay, S., Roch, A. et M. Soner (2011) Liquidity models in continuous and discrete time, Dans Di Nunno, Giulia; Øksendal, Bernt (Eds.), Advanced Mathematical Methods for Finance. Springer-Verlag, Berlin
  • Jarrow, R., Protter, P. et Roch, A. (2011) Liquidity risk, price impacts and the replication problem, Finance and Stochastics, 15 (3), 399-419, DOI: 10.1007/s00780-011-0156-x.
  • Roch, A., 2010, Viscosity Solutions and American Option Pricing in the Stochastic Volatility Model of the Ornstein-Uhlenbeck Type, Journal of Probability and Statistics Volume 2010, Article ID 863585

  • Maher Kooli & Ivan Stetsyuk, 2020, Are hedge fund managers skilled?, Global Finance Journal, 100574, forthcoming.
  • Maher Kooli & Xiazhou Zhou, 2020, IPO flipping activity in China and its implications, Pacific-Basin Finance Journal 61, 101345, forthcoming.
  • Salma Ben Amor & Maher Kooli, 2020, Do M&A exits have the same effect on venture capital reputation than IPO exits?, Journal of Banking and Finance 11, 105704,  forthcoming.

  • Schweizer, D., Walker, T., & Zhang, A., 2019, Cross-border acquisitions by Chinese enterprises: The benefits and disadvantages of political connections. Journal of Corporate Finance, 57: 63-85.

  • Ben-Abdallah, R., M. Breton & O. Marzouk, 2019, “Wrong-way risk of interest-rate instruments.” Journal of Credit Risk, 15(2): 21–44.

  • Cheng, F.S. De Franco, G., Jiang H. & Li, P., 2019, “Riding the Blockchain Mania : Public Firms’ Speculative 8-K Disclosure”, Management Science, 65(12):5901-5913

  • Ben-Abdallah, R. &t M. Breton, 2018, “Time is Money: An empirical investigation of delivery behavior in the U.S. T-Bond futures market.” Journal of Futures Markets, 38(1): 22–37.
  • Ben-Abdallah, R. & M. Breton, 2018, “History is repeating itself: Author response.” Financial Analysts Journal, 74(1): 6–7.
  • Amaya, D. Filbien, J-Y., Okou C. & Roch, A., 2018, “Distilling Liquidity From Limit Order Books”, Journal of Banking and Finance, 24, 16-34.

  • Salma Ben Amor & Maher Kooli, 2017, From IPO to M&A: Further evidence, Journal of Wealth Management, 20(3), 75-93.
  • Salma Ben Amor & Maher Kooli, 2017, Intended use of proceeds and post-IPO performance, The Quarterly Review of Economics and Finance 65, 168-181.
  • Gregoriou, Greg N & Maher Kooli, 2016, The profiles of merged hedge funds, funds of hedge funds, and CTA, Journal of Asset Management, 1-14.
  • Salma Ben Amor & Maher Kooli, 2016, Do acquisitions affect IPO long-run performance? Evidence from single vs. multiple acquirers, Journal of International Financial Markets, Institutions and Money 40, January 2016, Pages 63-79.
  • Moez Bennouri, Sonia Falconieri & Maher Kooli, Single versus multiple banking: lessons from initial public offerings, The European Journal of Finance, 2015, 1-18.
  • Aymen Karoui & Maher Kooli. Diversification versus Concentration Motives in Mutual Fund Mergers, The Journal of Wealth Management (Fall 2014), vol. 17, no 2: 9-18.
  • Gregoriou, Greg N and Maher Kooli, Rankings of the Largest 25 Hedge Funds during the 2009-2013 Period, The Journal of Wealth Management (Summer 2014), vol. 17, no 1: 78-85.

  • Olfa Hamza and Maher Kooli, Do « Hot Hands » Exist in Funds of Hedge Funds?, The Journal of Wealth Management (Spring 2014), vol. 16, no 4: 65-80.

  • Maher Kooli and Sameer Sharma, Should we give hedge funds clones a chance?, Managerial Finance (Special Issue: Hedge Funds During the Crisis), 2012, vol. 38, no 1, 44 -66.
  • Narjess Boubakri, Andrew Chan and Maher Kooli, Are the busiest really the best? Further evidence from frequent acquirers, Journal of Multinational Financial Management, 2012, vol. 22, no 1-2, 1-23.

  • Narjess Boubakri, Olfa Hamza and Maher Kooli, Institutional Investors’ Participation in Foreign Firms: Evidence from ADRs, International Finance Review, 2011, vol. 12, 145-168.