Publications
Books
JURCZENKO E., MAILLET B. (eds), (2006), Multi-moment asset allocation and pricing models, Wiley Finance, John Wiley &, Sons, Chichester, 233 p.
Book chapters
JURCZENKO E., MAILLET B., MERLIN P., (2006), "Hedge Funds portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier", in JURCZENKO E., MAILLET B. (eds), , Multi-moment Asset Allocation and Pricing Models, John Wiley & Sons, 60 p.
JURCZENKO E., MAILLET B., (2006), "The Four-moment Capital Asset Pricing Model: between Asset Pricing and Asset Allocation", in JURCZENKO E., MAILLET B. (eds), , Multi-moment Asset Allocation and Pricing Models, John Wiley & Sons, 60 p.
JURCZENKO E., MAILLET B., (2006), "Theoretical Foundations of Asset Allocations and Pricing Models with Higher-order Moments", in JURCZENKO E., MAILLET B. (eds), , Multi-moment Asset Allocation and Pricing Models, John Wiley & Sons, 60 p.
JURCZENKO E., MAILLET B., (2001), "The Three-moment CAPM: Theoretical Foundations and an Asset Pricing Model Comparison in a Unified Framework : Chapitre 13", in DUNIS C., MOODY J.E., TIMMERMANN A. (eds), , Developments in Forecast Combination and Portfolio Choice, John Wiley & Sons, pp 239-273, 35 p.
JURCZENKO E., (1999), "Les Marchés Financiers Face à la Monnaie Unique : Paris, Londres ou Francfort ?", in Questions d'Europe, Éditions Ellipses.
Published articles
HAMIDI B., JURCZENKO E., MAILLET B., (2009), "A Caviar Time-Varying Proportion Portfolio Insurance", BANKERS MARKETS AND INVESTORS, September-October, pp 4-21, 18 p.
JURCZENKO E., MAILLET B., NEGREA B., (2004), "A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction", QUANTITATIVE FINANCE, October, vol. 4, issue 5, pp 479-499, 21 p.
JURCZENKO E., MOUSSU C., CHAUVEAU T., (2004), "La volatilité des marchés augment-t-elle ?", EF REVUE D'ECONOMIE FINANCIERE, n°74, pp 17-44, 28 p.
CAPELLE-BLANCARD G., JURCZENKO E., MAILLET B., (2001), "The Approximate Option Pricing Model: Empirical Performances and Simple Dynamic Properties", JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, October, pp 427-443, 17 p.
CAPELLE-BLANCARD G., JURCZENKO E., (2000), "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40", BANQUE ET MARCHÉS, novembre-décembre 20, pp 32-41, 10 p.
Conference proceedings
JURCZENKO E., MERLIN P., (2005), "Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier"
, Proceedings of the AFFI International Meeting, 2005, June 27-28, La Défense, Paris,
Web Link.
JURCZENKO E., MAILLET B., NEGREA B., (2002), "Multi-moment Approximate Option Pricing Models: A General Comparison (Part 1)"
, Proceedings of the 19th AFFI Annual Meeting, 2002, June 24-26, Strasbourg,
Web Link.
Research reports - Working papers
JURCZENKO E., MAILLET B., (2003), "The Four-moment capital asset pricing model : some basic results", Les Cahiers de Recherche, ESCP-EAP, Paris, 70 p.
JURCZENKO E., MAILLET B., NEGREA B., (2002), "Revisited multi-moment approximate option pricing models : A general comparison", Discussion paper series, LSE Financial markets group, London, 85 p.
JURCZENKO E., MAILLET B., NEGREA B., (2002), "Skewness and Kurtosis Implied by Option Prices: A Second Comment", Discussion Paper Series, London School of Economics Financial Markets Group, July, n°419, 32 p.
JURCZENKO E., MAILLET B., (2001), "The 3-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models in a Unified Framework", Document de travail, Université Paris 1, TEAM, May.
JURCZENKO E., CAPELLE-BLANCARD G., MAILLET B., (2001), "The Approximate Option Pricing Model: Empirical Performances and Simple Dynamic Properties", Document de travail, Université Paris 1, TEAM, January.
JURCZENKO E., CAPELLE-BLANCARD G., MAILLET B., (2001), "The Approximate Option Pricing Model: Empirical Performances on the French Market", Document de travail, Université Paris 1, TEAM, January.
Dissertations
JURCZENKO E., (2006), "Modèles d'évaluation des prix des actifs financiers et moments d'ordre supérieur", thèse de Doctorat en Sciences Économiques , Université de Paris 1-Panthéon-Sorbonne.
