Bellalah Mondher

Professeur UCP
Membre permanent

Contact

Bureau: D166
Mail: mondher.bellalah@u-cergy.fr
Tel: +33 1 34 25 63 20

Adresse:
Université de Cergy-Pontoise - THEMA - 33, boulevard du Port
Cergy-Pontoise Cedex
France

Specialité

Évaluation des actifs financiers, information et gestion des risques.

Articles

  • An intertemporal capital asset pricing model under incomplete information and short sales Bellalah Mondher, Zhang Detao , Annals of operations research, 2018
  • Pricing derivatives in the presence of shadow costs of incomplete information and short sales Bellalah Mondher, Annals of operations research, 262 (2), p.389-411, 2018
  • On information costs, short sales and the pricing of extendible options, Steps and Parisian Options Bellalah Mondher, Annals of operations research, 262 (2), p.361-387, 2018
  • Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales Bellalah Mondher, Xu Yaosheng, Zhang Detao , Annals of operations research, 2018
  • A Model for International Capital Markets Closure in an Economy with Incomplete Markets and Short Sales Bellalah Mondher, Zhang Detao , Economic modelling, 67 , p.316-324, 2017
  • The Efficiency of the GIPS Sovereign Debt Markets during Crisis Bellalah Mondher, Bachar Fakhry, Omar Masood , International journal of business, 21 (1), p.87-98, 2016
  • The performance of hybrid models in the assessment of default risk Bellalah Mondher, Zouari Sami, Levyne Olivier , Economic modelling, 52 , p.259-265, 2016
  • Modeling transmissions of volatility shocks : Application to CDS spreads during the euro area sovereign crisis Bellalah Mondher, Boussada Haifa, Bellalah Makram , International journal of business, 21 (1), p.1-25, 2016
  • A General Theory of Corporate International Investment under Incomplete information, short sales and Taxes Bellalah Mondher, Bradford Marc, Zhang Detao , Economic modelling, 58 , p.615-626, 2016
  • Real Options : An Alternative Valuation Model for the U.S. REIT Market Bellalah Mondher, Dubreuille S., Cherif M. , International journal of business, 21 (1), p.42-54, 2016
  • Shadow costs of incomplete information and short sales in the valuation of the firm and its assets Bellalah Mondher, North american journal of economics and finance, 37 , p.406-419, 2016
  • Issues in Real Options with shadow costs of incomplete Information and short sales Bellalah Mondher, Journal of Economic Asymmetries, 13 , p.45-56, 2016
  • Management et culture du risque de crédit dans les banques tunisiennes Bellalah Mondher, Maraghni Hichem, Ben Bouheni Faten, Hikkerova Lubica, Sahut Jean-Michel , Revue des Sciences de Gestion, 2016/5 (281-282), p.151-161, 2016
  • Portfolio Credit Risk Models and Name Concentration Issues : Theory and Simulations Bellalah Mondher, Zouari M., Sahli A., Miniaoui H. , International journal of business, 20 (2), p.110-126, 2015
  • How does the historical perspective and systemic effects of house price movements help to explain the pattern of consumption in the U.K ? Bellalah Mondher, Advances in Management and Applied Economics, 2015
  • Advanced Risk Profile Analysis of Islamic Equity Investment : Evidence from the American Bellalah Mondher, Chayeh Zineb , Journal of risk, 17 (6), p.1–26, 2015
  • The recent financial crisis : is there an equity premium puzzle ? Bellalah Mondher, Heschmi H. , Research in international business and finance, 2015
  • Derivatives, Risk Management and Value Bellalah Mondher, Nobel Laureates Myron Scholes and Harry Markowitz , Two Volumes, World Scientific Publishing, , 2012
  • Economic Forces and Stock Exchange Prices : Pre and Post Impacts of Global Financial Recession of 2008 Bellalah Mondher, Omar Masood, Priya Darshini, Rabeb Triki , Journal of Computation and Modelling, Vol. 2 , p. 157-179, 2012
  • Relevance of Fair Value Accounting for Financial Instruments : Some French Evidence Bellalah Mondher, Mohamed El Hedi Arouri, Nessrine Ben Hamida, Duc Khuong Nguyen , International journal of business, Vol. 17 , 2012
  • Does Co-integration and Causal Relationship Exist between the Non-stationary Variables for Chinese Bank’s Profitability ? Empirical Evidence Bellalah Mondher, Omar Masood, Priya Darshini Pun Thapa, Olivier Levyne , International journal of business, Vol. 17 , 2012
  • Short and Long-term Relationships between Oil and Stock prices in GCC Countries Bellalah Mondher, Duc Khuong Nguyen, Mohamed el Hedi Arouri , International journal of business, Vol. 17 , 2012
  • Further Evidence on the Responses of Stock Prices in GCC Countries to Oil Price Shocks Bellalah Mondher, Mohamed El Hedi Arouri, Duc Khuong Nguyen , International journal of business, Vol. 16 , 2011
  • Sensitivity Analysis of Domestic Credit to Private Sector in Pakistan : A Variable Replacement Approach Applied with Con-integration Bellalah Mondher, Omar Masood, Shazaib Butt, Syed Alamdar Ali, Frederic Teulon, Olivier Levyne , International journal of business, Vol. 16 , 2011
  • Nonlinear Linkages between Oil and Stock Markets in Developed and Emerging Countries Bellalah Mondher, Jawadi F. , International journal of business, 2010
  • Cointegration of Baltic Stock Markets in the Financial Tsunami : Empirical Evidence Bellalah Mondher, Massod O. , International journal of business, 15 (1), 2010
  • The comovements in international stock markets : new evidence from Latin American emerging countries Bellalah Mondher, El Hedi, Arouri, Mohamed; Nguyen, Duc Khuong , Applied economics letters, 17 , p.1323-1328, 2010
  • Non performing Loans and Credit Manager’s role : A comparative Approcach from Pakistan and Turkey Bellalah Mondher, Omar Massod, Walid Mansour , International journal of business, Vol. 15 , 2010
  • Portfolio valuation in presence of market frictions Bellalah Mondher, Bellalah Makram; Pariente George; Chtioui, Tawhid; Khayati, Ani , International journal of business, Vol. 14 , 2009
  • Nonlinear mean reversion in oil and stock markets Bellalah Mondher, Jawadi, Fredj , Review of accounting and finance, 10 , p.316-326, 2009
  • An Intertemporal Capital Asset Pricing Model with Incomplete Information Bellalah Mondher, Wu Z. , International journal of business, 14 (2), 2009
  • A simple model of corporate international investment under incomplete information and taxes Bellalah Mondher, Wu Z. , Annals of operations research, 165 , p.123-143, 2009
  • Merton H. Miller : Our Socrates Bellalah Mondher, Mansour W. , International journal of business, 13 (4), 2008
  • Real option valuation with information costs : a synthesis Bellalah Mondher, Levyne O. , International journal of business, 4 , 2007
  • Real option valuation with information uncertainty Bellalah Mondher, International journal of business, 2007
  • Introduction for a special issue Bellalah Mondher, International journal of business, 2007
  • Information Assymetry in the french market around crises Bellalah Mondher, International journal of business, 12 (1), 2007
  • Pricing to Market Behavior and Exchange Rate Pass-Through : An Application of the Threshold Model Bellalah Mondher, Drissi R., Juillard M. , Revue Économie et Finance Euro-Méditerranéenne, 2007
  • On derivatives and Information Costs Bellalah Mondher, International review of economics and finance, 2006
  • Long range memory on emerging stock market volatility and the value at risk Bellalah Mondher, Aloui C. , Wirtschaft und management, 2006
  • Estimation of transaction costs on the Tunisian Stock exchange Bellalah Mondher, Sebai S. , International journal of business, 11 (4), 2006
  • Long run dependence in daily volatility on Tunisian Stock Exchange Bellalah Mondher, International journal of business, 10 (3), 2005
  • Introduction for a special issue Bellalah Mondher, International journal of business, 2005
  • On portfolio analysis, market equilibrium and corporation finance within information uncertainty Bellalah Mondher, International journal of business, 2 (10), 2005
  • Volume, volatility, spreads and periodic closure in the French Market Bellalah Mondher, International journal of business, 2 (2), 2004
  • Introduction for a special issue Bellalah Mondher, International journal of finance and economics, Special Issue , 2004
  • The Valuation of long term Americain options with a composite volatility Bellalah Mondher, International journal of finance and economics, 2004
  • The extended Black-Scholes formula with leads, lags and hedging errors Bellalah Mondher, Gosh D. , Journal of banking and finance, 2004
  • Corporate International Investment under incomplete information Bellalah Mondher, International journal of business, 10 (1), 2004
  • Short and long term financing and the capital structure of Islamic firms : A survey of the literature Bellalah Mondher, International journal of finance and economics, Special Issue , 2004
  • A Decomposition of Empirical Distributions : applications to VaR and to the valuation of derivative assets Bellalah Mondher, Lavielle M. , Multinational finance journal, 2003
  • On Arbitrage, Information costs, Compound options and the valuation of the firm and its assets Bellalah Mondher, International journal of business, 4 (8), 2003
  • The use of a multi-capital approach for the capital allocation within a bank Bellalah Mondher, Saihi M. , American Business Review, 2003
  • A model for market closure and International portfolio management Bellalah Mondher, Wu Z. , International journal of theoretical and applied finance, 5 , p.1-17, 2002
  • International Portfolio Choice and the effect of information costs Bellalah Mondher, International review of economics and finance, 13 , p.351-366, 2002
  • Valuing lease contracts under incomplete information Bellalah Mondher, Engineering economist, 2002
  • Irreversibility, sunk costs and Investment under incomplete information Bellalah Mondher, R&D Management Journal, 2 , p.115-126, 2001
  • A Reexamination of corporate risks under incomplete information Bellalah Mondher, International journal of finance and economics, p.59-67, 2001
  • Valuation of American CAC 40 Index and Wildcard Options Bellalah Mondher, International review of economics and finance, 10 , p.75-94, 2001
  • Valuation of Futures and Commodity Options With Information Costs Bellalah Mondher, Journal of futures markets, 19 , p.645-664, 1999
  • A note on the Valuation of an Exotic Timing Option Bellalah Mondher, M. Bellalah , Journal of futures markets, 17 , p.483-487, 1997
  • Option Valuation with Information Costs : Theory and Tests Bellalah Mondher, Jacquillat B. , Financial review, p.617-635, 1995

Contribution à un livre

  • Derivatives, risk management and value Bellalah Mondher, Singapore: World Scientific Publishing, 2010
  • Options, futures and Exotic Derivatives Bellalah Mondher, Singapore: World Scientific Publishing, 2009
  • Editeur associé Bellalah Mondher, Frontiers in Finance and Economics (Numéro spécial), 2007
  • Editeur invité Bellalah Mondher, Quaterly Journal of Finance-India (Numéro spécial), 2006

Livres

  • Derivatives, risk management and value World Scientific Publishing, 2010
  • Derivatives and exotic derivatives World Scientific Publishing, 2009
  • Risk Management and Value Test , World Scientific Publishing, 2008
  • La gestion obligataire De Boek, 2005
  • Gestion des portefeuilles Pearson Education, 2004
  • Gestion des risques et produits dérivés classiques et exotiques Dunod, 2003
  • Options, contrats à terme et gestion des risques financiers Simon Y. , Economica, 2000
  • Gestion financière : diagnostic, évaluation et choix des investissements Economica, 1999
  • Options, futures and exotic derivatives Briys E. , John Wiley & Sons, 1998
  • Gestion quantitative du portefeuille et nouveaux marchés financiers Nathan, 1991