Franck Moraux : Citation Profile


Are you Franck Moraux?

Université de Rennes 1 (50% share)
Centre de Recherche en Économie et Management (CREM) (50% share)

7

H index

4

i10 index

108

Citations

RESEARCH PRODUCTION:

12

Articles

57

Papers

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 5
   Journals where Franck Moraux has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 9 (7.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo266
   Updated: 2020-02-16    RAS profile: 2019-09-27    
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Relations with other researchers


Works with:

Navatte, Patrick (5)

Vanduffel, Steven (4)

VIVIANI, Jean-Laurent (3)

Fouilloux, Jessica (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Franck Moraux.

Is cited by:

Shibata, Takashi (8)

Godlewski, Christophe (8)

Mella-Barral, Pierre (4)

Skiadopoulos, George (4)

Hege, Ulrich (4)

Prigent, Jean-Luc (3)

Gamba, Santiago (3)

Melo-Velandia, Luis (3)

Vanduffel, Steven (2)

Fajardo, José (2)

Hori, Kenjiro (2)

Cites to:

merton, robert (13)

Mella-Barral, Pierre (11)

Leland, Hayne (9)

Jarrow, Robert (9)

Calvet, Laurent (8)

Longstaff, Francis (7)

Guidolin, Massimo (6)

Timmermann, Allan (6)

Duffie, Darrell (5)

Ait-Sahalia, Yacine (5)

Laeven, Roger (5)

Main data


Where Franck Moraux has published?


Working Papers Series with more than one paper published# docs
Post-Print / HAL56

Recent works citing Franck Moraux (2019 and 2018)


YearTitle of citing document
2019The Leland-Toft optimal capital structure model under Poisson observations. (2019). Yamazaki, Kazutoshi ; Surya, Budhi Arta ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1904.03356.

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2019A Self-Exciting Modelling Framework for Forward Prices in Power Markets. (2019). Sgarra, Carlo ; Mazzoran, Andrea ; Callegaro, Giorgia. In: Papers. RePEc:arx:papers:1910.13286.

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2017Contingent Convertible Bonds: Payoff Structures and Incentive Effects. (2017). Hori, Kenjiro ; Ceron, Jorge Martin . In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1711.

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2019Bond Exchange Offers or Collective Action Clauses?. (2019). Mella-Barral, Pierre ; Hege, Ulrich. In: EconPol Working Paper. RePEc:ces:econwp:_32.

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2017Pricing American-style Parisian down-and-out call options. (2017). Le, Nhat-Tan ; Dang, Duy-Minh. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:305:y:2017:i:c:p:330-347.

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2019Liquidation, fire sales, and acquirers’ private information. (2019). Shibata, Takashi ; Nishihara, Michi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301666.

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2018The use of equity financing in debt renegotiation. (2018). Silaghi, Florina . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:123-143.

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2018Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders. (2018). Shibata, Takashi ; Nishihara, Michi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:118-137.

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2018Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets. (2018). Hui, Cho-Hoi ; Chau, Po-Hon ; Lo, Chi-Fai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:109-128.

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2019Pricing European continuous-installment strangle options. (2019). Kim, Geonwoo ; Jeon, Junkee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819301962.

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2019A new efficiency test for ranking investments: Application to hedge fund performance. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:203-207.

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2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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2018ARIMA + GARCH + Bootstrap forecasting method applied to the airline industry. (2018). Nieto, Mara Rosa ; Carmona-Bentez, Rafael Bernardo. In: Journal of Air Transport Management. RePEc:eee:jaitra:v:71:y:2018:i:c:p:1-8.

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2019Optimal capital structure and bankruptcy choice: Dynamic bargaining versus liquidation. (2019). Grenadier, Steven R ; Antill, Samuel. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:198-224.

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2019Dynamic Responses of Major Equity Markets to the US Fear Index. (2019). Raffiee, Kambiz ; Macri, Joseph ; Chatrath, Arjun ; Adrangi, Bahram. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:156-:d:270481.

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2019Debt Renegotiation and the Design of Financial Contracts. (2019). Godlewski, Christophe. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:55:y:2019:i:2:d:10.1007_s10693-019-00311-x.

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2017Initial conditions and the private debt renegotiation process. (2017). Godlewski, Christophe. In: Working Papers of LaRGE Research Center. RePEc:lar:wpaper:2017-03.

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2019How legal and institutional environments shape the private debt renegotiation process?. (2019). Godlewski, Christophe. In: Working Papers of LaRGE Research Center. RePEc:lar:wpaper:2019-08.

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2017Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders. (2017). Shibata, Takashi ; Nishihara, Michi. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1718.

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2018Liquidation, fire sales, and acquirers private information. (2018). Shibata, Takashi ; Nishihara, Michi. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1825.

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2017Exchange Rate Dynamics and United States Dollar-Denominated Sovereign Bond Prices in Emerging Markets. (2017). Chau, Po-Hon ; Lo, Chi-Fai ; Hui, Cho-Hoi. In: ADB Economics Working Paper Series. RePEc:ris:adbewp:0530.

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2017Optimal portfolio positioning within generalized Johnson distributions. (2017). Prigent, Jean-Luc ; Naguez, N. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:7:p:1037-1055.

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2019Bond Exchange Offers or Collective Action Clauses?. (2019). Hege, Ulrich ; Mella-Barral, Pierre. In: TSE Working Papers. RePEc:tse:wpaper:123086.

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2018OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY. (2018). Bernard, Carole ; Ye, Jiang ; Vanduffel, Steven. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500139.

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2018Evaluation of Individual and Group Lending under Asymmetric information. (2018). Tantisantiwong, Nongnuch ; simmons, peter. In: Discussion Papers. RePEc:yor:yorken:18/01.

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Works by Franck Moraux:


YearTitleTypeCited
2014Optimal Payoffs under State-dependent Preferences In: Papers.
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paper8
2015Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance.
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2007Business Risk Targeting and Rescheduling of Distressed Debt In: Finance.
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article1
2015Le coût du financement par obligations rachetables:une étude empirique In: Revue Finance Contrôle Stratégie.
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article0
2014Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds In: Journal of Corporate Finance.
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article13
2015How do reservation prices impact distressed debt rescheduling? In: Economic Modelling.
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article0
2015Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty In: Energy Policy.
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article0
2004Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing In: International Review of Financial Analysis.
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article0
2004A closed form solution for pricing defaultable bonds In: Finance Research Letters.
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article2
2016Pricing and hedging American and hybrid strangles with finite maturity In: Journal of Banking & Finance.
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article3
2009Should Executive Compensation rules govern Audit fees? An Analysis of Executive Compensation driven Frauds In: Post-Print.
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paper0
2004Valuing Callable Convertible Bonds : a reduced approach In: Post-Print.
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paper1
2004Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing In: Post-Print.
[Citation analysis]
paper0
2003Sur les obligations convertibles à clause de remboursement anticipé au gré de lémetteur In: Post-Print.
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paper0
2002On cumulative parisian options In: Post-Print.
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paper1
2002Pricing credit derivatives in credit classes frameworks In: Post-Print.
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paper0
200230 ans de modèles structurels de risque de défaut In: Post-Print.
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paper2
2003The dynamics of the term structure of interest rates : an independent component analysis In: Post-Print.
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paper1
2002Valuing corporate liabilities when the default threshold is not an absorbing barrier In: Post-Print.
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paper19
2006Rescheduling debt in default : the Longstaffs proposition revisited. In: Post-Print.
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2003Managing corporate liabilities of financially weakened firms In: Post-Print.
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paper0
2003Empirical analysis of term structures of credit spreads indices : a Kalman filtering approach In: Post-Print.
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2004The relation between corporate credit spreads, treasury yields and the equity markets : new evidences from daily options-ajusted spreads indices In: Post-Print.
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2004Extending the Maturity of a defaulting debt : when it is worthwhile ! In: Post-Print.
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2006The active management of distressed debt In: Post-Print.
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2007Business Risk Targeting AndRescheduling of Distressed Debt In: Post-Print.
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2007Rescheduling of distressed debt and business risk targeting ex ante the reorganization In: Post-Print.
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2007Business risk targeting and rescheduling of distressed debt. In: Post-Print.
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2007Admissible Designs of Debt-Equity Swaps for Distressed Firms: Analysis, Limits and Applications In: Post-Print.
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2008The immunization performance of traditional and stochastic durations: a mean-variance analysis In: Post-Print.
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2009Examining Performance of Quadratic Models of TermStructure of Interest Rates In: Post-Print.
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2009Relations between Corporate Credit Spreads,Treasury Yields and the Equity Market In: Post-Print.
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paper3
2009Make-whole callable bonds :Covenant yield premium insights In: Post-Print.
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2009On perpetual American strangles In: Post-Print.
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paper2
2009Should executive compensation rules govern Audit fees ? An anlysis of executive compensation driven frauds. In: Post-Print.
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paper0
2009Continuous barrier range options In: Post-Print.
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paper0
2009On the Pricing and Design of Debt-Equity Swaps for Firms in Default In: Post-Print.
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paper3
2010Sensitivity Analysis of Credit Risk Measures in the Beta Binomial Framework In: Post-Print.
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paper1
2010How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation In: Post-Print.
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2010Quadratic Approaches for Modeling Term Structures of Interest Rates in Discrete Time In: Post-Print.
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2011Private Benefits in a contingent claim framework: Valuation effects and other implications In: Post-Print.
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2011Private Benefits in a contingent claim framework: Valuation effects and other implications In: Post-Print.
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2011How valuable is your VaR? Large sample confidence intervals for normal VaR In: Post-Print.
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2012Debt renegotiation In: Post-Print.
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2012Bond portfolio management with affine and quadratic term structure models : selection, risk management and performance In: Post-Print.
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2013Strategic management of private benefits in a contingent claim framework In: Post-Print.
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paper1
2013Recherches et innovations en sciences de gestion In: Post-Print.
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paper0
2013Optimal payoffs under state-dependent constraints In: Post-Print.
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paper0
2013Pricing and hedging american strangles with finite maturity In: Post-Print.
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paper0
2013Foreign exchange risk management : evidence from French non-financial firms In: Post-Print.
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2013Analytical pricing of european bond options within one-factor quadratic term structure models In: Post-Print.
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2013Debt renegotiation In: Post-Print.
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paper1
2013La finance serait-elle devenue anormale au XXIe siècle ? In: Post-Print.
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2014Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds In: Post-Print.
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2014What Moves Euro-Bund Futures Contracts on Eurex? Surprises! In: Post-Print.
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2015Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty In: Post-Print.
[Citation analysis]
paper0
2015How do reservation prices impact distressed debt rescheduling? In: Post-Print.
[Full Text][Citation analysis]
paper0
2015Optimal payoffs under state-dependent preferences In: Post-Print.
[Citation analysis]
paper9
2015Le coût du financement par obligations rachetables : une étude empirique In: Post-Print.
[Citation analysis]
paper0
2016Pricing and hedging American and hybrid strangles with finite maturity In: Post-Print.
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paper2
2016De l’absence au dilemme de la diversification des fournisseurs dans la gestion du risque de rupture d’approvisionnement des supply chains In: Post-Print.
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paper0
2017Analytical Pricing of European Bond Options within One-Factor Quadratic Term Structure Models In: Post-Print.
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2018René M. Stulz: latitude managériale et politique financière In: Post-Print.
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2019A switching self-exciting jump diffusion process for stock prices In: Post-Print.
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2018Hedging of options in the presence of jump clustering In: Post-Print.
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2019American Step Options In: Post-Print.
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2019A switching self-exciting jump diffusion process for stock prices In: Annals of Finance.
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1999The Predictive Power of the French Market Volatility Index: A Multi Horizons Study In: Review of Finance.
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2004Valuing callable convertible bonds: a reduced approach In: Applied Financial Economics.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 4 2020. Contact: CitEc Team