Franck Moraux : Citation Profile

Are you Franck Moraux?

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

5

H index

4

i10 index

91

Citations

RESEARCH PRODUCTION:

14

Articles

59

Papers

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 4
   Journals where Franck Moraux has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 10 (9.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo266
   Updated: 2020-08-09    RAS profile: 2020-06-14    
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Relations with other researchers

Works with:

Navatte, Patrick (4)

Vanduffel, Steven (3)

VIVIANI, Jean-Laurent (2)

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 (6)

Godlewski, Christophe (4)

Skiadopoulos, George (3)

Prigent, Jean-Luc (3)

Melo-Velandia, Luis (3)

Gamba, Santiago (3)

HAGIU, ALINA (2)

Vanduffel, Steven (2)

Hege, Ulrich (2)

Hori, Kenjiro (2)

Mella-Barral, Pierre (2)

Cites to:

merton, robert (9)

Leland, Hayne (6)

Jarrow, Robert (6)

Longstaff, Francis (5)

Chen, Zhiwu (5)

Mella-Barral, Pierre (5)

Cao, Charles (4)

Calvet, Laurent (4)

Germano, Guido (3)

De Donno, Marzia (3)

Duffie, Darrell (3)

Main data

Where Franck Moraux has published?

Journals with more than one article published# docs
Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL58

Recent works citing Franck Moraux (2020 and 2019)

YearTitle of citing document
2020The 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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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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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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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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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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2020Fractional Hawkes processes. (2020). Hainaut, Donatien. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437120301096.

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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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2020Asian options pricing in Hawkes-type jump-diffusion models. (2020). Sgarra, Carlo ; Brignone, Riccardo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00352-1.

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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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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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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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2020Pricing and hedging defaultable participating contracts with regime switching and jump risk. (2020). Su, Xiaoshan ; Quittard-Pinon, Franois ; le Courtois, Olivier. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00276-w.

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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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2019Volatility index and the return–volatility relation: Intraday evidence from Chinese options market. (2019). Yu, Xiaoli ; Li, Jupeng ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1348-1359.

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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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Works by Franck Moraux:

YearTitleTypeCited
2014Optimal Payoffs under State-dependent Preferences In: Papers.
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2015Optimal payoffs under state-dependent preferences.(2015) In: Post-Print.
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2015Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance.
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2007Business Risk Targeting and Rescheduling of Distressed Debt In: Finance.
[Full Text][Citation analysis]		article1
2007Business Risk Targeting AndRescheduling of Distressed Debt.(2007) In: Post-Print.
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This paper has another version. Agregated cites: 1		paper
2007Business risk targeting and rescheduling of distressed debt..(2007) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2019On Bankruptcy Procedures and the Valuation of Corporate Securities In: Finance.
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2019On Bankruptcy Procedures and the Valuation of Corporate Securities.(2019) In: Post-Print.
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2015Le coût du financement par obligations rachetables:une étude empirique In: Revue Finance Contrôle Stratégie.
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2014Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds In: Journal of Corporate Finance.
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2014Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds.(2014) In: Post-Print.
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2015How do reservation prices impact distressed debt rescheduling? In: Economic Modelling.
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2015How do reservation prices impact distressed debt rescheduling?.(2015) In: Post-Print.
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2020American step options In: European Journal of Operational Research.
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2020American Step Options.(2020) In: Post-Print.
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2015Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty In: Energy Policy.
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2015Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty.(2015) In: Post-Print.
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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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2004Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing.(2004) In: Post-Print.
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2004A closed form solution for pricing defaultable bonds In: Finance Research Letters.
[Full Text][Citation analysis]		article2
2016Pricing and hedging American and hybrid strangles with finite maturity In: Journal of Banking & Finance.
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2016Pricing and hedging American and hybrid strangles with finite maturity.(2016) In: Post-Print.
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This paper has another version. Agregated cites: 3		paper
2009Should Executive Compensation rules govern Audit fees? An Analysis of Executive Compensation driven Frauds In: Post-Print.
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2009Should executive compensation rules govern Audit fees ? An anlysis of executive compensation driven frauds..(2009) In: Post-Print.
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2004Valuing Callable Convertible Bonds : a reduced approach In: Post-Print.
[Citation analysis]		paper1
2004Valuing callable convertible bonds: a reduced approach.(2004) In: Applied Financial Economics.
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2003Sur les obligations convertibles à clause de remboursement anticipé au gré de lémetteur In: Post-Print.
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2002On cumulative parisian options In: Post-Print.
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2002Pricing credit derivatives in credit classes frameworks In: Post-Print.
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200230 ans de modèles structurels de risque de défaut In: Post-Print.
[Citation analysis]		paper2
2003The dynamics of the term structure of interest rates : an independent component analysis In: Post-Print.
[Citation analysis]		paper1
2002Valuing corporate liabilities when the default threshold is not an absorbing barrier In: Post-Print.
[Citation analysis]		paper20
2019Valuing corporate liabilities when the default threshold is not an absorbing barrier.(2019) In: Post-Print.
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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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2003Empirical analysis of term structures of credit spreads indices : a Kalman filtering approach In: Post-Print.
[Citation analysis]		paper0
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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2007Rescheduling of distressed debt and business risk targeting ex ante the reorganization 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.
[Citation analysis]		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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2009Continuous barrier range options In: Post-Print.
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2009On the Pricing and Design of Debt-Equity Swaps for Firms in Default In: Post-Print.
[Citation analysis]		paper3
2010Sensitivity Analysis of Credit Risk Measures in the Beta Binomial Framework In: Post-Print.
[Citation analysis]		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.(2011) 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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2013Debt renegotiation.(2013) 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.
[Citation analysis]		paper1
2013Recherches et innovations en sciences de gestion In: Post-Print.
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2013Optimal payoffs under state-dependent constraints In: Post-Print.
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2013Pricing and hedging american strangles with finite maturity In: Post-Print.
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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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2017Analytical Pricing of European Bond Options within One-Factor Quadratic Term Structure Models.(2017) In: Post-Print.
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2013La finance serait-elle devenue anormale au XXIe siècle ? In: Post-Print.
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2014What Moves Euro-Bund Futures Contracts on Eurex? Surprises! In: Post-Print.
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2015The cost of financing with callable bonds : an empirical study In: Post-Print.
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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.
[Citation analysis]		paper0
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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2019A switching self-exciting jump diffusion process for stock prices.(2019) In: Annals of Finance.
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2018Hedging of options in the presence of jump clustering In: Post-Print.
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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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