6
H index
4
i10 index
97
Citations
Franck Moraux : Citation Profile
Université de Rennes 1 (50% share) | RESEARCH PRODUCTION: 14 Articles 66 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (1999 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Franck Moraux. | Is cited by:
| Cites to:
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Main data
Where Franck Moraux has published?
| Journals with more than one article published | # docs |
|---|---|
| Finance | 2 |
Recent works citing Franck Moraux (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | On the Dependence between Default Risk and Recovery Rates in Structural Models. (2020). Fermanian, Jean-David. In: Annals of Economics and Statistics. RePEc:adr:anecst:y:2020:i:140:p:45-82. Full description at Econpapers || Download paper |
| 2021 | Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004. Full description at Econpapers || Download paper |
| 2020 | The 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. Full description at Econpapers || Download paper |
| 2020 | Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing. (2020). Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.09911. Full description at Econpapers || Download paper |
| 2020 | When to sell an asset amid anxiety about drawdowns. (2020). Zhang, Hongzhong ; Rodosthenous, Neofytos. In: Papers. RePEc:arx:papers:2006.00282. Full description at Econpapers || Download paper |
| 2020 | Optimal Payoff under the Generalized Dual Theory of Choice. (2020). He, Xue Dong ; Jiang, Zhaoli. In: Papers. RePEc:arx:papers:2012.00345. Full description at Econpapers || Download paper |
| 2020 | When to sell an asset amid anxiety about drawdowns. (2020). Zhang, Hongzhong ; Rodosthenous, Neofytos. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1422-1460. Full description at Econpapers || Download paper |
| 2020 | How legal and institutional environments shape the private debt renegotiation process?. (2020). Godlewski, Christophe. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119919309393. Full description at Econpapers || Download paper |
| 2021 | Sometimes more, sometimes less: Prudence and the diversification of risky insurance coverage. (2021). Schreiber, Florian ; Schmeiser, Hato ; Reichel, Lukas. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:770-783. Full description at Econpapers || Download paper |
| 2020 | Fractional Hawkes processes. (2020). Hainaut, Donatien. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437120301096. Full description at Econpapers || Download paper |
| 2021 | Implied volatility indices – A review. (2021). Siriopoulos, Costas ; Fassas, Athanasios P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329. Full description at Econpapers || Download paper |
| 2020 | An Actuarial Approach for Modeling Pandemic Risk. (2020). Hainaut, Donatien. In: Risks. RePEc:gam:jrisks:v:9:y:2020:i:1:p:3-:d:466966. Full description at Econpapers || Download paper |
| 2020 | Asian 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. Full description at Econpapers || Download paper |
| 2021 | Designing bankers pay: Using contingent capital to reduce risk-shifting. (2021). Raviv, Alon ; Peleg-Lazar, Sharon ; Hilscher, Jens. In: MPRA Paper. RePEc:pra:mprapa:106596. Full description at Econpapers || Download paper |
| 2020 | On the construction of optimal payoffs. (2020). Vanduffel, Steven ; Ruschendorf, L. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00272-9. Full description at Econpapers || Download paper |
| 2020 | Pricing 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. Full description at Econpapers || Download paper |
| 2020 | The Leland–Toft optimal capital structure model under Poisson observations. (2020). Surya, Budhi Arta ; Perez, Jose Luis ; Palmowski, Zbigniew ; Yamazaki, Kazutoshi. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00431-6. Full description at Econpapers || Download paper |
Works by Franck Moraux:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2017 | Hedging of options in presence of jump clustering In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 3 |
| 2018 | Hedging of options in presence of jump clustering.(2018) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2018 | Hedging of options in the presence of jump clustering.(2018) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2018 | A switching self-exciting jump diffusion process for stock prices In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 7 |
| 2019 | A switching self-exciting jump diffusion process for stock prices.(2019) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2019 | A switching self-exciting jump diffusion process for stock prices.(2019) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2019 | A switching self-exciting jump diffusion process for stock prices.(2019) In: Annals of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2014 | Optimal Payoffs under State-dependent Preferences In: Papers. [Full Text][Citation analysis] | paper | 12 |
| 2015 | Optimal payoffs under state-dependent preferences.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2015 | Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
| 2007 | Business Risk Targeting and Rescheduling of Distressed Debt In: Finance. [Full Text][Citation analysis] | article | 1 |
| 2007 | Business Risk Targeting AndRescheduling of Distressed Debt.(2007) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2007 | Business risk targeting and rescheduling of distressed debt..(2007) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2019 | On Bankruptcy Procedures and the Valuation of Corporate Securities In: Finance. [Full Text][Citation analysis] | article | 1 |
| 2019 | On Bankruptcy Procedures and the Valuation of Corporate Securities.(2019) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2015 | Le coût du financement par obligations rachetables:une étude empirique In: Revue Finance Contrôle Stratégie. [Full Text][Citation analysis] | article | 0 |
| 2014 | Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds In: Journal of Corporate Finance. [Full Text][Citation analysis] | article | 14 |
| 2014 | Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 2015 | How do reservation prices impact distressed debt rescheduling? In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 2015 | How do reservation prices impact distressed debt rescheduling?.(2015) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2020 | American step options In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 3 |
| 2020 | American Step Options.(2020) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2015 | Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty In: Energy Policy. [Full Text][Citation analysis] | article | 0 |
| 2015 | Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2004 | Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
| 2004 | Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing.(2004) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2004 | A closed form solution for pricing defaultable bonds In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
| 2016 | Pricing and hedging American and hybrid strangles with finite maturity In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
| 2016 | Pricing and hedging American and hybrid strangles with finite maturity.(2016) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2015 | The cost of financing with callable bonds : an empirical study In: Grenoble Ecole de Management (Post-Print). [Citation analysis] | paper | 0 |
| 2015 | The cost of financing with callable bonds : an empirical study.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2009 | Should Executive Compensation rules govern Audit fees? An Analysis of Executive Compensation driven Frauds In: Post-Print. [Citation analysis] | paper | 0 |
| 2009 | Should executive compensation rules govern Audit fees ? An anlysis of executive compensation driven frauds..(2009) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2020 | Impact of retail-platform loan programs on the SC performance under CSR dependent stochastic demand In: Post-Print. [Citation analysis] | paper | 0 |
| 2004 | Valuing Callable Convertible Bonds : a reduced approach In: Post-Print. [Citation analysis] | paper | 1 |
| 2004 | Valuing callable convertible bonds: a reduced approach.(2004) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2003 | Sur les obligations convertibles à clause de remboursement anticipé au gré de lémetteur In: Post-Print. [Citation analysis] | paper | 0 |
| 2002 | On cumulative parisian options In: Post-Print. [Citation analysis] | paper | 1 |
| 2002 | Pricing credit derivatives in credit classes frameworks In: Post-Print. [Citation analysis] | paper | 0 |
| 2002 | 30 ans de modèles structurels de risque de défaut In: Post-Print. [Citation analysis] | paper | 2 |
| 2003 | The dynamics of the term structure of interest rates : an independent component analysis In: Post-Print. [Citation analysis] | paper | 1 |
| 2002 | Valuing corporate liabilities when the default threshold is not an absorbing barrier In: Post-Print. [Citation analysis] | paper | 15 |
| 2019 | Valuing corporate liabilities when the default threshold is not an absorbing barrier.(2019) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2006 | Rescheduling debt in default : the Longstaffs proposition revisited. In: Post-Print. [Citation analysis] | paper | 0 |
| 2003 | Managing corporate liabilities of financially weakened firms In: Post-Print. [Citation analysis] | paper | 0 |
| 2003 | Empirical analysis of term structures of credit spreads indices : a Kalman filtering approach In: Post-Print. [Citation analysis] | paper | 0 |
| 2004 | The relation between corporate credit spreads, treasury yields and the equity markets : new evidences from daily options-ajusted spreads indices In: Post-Print. [Citation analysis] | paper | 0 |
| 2004 | Extending the Maturity of a defaulting debt : when it is worthwhile ! In: Post-Print. [Citation analysis] | paper | 0 |
| 2006 | The active management of distressed debt In: Post-Print. [Citation analysis] | paper | 0 |
| 2007 | Rescheduling of distressed debt and business risk targeting ex ante the reorganization In: Post-Print. [Citation analysis] | paper | 0 |
| 2007 | Admissible Designs of Debt-Equity Swaps for Distressed Firms: Analysis, Limits and Applications In: Post-Print. [Citation analysis] | paper | 0 |
| 2008 | The immunization performance of traditional and stochastic durations: a mean-variance analysis In: Post-Print. [Citation analysis] | paper | 0 |
| 2009 | Examining Performance of Quadratic Models of TermStructure of Interest Rates In: Post-Print. [Citation analysis] | paper | 0 |
| 2009 | Relations between Corporate Credit Spreads,Treasury Yields and the Equity Market In: Post-Print. [Citation analysis] | paper | 3 |
| 2009 | Make-whole callable bonds :Covenant yield premium insights In: Post-Print. [Citation analysis] | paper | 0 |
| 2009 | On perpetual American strangles In: Post-Print. [Citation analysis] | paper | 3 |
| 2009 | Continuous barrier range options In: Post-Print. [Citation analysis] | paper | 0 |
| 2009 | On the Pricing and Design of Debt-Equity Swaps for Firms in Default In: Post-Print. [Citation analysis] | paper | 3 |
| 2010 | Sensitivity Analysis of Credit Risk Measures in the Beta Binomial Framework In: Post-Print. [Citation analysis] | paper | 2 |
| 2010 | How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation In: Post-Print. [Citation analysis] | paper | 0 |
| 2010 | Quadratic Approaches for Modeling Term Structures of Interest Rates in Discrete Time In: Post-Print. [Citation analysis] | paper | 0 |
| 2011 | Private Benefits in a contingent claim framework: Valuation effects and other implications In: Post-Print. [Citation analysis] | paper | 0 |
| 2011 | Private Benefits in a contingent claim framework: Valuation effects and other implications.(2011) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2011 | How valuable is your VaR? Large sample confidence intervals for normal VaR In: Post-Print. [Citation analysis] | paper | 7 |
| 2012 | Debt renegotiation In: Post-Print. [Citation analysis] | paper | 1 |
| 2013 | Debt renegotiation.(2013) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2012 | Bond portfolio management with affine and quadratic term structure models : selection, risk management and performance In: Post-Print. [Citation analysis] | paper | 0 |
| 2013 | Strategic management of private benefits in a contingent claim framework In: Post-Print. [Citation analysis] | paper | 1 |
| 2013 | Recherches et innovations en sciences de gestion In: Post-Print. [Citation analysis] | paper | 0 |
| 2013 | Optimal payoffs under state-dependent constraints In: Post-Print. [Citation analysis] | paper | 1 |
| 2013 | Pricing and hedging american strangles with finite maturity In: Post-Print. [Citation analysis] | paper | 0 |
| 2013 | Foreign exchange risk management : evidence from French non-financial firms In: Post-Print. [Citation analysis] | paper | 0 |
| 2013 | Analytical pricing of european bond options within one-factor quadratic term structure models In: Post-Print. [Citation analysis] | paper | 0 |
| 2017 | Analytical Pricing of European Bond Options within One-Factor Quadratic Term Structure Models.(2017) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2013 | La finance serait-elle devenue anormale au XXIe siècle ? In: Post-Print. [Citation analysis] | paper | 0 |
| 2014 | What Moves Euro-Bund Futures Contracts on Eurex? Surprises! In: Post-Print. [Citation analysis] | paper | 0 |
| 2016 | De 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] | paper | 0 |
| 2018 | René M. Stulz: latitude managériale et politique financière In: Post-Print. [Citation analysis] | paper | 0 |
| 2020 | Fuel up with OATmeals! The case of the French nominal yield curve In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 1999 | The Predictive Power of the French Market Volatility Index: A Multi Horizons Study In: Review of Finance. [Full Text][Citation analysis] | article | 10 |
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