Franck Moraux : Citation Profile


Are you Franck Moraux?

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

6

H index

4

i10 index

97

Citations

RESEARCH PRODUCTION:

14

Articles

66

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: 17.    Total self citations: 10 (9.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo266
   Updated: 2021-06-12    RAS profile: 2021-01-09    
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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:

Shibata, Takashi (6)

Godlewski, Christophe (5)

Melo-Velandia, Luis (3)

Gamba, Santiago (3)

Prigent, Jean-Luc (3)

Hagiu, Alina (2)

Mella-Barral, Pierre (2)

Hori, Kenjiro (2)

Raviv, Alon (2)

HAGIU, ALINA (2)

Vanduffel, Steven (2)

Cites to:

merton, robert (9)

Leland, Hayne (6)

Jarrow, Robert (6)

Chen, Zhiwu (5)

Mella-Barral, Pierre (5)

Longstaff, Francis (5)

Cao, Charles (4)

Duffie, Darrell (4)

Calvet, Laurent (4)

Germano, Guido (3)

De Donno, Marzia (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 / HAL60
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2

Recent works citing Franck Moraux (2021 and 2020)


YearTitle of citing document
2020On 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.

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2021Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004.

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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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2020Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing. (2020). Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.09911.

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2020When to sell an asset amid anxiety about drawdowns. (2020). Zhang, Hongzhong ; Rodosthenous, Neofytos. In: Papers. RePEc:arx:papers:2006.00282.

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2020Optimal Payoff under the Generalized Dual Theory of Choice. (2020). He, Xue Dong ; Jiang, Zhaoli. In: Papers. RePEc:arx:papers:2012.00345.

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2020When 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.

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2020How 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.

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2021Sometimes 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.

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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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2021Implied 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.

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2020An Actuarial Approach for Modeling Pandemic Risk. (2020). Hainaut, Donatien. In: Risks. RePEc:gam:jrisks:v:9:y:2020:i:1:p:3-:d:466966.

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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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2021Designing bankers pay: Using contingent capital to reduce risk-shifting. (2021). Raviv, Alon ; Peleg-Lazar, Sharon ; Hilscher, Jens. In: MPRA Paper. RePEc:pra:mprapa:106596.

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2020On 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.

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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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2020The 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.

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Works by Franck Moraux:


YearTitleTypeCited
2017Hedging of options in presence of jump clustering In: LIDAM Discussion Papers ISBA.
[Citation analysis]
paper3
2018Hedging of options in presence of jump clustering.(2018) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
2018Hedging of options in the presence of jump clustering.(2018) In: Post-Print.
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This paper has another version. Agregated cites: 3
paper
2018A switching self-exciting jump diffusion process for stock prices In: LIDAM Discussion Papers ISBA.
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paper7
2019A switching self-exciting jump diffusion process for stock prices.(2019) In: LIDAM Reprints ISBA.
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This paper has another version. Agregated cites: 7
paper
2019A switching self-exciting jump diffusion process for stock prices.(2019) In: Post-Print.
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This paper has another version. Agregated cites: 7
paper
2019A switching self-exciting jump diffusion process for stock prices.(2019) In: Annals of Finance.
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This paper has another version. Agregated cites: 7
article
2014Optimal Payoffs under State-dependent Preferences In: Papers.
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paper12
2015Optimal payoffs under state-dependent preferences.(2015) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 12
paper
2015Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance.
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This paper has another version. Agregated cites: 12
article
2007Business Risk Targeting and Rescheduling of Distressed Debt In: Finance.
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article1
2007Business Risk Targeting AndRescheduling of Distressed Debt.(2007) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2007Business risk targeting and rescheduling of distressed debt..(2007) In: Post-Print.
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This paper has another version. Agregated cites: 1
paper
2019On Bankruptcy Procedures and the Valuation of Corporate Securities In: Finance.
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article1
2019On Bankruptcy Procedures and the Valuation of Corporate Securities.(2019) In: Post-Print.
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This paper has another version. Agregated cites: 1
paper
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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This paper has another version. Agregated cites: 14
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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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This paper has another version. Agregated cites: 0
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2020American step options In: European Journal of Operational Research.
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article3
2020American Step Options.(2020) In: Post-Print.
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This paper has another version. Agregated cites: 3
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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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This paper has another version. Agregated cites: 0
paper
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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This paper has another version. Agregated cites: 0
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2004A closed form solution for pricing defaultable bonds In: Finance Research Letters.
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2016Pricing and hedging American and hybrid strangles with finite maturity In: Journal of Banking & Finance.
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article3
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
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2015The cost of financing with callable bonds : an empirical study In: Grenoble Ecole de Management (Post-Print).
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2015The cost of financing with callable bonds : an empirical study.(2015) In: Post-Print.
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This paper has another version. Agregated cites: 0
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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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This paper has another version. Agregated cites: 0
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2020Impact of retail-platform loan programs on the SC performance under CSR dependent stochastic demand In: Post-Print.
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2004Valuing Callable Convertible Bonds : a reduced approach In: Post-Print.
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paper1
2004Valuing callable convertible bonds: a reduced approach.(2004) In: Applied Financial Economics.
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This paper has another version. Agregated cites: 1
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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.
[Citation analysis]
paper1
2002Valuing corporate liabilities when the default threshold is not an absorbing barrier In: Post-Print.
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paper15
2019Valuing corporate liabilities when the default threshold is not an absorbing barrier.(2019) In: Post-Print.
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This paper has another version. Agregated cites: 15
paper
2006Rescheduling debt in default : the Longstaffs proposition revisited. In: Post-Print.
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paper0
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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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.
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paper3
2009Make-whole callable bonds :Covenant yield premium insights In: Post-Print.
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paper0
2009On perpetual American strangles In: Post-Print.
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paper3
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.
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paper3
2010Sensitivity Analysis of Credit Risk Measures in the Beta Binomial Framework In: Post-Print.
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paper2
2010How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation In: Post-Print.
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paper0
2010Quadratic Approaches for Modeling Term Structures of Interest Rates in Discrete Time In: Post-Print.
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paper0
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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This paper has another version. Agregated cites: 0
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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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This paper has another version. Agregated cites: 1
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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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paper1
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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paper0
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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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
2018René M. Stulz: latitude managériale et politique financière In: Post-Print.
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paper0
2020Fuel up with OATmeals! The case of the French nominal yield curve 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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