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

5

i10 index

140

Citations

RESEARCH PRODUCTION:

16

Articles

67

Papers

RESEARCH ACTIVITY:

   23 years (1999 - 2022). See details.
   Cites by year: 6
   Journals where Franck Moraux has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 10 (6.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo266
   Updated: 2024-01-16    RAS profile: 2023-01-03    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Detemple, Jerome (2)

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

Is cited by:

Godlewski, Christophe (6)

Vanduffel, Steven (6)

Shibata, Takashi (6)

Melo-Velandia, Luis (3)

Prigent, Jean-Luc (3)

Gamba, Santiago (3)

Skiadopoulos, George (3)

Raviv, Alon (2)

Hege, Ulrich (2)

Hori, Kenjiro (2)

simmons, peter (2)

Cites to:

merton, robert (9)

Mella-Barral, Pierre (8)

Jarrow, Robert (8)

Leland, Hayne (6)

Longstaff, Francis (5)

Chen, Zhiwu (5)

Calvet, Laurent (4)

Fleming, Michael (4)

Duffie, Darrell (4)

Cao, Charles (4)

Laeven, Roger (3)

Main data


Where Franck Moraux has published?


Journals with more than one article published# docs
European Journal of Operational Research2
Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL61
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 (2024 and 2023)


YearTitle of citing document
2023A mutually exciting rough jump diffusion for financial modelling. (2023). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023011.

Full description at Econpapers || Download paper

2023A new self-exciting jump-diffusion process for option pricing. (2022). Oosterlee, Cornelis ; Cirillo, Pasquale ; Souto, Luis A. In: Papers. RePEc:arx:papers:2205.13321.

Full description at Econpapers || Download paper

2023Secured and unsecured debt in creditor-friendly bankruptcy. (2023). Naqvi, Hassan ; Franois, Pascal. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000627.

Full description at Econpapers || Download paper

2023Analysis of financing strategy in coopetition supply chain with opportunity cost. (2023). Qin, Zhongfeng ; Yan, Yingchen ; Du, Ningning. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:85-100.

Full description at Econpapers || Download paper

2023The over-ordering problem in trade credit: Role of return policies. (2023). Agrawal, Anupam ; Biswas, Indranil ; Priya, Bhawna. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:2:p:731-744.

Full description at Econpapers || Download paper

2023Regulatory uncertainty and corporate social responsibility. (2023). Saadi, Samir ; Himick, Darlene ; Chourou, Lamia. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003926.

Full description at Econpapers || Download paper

2023Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259.

Full description at Econpapers || Download paper

2023American strangle options with arbitrary strikes. (2023). Zaevski, Tsvetelin S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:880-903.

Full description at Econpapers || Download paper

Works by Franck Moraux:


YearTitleTypeCited
2017Hedging of options in presence of jump clustering In: LIDAM Discussion Papers ISBA.
[Citation analysis]
paper5
2018Hedging of options in presence of jump clustering.(2018) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
2018Hedging of options in the presence of jump clustering.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
2018A switching self-exciting jump diffusion process for stock prices In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]
paper14
2019A switching self-exciting jump diffusion process for stock prices.(2019) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 14
paper
2019A switching self-exciting jump diffusion process for stock prices.(2019) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14
paper
2019A switching self-exciting jump diffusion process for stock prices.(2019) In: Annals of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14
article
2014Optimal Payoffs under State-dependent Preferences In: Papers.
[Full Text][Citation analysis]
paper13
2015Optimal payoffs under state-dependent preferences.(2015) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 13
paper
2015Optimal payoffs under state-dependent preferences.(2015) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13
article
In: .
[Full Text][Citation analysis]
article8
2011How valuable is your VaR? Large sample confidence intervals for normal VaR.(2011) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 8
paper
2007Business Risk Targeting and Rescheduling of Distressed Debt In: Finance.
[Full Text][Citation analysis]
article2
2007Business Risk Targeting AndRescheduling of Distressed Debt.(2007) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2007Business risk targeting and rescheduling of distressed debt..(2007) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2019On Bankruptcy Procedures and the Valuation of Corporate Securities In: Finance.
[Full Text][Citation analysis]
article2
2019On Bankruptcy Procedures and the Valuation of Corporate Securities.(2019) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2015Le coût du financement par obligations rachetables:une étude empirique In: Revue Finance Contrôle Stratégie.
[Full Text][Citation analysis]
article0
2014Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds In: Journal of Corporate Finance.
[Full Text][Citation analysis]
article20
2014Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds.(2014) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20
paper
2015How do reservation prices impact distressed debt rescheduling? In: Economic Modelling.
[Full Text][Citation analysis]
article0
2015How do reservation prices impact distressed debt rescheduling?.(2015) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
paper
2020American step options In: European Journal of Operational Research.
[Full Text][Citation analysis]
article5
2020American Step Options.(2020) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5
paper
2022Trade credit contracts: Design and regulation In: European Journal of Operational Research.
[Full Text][Citation analysis]
article3
2022Trade credit contracts: Design and regulation.(2022) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3
paper
2015Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty In: Energy Policy.
[Full Text][Citation analysis]
article2
2015Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty.(2015) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2004Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article0
2004Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing.(2004) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0
paper
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.
[Full Text][Citation analysis]
article4
2016Pricing and hedging American and hybrid strangles with finite maturity.(2016) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
paper
2015The cost of financing with callable bonds : an empirical study In: Grenoble Ecole de Management (Post-Print).
[Citation analysis]
paper0
2015The cost of financing with callable bonds : an empirical study.(2015) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0
paper
2009Should Executive Compensation rules govern Audit fees? An Analysis of Executive Compensation driven Frauds In: Post-Print.
[Citation analysis]
paper0
2009Should executive compensation rules govern Audit fees ? An anlysis of executive compensation driven frauds..(2009) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0
paper
2020Impact of retail-platform loan programs on the SC performance under CSR dependent stochastic demand In: Post-Print.
[Citation analysis]
paper0
2004Valuing Callable Convertible Bonds : a reduced approach In: Post-Print.
[Citation analysis]
paper1
2003Sur les obligations convertibles à clause de remboursement anticipé au gré de lémetteur In: Post-Print.
[Citation analysis]
paper0
2002On cumulative parisian options In: Post-Print.
[Citation analysis]
paper5
2002Pricing credit derivatives in credit classes frameworks In: Post-Print.
[Citation analysis]
paper0
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]
paper19
2019Valuing corporate liabilities when the default threshold is not an absorbing barrier.(2019) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 19
paper
2006Rescheduling debt in default : the Longstaffs proposition revisited. In: Post-Print.
[Citation analysis]
paper0
2003Managing corporate liabilities of financially weakened firms In: Post-Print.
[Citation analysis]
paper0
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.
[Citation analysis]
paper0
2004Extending the Maturity of a defaulting debt : when it is worthwhile ! In: Post-Print.
[Citation analysis]
paper0
2006The active management of distressed debt In: Post-Print.
[Citation analysis]
paper0
2007Rescheduling of distressed debt and business risk targeting ex ante the reorganization In: Post-Print.
[Citation analysis]
paper0
2007Admissible Designs of Debt-Equity Swaps for Distressed Firms: Analysis, Limits and Applications In: Post-Print.
[Citation analysis]
paper0
2008The immunization performance of traditional and stochastic durations: a mean-variance analysis In: Post-Print.
[Citation analysis]
paper0
2009Examining Performance of Quadratic Models of TermStructure of Interest Rates In: Post-Print.
[Citation analysis]
paper0
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.
[Citation analysis]
paper0
2009On perpetual American strangles In: Post-Print.
[Citation analysis]
paper3
2009Continuous barrier range options In: Post-Print.
[Citation analysis]
paper0
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]
paper3
2010How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation In: Post-Print.
[Citation analysis]
paper0
2010Quadratic Approaches for Modeling Term Structures of Interest Rates in Discrete Time In: Post-Print.
[Citation analysis]
paper0
2011Private Benefits in a contingent claim framework: Valuation effects and other implications In: Post-Print.
[Citation analysis]
paper0
2011Private Benefits in a contingent claim framework: Valuation effects and other implications.(2011) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0
paper
2012Debt renegotiation In: Post-Print.
[Citation analysis]
paper1
2013Debt renegotiation.(2013) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 1
paper
2012Bond portfolio management with affine and quadratic term structure models : selection, risk management and performance In: Post-Print.
[Citation analysis]
paper0
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.
[Citation analysis]
paper0
2013Optimal payoffs under state-dependent constraints In: Post-Print.
[Citation analysis]
paper2
2013Pricing and hedging american strangles with finite maturity In: Post-Print.
[Citation analysis]
paper0
2013Foreign exchange risk management : evidence from French non-financial firms In: Post-Print.
[Citation analysis]
paper0
2013Analytical pricing of european bond options within one-factor quadratic term structure models In: Post-Print.
[Citation analysis]
paper0
2017Analytical Pricing of European Bond Options within One-Factor Quadratic Term Structure Models.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0
paper
2013La finance serait-elle devenue anormale au XXIe siècle ? In: Post-Print.
[Citation analysis]
paper0
2014What Moves Euro-Bund Futures Contracts on Eurex? Surprises! In: Post-Print.
[Citation analysis]
paper0
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.
[Citation analysis]
paper0
2020Fuel up with OATmeals! The case of the French nominal yield curve In: Post-Print.
[Full Text][Citation analysis]
paper0
1999The Predictive Power of the French Market Volatility Index: A Multi Horizons Study In: Review of Finance.
[Full Text][Citation analysis]
article15
2004Valuing callable convertible bonds: a reduced approach In: Applied Financial Economics.
[Full Text][Citation analysis]
article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team