Jean-Luc Prigent : Citation Profile

Université de Cergy-Pontoise

10

H index

11

i10 index

405

Citations

RESEARCH PRODUCTION:

47

Articles

132

Papers

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   32 years (1992 - 2024). See details.
   Cites by year: 12
   Journals where Jean-Luc Prigent has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 44 (9.8 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppr77
   Updated: 2025-12-20    RAS profile: 2025-05-15    
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Relations with other researchers

Works with:

Clark, Ephraim (3)

BERTRAND, Philippe (2)

Ben Amar, Amine (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Luc Prigent.

Is cited by:

Caporin, Massimiliano (13)

Gaspar, Raquel (11)

Mihoci, Andrija (8)

Attaoui, Sami (8)

Barthélémy, Fabrice (7)

Grammig, Joachim (7)

Hurvich, Clifford (6)

Fernandes, Marcelo (6)

Härdle, Wolfgang (5)

Costola, Michele (5)

Maillet, Bertrand (5)

Cites to:

BERTRAND, Philippe (38)

de Palma, André (26)

Maillet, Bertrand (16)

Leland, Hayne (14)

Barthélémy, Fabrice (13)

merton, robert (11)

Grossman, Sanford (10)

Brennan, Michael (10)

Engle, Robert (10)

Picard, Nathalie (9)

Garcia, René (8)

Main data

Where Jean-Luc Prigent has published?

Journals with more than one article published# docs
Annals of Operations Research8
Economic Modelling8
Computational Economics5
European Journal of Operational Research3
Finance3
Journal of Banking & Finance2
Economic Inquiry2

Working Papers Series with more than one paper published# docs
Post-Print / HAL64
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise21
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL11
Working Papers / Department of Research, Ipag Business School9
Working Papers / HAL5
Working Papers / Center for Research in Economics and Statistics4
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne2
LIDAM Discussion Papers IRES / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)2
FAME Research Paper Series / International Center for Financial Asset Management and Engineering2

Recent works citing Jean-Luc Prigent (2025 and 2024)

YearTitle of citing document
2024Flood Risk and Property Market. (2024). Brent, Daniel ; Wrenn, Douglas H. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343651.

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2024Flood Risk and Property Market. (2024). Brent, Daniel A ; Wrenn, Douglas H. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343651.

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2025Mean-field Libor market model and valuation of long term guarantees. (2025). Hochgerner, Simon ; Schachinger, Gabriel ; Gach, Florian ; Kienbacher, Eva. In: Papers. RePEc:arx:papers:2310.09022.

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2024Optimal VPPI strategy under Omega ratio with stochastic benchmark. (2024). Liang, Zongxia ; Zhang, Litian ; He, Lin ; Guan, Guohui. In: Papers. RePEc:arx:papers:2403.13388.

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2024Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference. (2024). Chakraborty, Tanujit ; Bandyopadhyay, Gautam ; Rakshit, Agni. In: Papers. RePEc:arx:papers:2405.02919.

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2024On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework. (2024). Colaneri, Katia ; Oliva, Immacolata ; Mancinelli, Daniele. In: Papers. RePEc:arx:papers:2407.21148.

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2024What drives the tail risk effect in the Chinese stock market?. (2024). Zhu, Yifeng ; Sun, Kaisi ; Wang, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004431.

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2024Robust portfolio selection with subjective risk aversion under dependence uncertainty. (2024). Li, Yuhan ; Su, Xiaoshan. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000233.

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2025Corporate ESG performance and stock pricing efficiency. (2025). Wu, Zhiliang ; Chen, Shaowei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000804.

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2024Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy. (2024). Sensoy, Ahmet ; Goodell, John W ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007223.

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2025Do global COVOL and geopolitical risks affect clean energy prices? Evidence from explainable artificial intelligence models. (2025). Cepni, Oguzhan ; Bakkar, Yassine ; ben Jabeur, Sami. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008211.

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2024Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets. (2024). HU, YANG ; Corbet, Shaen ; Goodell, John W ; Xu, Danyang ; Lang, Chunlin. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s105752192400084x.

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2024It is a small world: The effect of analyst-media school ties on analyst performance. (2024). Guo, Yongzhen ; Wang, Yinghuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001820.

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2024The influence of European MiCa regulation on cryptocurrencies. (2024). Conlon, Thomas ; Corbet, Shaen ; Oxley, Les. In: Global Finance Journal. RePEc:eee:glofin:v:63:y:2024:i:c:s1044028324001121.

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2024Global climate policy uncertainty and financial markets. (2024). Zhang, Dayong ; Fan, Ying ; Ji, Qiang ; Zhai, Pengxiang ; Ma, Dandan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:95:y:2024:i:c:s1042443124001136.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Ben Amar, Amine ; Bellalah, Makram ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2024Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments. (2024). Maghyereh, Aktham ; Cui, Jinxin ; Liao, Dijia. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004623.

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2025Markov switching volatility connectedness across international CDS markets. (2025). Gemici, Eray ; Mensi, Walid ; Polat, Mslm ; Kang, Sang Hoon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000024.

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2025Leveraging traditional financial asset protection methods for digital asset security. (2025). Xiao, Biyun ; Lin, SU ; Wu, Chunxiao ; Sun, Boming. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s105905602500173x.

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2024Portfolio insurance strategy in the cryptocurrency market. (2024). Lee, Jaewook ; Ko, Hyungjin ; Son, Bumho. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002611.

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2025The Global Financial Cycle and country risk in emerging markets during stress episodes: A Copula-CoVaR approach. (2025). Romero, José ; Ramrez-Gonzlez, Mahicol Stiben ; Melo-Velandia, Luis Fernando. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003945.

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2024Earnings Management and Corporate Social Responsibility: Moderating Effect of Managerial Entrenchment Evidence from France. (2024). Kachouri, Maali ; Kouba, Chaima ; ben Amar, Anis. In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:xii:y:2024:i:1:p:60-86.

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2024Deciphering volatility spillovers amidst crises: analyzing the interplay among commodities, equities and socially responsible investments during the COVID-19 shock and financial turbulence. (2024). Ben Amar, Amine ; Boubrahimi, Nabil ; Bellalah, Makram ; Dkhissi, Ilham ; Hasnaoui, Amir. In: Post-Print. RePEc:hal:journl:hal-04643053.

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2024Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks. (2024). Dacorogna, Michel ; Albrecher, Hansjrg. In: MPRA Paper. RePEc:pra:mprapa:122323.

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2024Institutional Ownership and Stock Liquidity: Evidence From an Emerging Market. (2024). Hong, Van Nguyen ; Dinh, Ngoc Bao. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:1:p:21582440241239116.

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2024An intelligent payment card fraud detection system. (2024). Seera, Manjeevan ; Kumar, Ajay ; Lim, Chee Peng ; Tan, Kim Hua ; Dhamotharan, Lalitha. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04149-2.

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2024Black-scholes approximation of warrant prices: slight return in a low interest rate environment. (2024). Bertrand, Philippe. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04622-6.

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2024A semi-supervised learning approach for variance reduction in life insurance. (2024). Salhi, Yahia ; Jimenez, Martin. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04845-7.

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2025PGP for portfolio optimization: application to ESG index family. (2025). Peillex, Jonathan ; Urom, Christian ; Abid, Ilyes ; Karmani, Majdi ; Ndubuisi, Gideon. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-023-05460-w.

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2025The impact of economic outlook on green finance: insights from linkages between green and inflation-indexed bonds. (2025). doğan, buhari ; Doan, Buhari ; Aikins, Emmanuel Joel ; Khalfaoui, Rabeh ; Goodell, John W ; Le, Tn-Lan. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:27:y:2025:i:3:d:10.1007_s10668-023-04153-5.

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2024On Computing Medians of Marked Point Process Data Under Edit Distance. (2024). Hirata, Yoshito ; Ikebe, Yoshiko ; Suzuki, Shohei ; Sukegawa, Noriyoshi. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:200:y:2024:i:1:d:10.1007_s10957-023-02352-8.

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2025Mean-Field Libor Market Model and Valuation of Long Term Guarantees. (2025). Schachinger, Gabriel ; Kienbacher, Eva ; Hochgerner, Simon ; Gach, Florian. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10146-w.

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2024Stochastic Inflation and the Term Structure of Interest Rates: a Simple Diffusion Model. (2024). Nascenzi, Paola ; Meschini, Massimiliano ; Baldassari, Cristiano. In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:13:y:2024:i:4:f:13_4_2.

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2024Stock Market Efficiency in Asia: Evidence from the Narayan–Liu–Westerlunds GARCH‐based unit root test. (2024). YAYA, OLAOLUWA ; Vo, Xuan Vinh ; Adekoya, Oluwasegun B ; Saleh, Mamdouh Abdulaziz. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:1:p:91-101.

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2025The impact of cryptocurrency heists on Bitcoins market efficiency. (2025). Ashton, John ; Manahov, Viktor ; Li, Mingnan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2912-2929.

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Jean-Luc Prigent has edited the books:

YearTitleTypeCited

Works by Jean-Luc Prigent:

YearTitleTypeCited
2018OPTIMAL EMPLOYEE OWNERSHIP CONTRACTS UNDER AMBIGUITY AVERSION In: Economic Inquiry.
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2018Optimal Employee Ownership Contracts under Ambiguity Aversion.(2018) In: Post-Print.
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2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS In: Economic Inquiry.
[Full Text][Citation analysis]		article2
2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS.(2018) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2011On the maximization of financial performance measures within mixture models In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article2
2011On the maximization of financial performance measures within mixture models.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2011On the maximization of financial performance measures within mixture models.(2011) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2013Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies In: Finance.
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2013Analysis and Comparison of Leveraged ETFs and CPPI-type Leveraged Strategies..(2013) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2015On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds) In: Finance.
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2015On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)..(2015) In: Post-Print.
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2014On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds).(2014) In: Working Papers.
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2022Performance Participation Strategies: OBPP versus CPPP In: Finance.
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2022Performance Participation Strategies: OBPP versus CPPP.(2022) In: Post-Print.
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1992The private provision of public good in the case of satiation points: The case of a quasi-linear economy In: LIDAM Discussion Papers CORE.
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2000An Empirical Investigation in Credit Spread Indices In: Working Papers.
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2000An Empirical Investigation in Credit Spread Indices.(2000) In: LIDAM Discussion Papers IRES.
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.() In: .
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An empirical investigation into credit spread indices.() In: Journal of Risk.
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1998Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates In: Working Papers.
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2000Convergence of discrete time option pricing models under stochastic interest rates.(2000) In: Post-Print.
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1999Convergence of discrete time option pricing models under stochastic interest rates.(1999) In: Finance and Stochastics.
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1999Option Pricing with Discrete Rebalancing In: Working Papers.
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1999Option Pricing with Discrete Rebalancing.(1999) In: LIDAM Discussion Papers IRES.
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2004Option pricing with discrete rebalancing.(2004) In: Journal of Empirical Finance.
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1999Option pricing with discrete rebalancing.(1999) In: THEMA Working Papers.
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2002Option Pricing with Discrete Rebalancing.(2002) In: FAME Research Paper Series.
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2004Option pricing with discrete rebalancing.(2004) In: Post-Print.
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1999An Autoregressive Conditional Binomial Option Pricing Model In: Working Papers.
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2000An auto-regressive conditional binomial option pricing model.(2000) In: LSE Research Online Documents on Economics.
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.() In: .
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2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies In: Journal of Economic Dynamics and Control.
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2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies.(2014) In: Post-Print.
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2014A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers.
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2014A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers.
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2013A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2013) In: LEO Working Papers / DR LEO.
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2013Optimal portfolio positioning under ambiguity In: Economic Modelling.
[Full Text][Citation analysis]		article7
2013Optimal portfolio positioning under ambiguity.(2013) In: Post-Print.
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This paper has nother version. Agregated cites: 7		paper
2014On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options In: Economic Modelling.
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2014On the optimality of funding and hiring/firing according to stochastic demand: The role of growth and shutdown options.(2014) In: Post-Print.
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This paper has nother version. Agregated cites: 1		paper
2016Optimal positioning in financial derivatives under mixture distributions In: Economic Modelling.
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2016Optimal positioning in financial derivatives under mixture distributions.(2016) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2016Optimal positioning in financial derivatives under mixture distributions.(2016) In: Post-Print.
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2014Optimal Positioning in Financial Derivatives under Mixture Distributions.(2014) In: Working Papers.
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2016Equilibrium of financial derivative markets under portfolio insurance constraints In: Economic Modelling.
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2016Equilibrium of financial derivative markets under portfolio insurance constraints.(2016) In: Post-Print.
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2016Real estate investment: Market volatility and optimal holding period under risk aversion In: Economic Modelling.
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2015Real Estate Investment: Market Volatility and Optimal Holding Period under Risk Aversion.(2015) In: THEMA Working Papers.
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2016Optimal funding and hiring/firing policies with mean reverting demand In: Economic Modelling.
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2016Optimal funding and hiring/firing policies with mean reverting demand.(2016) In: Post-Print.
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2017Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds In: Economic Modelling.
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2017Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds.(2017) In: Post-Print.
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2019Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market In: Economic Modelling.
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2019Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market.(2019) In: Post-Print.
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2014Portfolio insurance: Gap risk under conditional multiples In: European Journal of Operational Research.
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2014Portfolio insurance: Gap risk under conditional multiples.(2014) In: Post-Print.
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2018Risk management of time varying floors for dynamic portfolio insurance In: European Journal of Operational Research.
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2018Risk management of time varying floors for dynamic portfolio insurance.(2018) In: Post-Print.
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2019On the optimality of path-dependent structured funds: The cost of standardization In: European Journal of Operational Research.
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2019On the optimality of path-dependent structured funds: The cost of standardization.(2019) In: Post-Print.
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2022Dynamic connectedness and optimal hedging strategy among commodities and financial indices In: International Review of Financial Analysis.
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2022Dynamic connectedness and optimal hedging strategy among commodities and financial indices.(2022) In: Post-Print.
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2008Utilitarianism and fairness in portfolio positioning In: Journal of Banking & Finance.
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2008Utilitarianism and fairness in portfolio positioning.(2008) In: Post-Print.
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2011Omega performance measure and portfolio insurance In: Journal of Banking & Finance.
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2010Structured Portfolio Analysis under SharpeOmega Ratio In: EcoMod2010.
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2012Structured portfolio analysis under SharpeOmega ratio.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Structured portfolio analysis under SharpeOmega ratio.(2012) In: Working Papers.
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2014Structured portfolio analysis under SharpeOmega ratio.(2014) In: Working Papers.
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2012Structured portfolio analysis under SharpeOmega ratio.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2000Strategies optimales dallocation de portefeuilles internationaux avec contraintes In: THEMA Working Papers.
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2000Portfolio Insurance : The extreme Value of the CCPI Method In: THEMA Working Papers.
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2000Weak Convergence of Hedging Strategies of Contingent Claims In: THEMA Working Papers.
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2002Weak Convergence of Hedging Strategies of Contingent Claims.(2002) In: FAME Research Paper Series.
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2000An Empirical Estimation in Credit Spread Indices In: THEMA Working Papers.
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2003Optimal portfolio positioning In: THEMA Working Papers.
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2003Optimal portfolio : towards an operational decision support system In: THEMA Working Papers.
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2007Hedging global environment risks: An option based portfolio insurance In: THEMA Working Papers.
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2008Hedging global environment risks: An option based portfolio insurance.(2008) In: Post-Print.
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2008Optimal Time to Sell in Real Estate Portfolio Management In: THEMA Working Papers.
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2009Optimal Time to Sell in Real Estate Portfolio Management.(2009) In: Post-Print.
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2009Optimal Time to Sell in Real Estate Portfolio Management.(2009) In: The Journal of Real Estate Finance and Economics.
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2011Real Estate Portfolio Management : Optimization under Risk Aversion In: THEMA Working Papers.
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2017Modified Sharpe Ratios in Real Estate Performance Measurement: Beyond the Standard Cornish Fisher Expansion In: THEMA Working Papers.
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2023Risk management of margin based portfolio strategies for dynamic portfolio insurance with minimum market exposure In: THEMA Working Papers.
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1996A general subordinated stochastic process for the derivatives pricing In: THEMA Working Papers.
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2011A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING.(2011) In: Post-Print.
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2011PORTFOLIO OPTIMIZATION WITHIN MIXTURE OF DISTRIBUTIONS.(2011) In: Post-Print.
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2011VaR and Omega measures for hedge funds portfolios: A copula approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Dynamic versus static optimization of hedge fund portfolios: The relevance of performance measures.(2010) In: Post-Print.
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