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Franck Moraux

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Florina Silaghi & Franck Moraux, 2022. "Trade credit contracts: Design and regulation," Post-Print hal-03268865, HAL.

    Cited by:

    1. Wang, Kai & Lin, Jun & Liu, Guoquan & Liu, Qi, 2022. "Strategic introduction of logistics retail and finance under competition and channel spillover," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 165(C).
    2. Shanshan Xie & Jiamuyan Xie, 2025. "Demand Information Asymmetry and Supply Chain Financing: A Signaling Perspective," Mathematics, MDPI, vol. 13(8), pages 1-27, April.
    3. Priya, Bhawna & Biswas, Indranil & Agrawal, Anupam, 2023. "The over-ordering problem in trade credit: Role of return policies," European Journal of Operational Research, Elsevier, vol. 309(2), pages 731-744.
    4. Xie, Xiaofeng & Chen, Xiangfeng & Xu, Xun & Gu, Jing, 2024. "Financing a dual capital-constrained supply chain: Profit enhancement and diffusion effect of default risk," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 181(C).
    5. Yue Zhang & Bin Zhang & Rongguang Chen, 2025. "Financing Newsvendor with Trade Credit and Bank Credit Portfolio," Mathematics, MDPI, vol. 13(9), pages 1-25, April.
    6. Shilpy & Avadhesh Kumar, 2025. "Evaluating Supply Chain Finance Instruments for SMEs: A Stackelberg Approach to Sustainable Supply Chains Under Government Support," Sustainability, MDPI, vol. 17(15), pages 1-25, August.
    7. Du, Ningning & Yan, Yingchen & Qin, Zhongfeng, 2023. "Analysis of financing strategy in coopetition supply chain with opportunity cost," European Journal of Operational Research, Elsevier, vol. 305(1), pages 85-100.

  2. Jerôme Detemple & Souleymane Laminou Abdou & Franck Moraux, 2020. "American Step Options," Post-Print halshs-02283374, HAL.

    Cited by:

    1. Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1422-1460, October.
    2. Takeshi Ebina & Noriaki Matsushima & Katsumasa Nishide, 2017. "Demand uncertainty, product differentiation, and entry timing under spatial competition," ISER Discussion Paper 1007, Institute of Social and Economic Research, The University of Osaka.
    3. Carlos Esparcia & Elena Ibañez & Francisco Jareño, 2020. "Volatility Timing: Pricing Barrier Options on DAX XETRA Index," Mathematics, MDPI, vol. 8(5), pages 1-25, May.
    4. Shen, Jinye & Huang, Weizhang & Ma, Jingtang, 2024. "An efficient and provable sequential quadratic programming method for American and swing option pricing," European Journal of Operational Research, Elsevier, vol. 316(1), pages 19-35.
    5. Walter Farkas & Ludovic Mathys, 2020. "Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing," Papers 2002.09911, arXiv.org.
    6. Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Papers 2006.00282, arXiv.org.
    7. Anna Battauz & Sara Staffolani, 2025. "American options with acceleration clauses," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 13-35, June.

  3. Olesya Grishchenko & Franck Moraux & Olga Pakulyak, 2020. "Fuel up with OATmeals! The case of the French nominal yield curve," Post-Print halshs-02980563, HAL.

    Cited by:

    1. Davis, Josh & Fuenzalida, Cristian & Huetsch, Leon & Mills, Benjamin & Taylor, Alan M., 2024. "Global natural rates in the long run: Postwar macro trends and the market-implied r∗ in 10 advanced economies," Journal of International Economics, Elsevier, vol. 149(C).
    2. Olesya V. Grishchenko & Franck Moraux & Olga Pakulyak, 2025. "How Stable are Inflation Expectations in the Euro Area? Evidence from the Euro-Area Financial Markets," Finance and Economics Discussion Series 2025-041, Board of Governors of the Federal Reserve System (U.S.).

  4. Franck Moraux, 2019. "On Bankruptcy Procedures and the Valuation of Corporate Securities," Post-Print halshs-02402128, HAL.

    Cited by:

    1. François, Pascal & Naqvi, Hassan, 2023. "Secured and unsecured debt in creditor-friendly bankruptcy," Journal of Corporate Finance, Elsevier, vol. 80(C).
    2. Raviv, Alon & Hilscher, Jens & Peleg Lazar, Sharon, 2021. "Designing bankers' pay: Using contingent capital to reduce risk-shifting," MPRA Paper 106596, University Library of Munich, Germany.

  5. Donatien Hainaut & Franck Moraux, 2019. "A switching self-exciting jump diffusion process for stock prices," Post-Print halshs-01909772, HAL.

    Cited by:

    1. Charles Guy Njike Leunga & Donatien Hainaut, 2022. "Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 963-990, June.
    2. Donatien Hainaut & Griselda Deelstra, 2019. "A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for Asset Prices," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1337-1375, December.
    3. Ketelbuters, John John & Hainaut, Donatien, 2021. "Time-Consistent Evaluation of Credit Risk with Contagion," LIDAM Discussion Papers ISBA 2021004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Leunga Njike, Charles Guy & Hainaut, Donatien, 2024. "Affine Heston model style with self-exciting jumps and long memory," LIDAM Discussion Papers ISBA 2024001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Kartikay Gupta & Niladri Chatterjee, 2021. "Stocks Recommendation from Large Datasets Using Important Company and Economic Indicators," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 667-689, December.
    6. Donatien Hainaut, 2020. "An Actuarial Approach for Modeling Pandemic Risk," Risks, MDPI, vol. 9(1), pages 1-28, December.
    7. Giorgia Callegaro & Andrea Mazzoran & Carlo Sgarra, 2019. "A Self-Exciting Modelling Framework for Forward Prices in Power Markets," Papers 1910.13286, arXiv.org.
    8. Luis A. Souto Arias & Pasquale Cirillo & Cornelis W. Oosterlee, 2022. "A new self-exciting jump-diffusion process for option pricing," Papers 2205.13321, arXiv.org, revised Feb 2023.
    9. Njike Leunga, Charles G. & Hainaut, Donatien, 2022. "Long memory self-exciting jump diffusion for asset prices modeling," LIDAM Discussion Papers ISBA 2022003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    10. Riccardo Brignone & Carlo Sgarra, 2020. "Asian options pricing in Hawkes-type jump-diffusion models," Annals of Finance, Springer, vol. 16(1), pages 101-119, March.
    11. Hainaut, Donatien, 2023. "A mutually exciting rough jump diffusion for financial modelling," LIDAM Discussion Papers ISBA 2023011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Hainaut, Donatien, 2020. "Fractional Hawkes processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    13. Hainaut, Donatien & Deelstra, Griselda, 2018. "A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for asset prices," LIDAM Discussion Papers ISBA 2018011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    14. Charles Guy Njike Leunga & Donatien Hainaut, 2024. "Affine Heston model style with self-exciting jumps and long memory," Annals of Finance, Springer, vol. 20(1), pages 1-43, March.
    15. Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca, 2025. "Option pricing in a sentiment-biased stochastic volatility model," Annals of Finance, Springer, vol. 21(1), pages 69-95, March.
    16. Amit K. Sinha, 2021. "The reliability of geometric Brownian motion forecasts of S&P500 index values," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1444-1462, December.
    17. Hainaut, Donatien, 2019. "Fractional Hawkes processes," LIDAM Discussion Papers ISBA 2019016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

  6. Donatien Hainaut & Franck Moraux, 2018. "Hedging of options in the presence of jump clustering," Post-Print halshs-02024279, HAL.

    Cited by:

    1. Song, Shiyu, 2024. "The valuation of arithmetic Asian options with mean reversion and jump clustering," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    2. Jean-Loup Dupret & Donatien Hainaut, 2025. "A fractional Hawkes process for illiquidity modeling," Mathematics and Financial Economics, Springer, volume 19, number 6.
    3. Leunga Njike, Charles Guy & Hainaut, Donatien, 2024. "Affine Heston model style with self-exciting jumps and long memory," LIDAM Discussion Papers ISBA 2024001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Hainaut, Donatien & Moraux, Franck, 2019. "A switching self-exciting jump diffusion process for stock prices," LIDAM Reprints ISBA 2019017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Riccardo Brignone & Luca Gonzato & Carlo Sgarra, 2024. "Commodity Asian option pricing and simulation in a 4-factor model with jump clusters," Annals of Operations Research, Springer, vol. 336(1), pages 275-306, May.
    6. Njike Leunga, Charles G. & Hainaut, Donatien, 2022. "Long memory self-exciting jump diffusion for asset prices modeling," LIDAM Discussion Papers ISBA 2022003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Hui Qu & Tianyang Wang & Peng Shangguan & Mengying He, 2024. "Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 218-251, February.
    8. Olivier Le Courtois & François Quittard-Pinon & Xiaoshan Su, 2020. "Pricing and hedging defaultable participating contracts with regime switching and jump risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 303-339, June.
    9. Riccardo Brignone & Carlo Sgarra, 2020. "Asian options pricing in Hawkes-type jump-diffusion models," Annals of Finance, Springer, vol. 16(1), pages 101-119, March.
    10. Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).
    11. Jean-David Fermanian, 2020. "On the Dependence between Default Risk and Recovery Rates in Structural Models," Annals of Economics and Statistics, GENES, issue 140, pages 45-82.
    12. Charles Guy Njike Leunga & Donatien Hainaut, 2024. "Affine Heston model style with self-exciting jumps and long memory," Annals of Finance, Springer, vol. 20(1), pages 1-43, March.

  7. Souleymane Laminou Abdou & Franck Moraux, 2016. "Pricing and hedging American and hybrid strangles with finite maturity," Post-Print halshs-01242610, HAL.

    Cited by:

    1. Ha, Mijin & Kim, Donghyun & Yoon, Ji-Hun & Choi, Sun-Yong, 2025. "Pricing for perpetual American strangle options under stochastic volatility with fast mean reversion," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 227(C), pages 41-57.
    2. Jerôme Detemple & Souleymane Laminou Abdou & Franck Moraux, 2020. "American Step Options," Post-Print halshs-02283374, HAL.
    3. Tsvetelin S. Zaevski, 2023. "American strangle options with arbitrary strikes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 880-903, July.
    4. Liu, Yanchu & Cui, Zhenyu & Zhang, Ning, 2016. "Integral representation of vega for American put options," Finance Research Letters, Elsevier, vol. 19(C), pages 204-208.
    5. Jeon, Junkee & Kim, Geonwoo, 2019. "Pricing European continuous-installment strangle options," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    6. Weiping Li & Su Chen, 2018. "The Early Exercise Premium In American Options By Using Nonparametric Regressions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-29, November.

  8. Franck Moraux & Patrick Navatte, 2015. "How do reservation prices impact distressed debt rescheduling?," Post-Print halshs-01116887, HAL.

    Cited by:

    1. Beiyu Tang & Hongpeng Fu & Ying Cheng Wu, 2023. "On reservation prices in the all‐pay contest with correlated information," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 44(7), pages 3932-3943, October.

  9. Jessica Fouilloux & Franck Moraux & Jean-Laurent Viviani, 2015. "Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty," Post-Print halshs-01101996, HAL.

    Cited by:

    1. Chourou, Lamia & Himick, Darlene & Saadi, Samir, 2023. "Regulatory uncertainty and corporate social responsibility," Finance Research Letters, Elsevier, vol. 55(PB).
    2. Xiaoqin Wu & Zhijun Hu, 2025. "Strategic capacity investment under demand ambiguity with creative destruction," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 101(2), pages 259-303, April.
    3. Haiyan Shan & Junliang Yang & Guo Wei, 2019. "Industrial Symbiosis Systems: Promoting Carbon Emission Reduction Activities," IJERPH, MDPI, vol. 16(7), pages 1-23, March.

  10. Franck Moraux & Florina Silaghi, 2014. "Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds," Post-Print halshs-01024229, HAL.

    Cited by:

    1. Ulrich Hege & Pierre Mella-Barral, 2019. "Bond Exchange Offers or Collective Action Clauses?," EconPol Working Paper 32, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    2. Correia, Ricardo & Población, Javier, 2015. "A structural model with Explicit Distress," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 112-130.
    3. Nishihara, Michi & Shibata, Takashi, 2016. "Asset sale, debt restructuring, and liquidation," Journal of Economic Dynamics and Control, Elsevier, vol. 67(C), pages 73-92.
    4. Guthrie, Graeme, 2024. "Farm debt and the over-exploitation of natural capital," Resource and Energy Economics, Elsevier, vol. 77(C).
    5. Christophe J. Godlewski, 2019. "Debt Renegotiation and the Design of Financial Contracts," Post-Print hal-03047757, HAL.
    6. Gan, Liu & Xia, Xin & Zhang, Hai, 2022. "Debt structure and debt overhang," Journal of Corporate Finance, Elsevier, vol. 74(C).
    7. Godlewski, Christophe J., 2020. "How legal and institutional environments shape the private debt renegotiation process?," Journal of Corporate Finance, Elsevier, vol. 62(C).
    8. Nishihara, Michi & Shibata, Takashi, 2018. "Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 118-137.
    9. Christophe J. GODLEWSKI, 2017. "Initial conditions and the private debt renegotiation process," Working Papers of LaRGE Research Center 2017-03, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    10. Michi Nishihara & Takashi Shibata, 2018. "Liquidation, fire sales, and acquirers' private information," Discussion Papers in Economics and Business 18-25, Osaka University, Graduate School of Economics.
    11. Berlinger, Edina & Kiss, Hubert János & Khayouti, Sára, 2022. "Loan forbearance takeup in the Covid-era - The role of time preferences and locus of control," Finance Research Letters, Elsevier, vol. 50(C).
    12. José Valente & Mário Augusto & José Murteira, 2022. "Bargaining power and renegotiation of small private debt contracts," Annals of Finance, Springer, vol. 18(4), pages 485-510, December.
    13. Edina Berlinger & Sára Khayouti & Hubert János Kiss, 2022. "Time discounting predicts loan forbearance takeup," CERS-IE WORKING PAPERS 2201, Institute of Economics, Centre for Economic and Regional Studies.
    14. Dong, Linjia & Nishihara, Michi & Yang, Zhaojun, 2023. "Two-stage investment, loan guarantees and share buybacks," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
    15. Tan, Yingxian & Luo, Pengfei, 2021. "The impact of debt restructuring on dynamic investment and financing policies," Economic Modelling, Elsevier, vol. 102(C).
    16. Silaghi, Florina, 2018. "The use of equity financing in debt renegotiation," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 123-143.

  11. Franck Moraux & Carole Bernard & Ludger Rüschendorf & Steven Vanduffel, 2013. "Optimal payoffs under state-dependent constraints," Post-Print halshs-00830435, HAL.

    Cited by:

    1. L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
    2. Jonathan Ansari & Ludger Rüschendorf, 2018. "Ordering Results for Risk Bounds and Cost-efficient Payoffs in Partially Specified Risk Factor Models," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 817-838, September.

  12. Florina Silaghi & Franck Moraux, 2013. "Debt renegotiation," Post-Print halshs-00835694, HAL.

    Cited by:

    1. Nishihara, Michi & Shibata, Takashi, 2016. "Asset sale, debt restructuring, and liquidation," Journal of Economic Dynamics and Control, Elsevier, vol. 67(C), pages 73-92.

  13. Carole Bernard & Franck Moraux & Ludger Rueschendorf & Steven Vanduffel, 2013. "Optimal Payoffs under State-dependent Preferences," Papers 1308.6465, arXiv.org, revised Jul 2014.

    Cited by:

    1. Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu, 2014. "Risk minimization and portfolio diversification," Papers 1411.6657, arXiv.org, revised Dec 2014.
    2. N. Naguez & J. L. Prigent, 2017. "Optimal portfolio positioning within generalized Johnson distributions," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1037-1055, July.
    3. Fajardo, José & Corcuera, José Manuel & Menouken Pamen, Olivier, 2016. "On the optimal investment," MPRA Paper 71901, University Library of Munich, Germany.
    4. Chen, An & Vanduffel, Steven & Wilke, Morten, 2025. "Optimal payoffs under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 320(3), pages 754-764.
    5. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "A new efficiency test for ranking investments: Application to hedge fund performance," Economics Letters, Elsevier, vol. 181(C), pages 203-207.
    6. Xue Dong He & Zhaoli Jiang, 2020. "Optimal Payoff under the Generalized Dual Theory of Choice," Papers 2012.00345, arXiv.org.
    7. Farzad Pourbabaee & Minsuk Kwak & Traian A. Pirvu, 2016. "Risk minimization and portfolio diversification," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1325-1332, September.
    8. Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2021. "Distributionally robust goal-reaching optimization in the presence of background risk," Papers 2108.04464, arXiv.org, revised Dec 2021.
    9. Bernard, Carole & Chen, Jit Seng & Vanduffel, Steven, 2015. "Rationalizing investors’ choices," Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 10-23.
    10. Zongxia Liang & Yang Liu & Litian Zhang, 2025. "A framework of state-dependent utility optimisation with general benchmarks," Finance and Stochastics, Springer, vol. 29(2), pages 469-518, April.
    11. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
    12. Rüschendorf Ludger & Wolf Viktor, 2015. "Cost-efficiency in multivariate Lévy models," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-16, April.
    13. Carole Bernard & Junsen Tang, 2016. "Simplified Hedge For Path-Dependent Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-32, November.
    14. Carole Bernard & Steven Vanduffel & Jiang Ye, 2018. "Optimal Portfolio Under State-Dependent Expected Utility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-22, May.

  14. Franck Moraux & Patrick Navatte, 2013. "Strategic management of private benefits in a contingent claim framework," Post-Print halshs-00801221, HAL.

    Cited by:

    1. Hubert de La Bruslerie, 2016. "Does debt curb controlling shareholder's private benfits? Modelling in a contingent claim framework," Post-Print hal-01945646, HAL.

  15. Franck Moraux, 2011. "How valuable is your VaR? Large sample confidence intervals for normal VaR," Post-Print halshs-00600718, HAL.

    Cited by:

    1. Marouane Airouss & Mohamed Tahiri & Amale Lahlou & Abdelhak Hassouni, 2018. "Advanced Expected Tail Loss Measurement and Quantification for the Moroccan All Shares Index Portfolio," Mathematics, MDPI, vol. 6(3), pages 1-19, March.
    2. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    3. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, October.
    4. Silvia Stanescu & Radu Tunaru, 2013. "Quantifying the uncertainty in VaR and expected shortfall estimates," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 15, pages 357-372, Edward Elgar Publishing.
    5. Santiago Gamba Santamar�a & Oscar Fernando Jaul�n M�ndez & Luis Fernando Melo Velandia & Carlos Andr�s Quicaz�n Moreno, 2016. "Comparison of Methods for Estimating the Uncertainty of Value at Risk," Borradores de Economia 14263, Banco de la Republica.
    6. Nieto, María Rosa & Carmona-Benítez, Rafael Bernardo, 2018. "ARIMA + GARCH + Bootstrap forecasting method applied to the airline industry," Journal of Air Transport Management, Elsevier, vol. 71(C), pages 1-8.
    7. Santiago Gamba Santamaría & Oscar Fernando Jaulín Méndez & Luis Fernando Melo Velandia & Carlos Andrés Quicazán Moreno, 2015. "Comparación De Métodos Para La Estimación De La Incertidumbre Del Valor En Riesgo," Temas de Estabilidad Financiera 83, Banco de la Republica de Colombia.

  16. Franck Moraux, 2010. "Sensitivity Analysis of Credit Risk Measures in the Beta Binomial Framework," Post-Print halshs-00446903, HAL.

    Cited by:

    1. Peter Simmons & Nongnuch Tantisantiwong, 2018. "Evaluation of Individual and Group Lending under Asymmetric information," Discussion Papers 18/01, Department of Economics, University of York.
    2. Peter J. Simmons & Nongnuch Tantisantiwong, 2022. "The Socially Optimal Loan Auditing with Multiple Projects," Discussion Papers 22/07, Department of Economics, University of York.
    3. Reichel, Lukas & Schmeiser, Hato & Schreiber, Florian, 2021. "Sometimes more, sometimes less: Prudence and the diversification of risky insurance coverage," European Journal of Operational Research, Elsevier, vol. 292(2), pages 770-783.

  17. Franck Moraux & Patrick Navatte, 2009. "On the Pricing and Design of Debt-Equity Swaps for Firms in Default," Post-Print halshs-00446896, HAL.

    Cited by:

    1. Kenjiro Hori & Jorge Martin Cerón, 2017. "Contingent Convertible Bonds: Payoff Structures and Incentive Effects," Birkbeck Working Papers in Economics and Finance 1711, Birkbeck, Department of Economics, Mathematics & Statistics.
    2. N. Letifi & J.-L. Prigent, 2014. "On the debt capacity of growth and decay options," Working Papers 2014-391, Department of Research, Ipag Business School.
    3. Kenjiro Hori & Jorge Martin Ceron, 2014. "Agency Costs of Bail-in," Birkbeck Working Papers in Economics and Finance 1407, Birkbeck, Department of Economics, Mathematics & Statistics.

  18. Franck Moraux, 2009. "On perpetual American strangles," Post-Print halshs-00393811, HAL.

    Cited by:

    1. Obradović, Lazar, 2016. "A note on the perpetual American straddle," Center for Mathematical Economics Working Papers 559, Center for Mathematical Economics, Bielefeld University.
    2. Xuemei Gao & Dongya Deng & Yue Shan, 2014. "Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-6, April.
    3. Laminou Abdou, Souleymane & Moraux, Franck, 2016. "Pricing and hedging American and hybrid strangles with finite maturity," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 112-125.
    4. Ha, Mijin & Kim, Donghyun & Yoon, Ji-Hun & Choi, Sun-Yong, 2025. "Pricing for perpetual American strangle options under stochastic volatility with fast mean reversion," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 227(C), pages 41-57.
    5. Jeon, Junkee & Kim, Geonwoo, 2019. "Pricing European continuous-installment strangle options," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).

  19. Anthony Miloudi & Franck Moraux, 2009. "Relations between Corporate Credit Spreads,Treasury Yields and the Equity Market," Post-Print halshs-00391567, HAL.

    Cited by:

    1. Chi-Fai Lo & Cho-Hoi Hui, 2016. "Pricing corporate bonds with interest rates following double square-root process," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-31, September.
    2. Chi-Fai Lo & Cho-Hoi Hui, 2016. "Pricing Corporate Bonds With Interest Rates Following Double Square-root Process," Working Papers 112016, Hong Kong Institute for Monetary Research.
    3. Abdymomunov, Azamat & Kang, Kyu Ho & Kim, Ki Jeong, 2016. "Can credit spreads help predict a yield curve?," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 39-61.

  20. Franck Moraux & Patrick Navatte, 2007. "Business Risk Targeting AndRescheduling of Distressed Debt," Post-Print halshs-00190840, HAL.

    Cited by:

    1. Franck Moraux & Patrick Navatte, 2015. "How do reservation prices impact distressed debt rescheduling?," Post-Print halshs-01116887, HAL.
    2. N. Letifi & J.-L. Prigent, 2014. "On the debt capacity of growth and decay options," Working Papers 2014-391, Department of Research, Ipag Business School.

  21. Florence André-Le Pogamp & Franck Moraux, 2004. "Valuing Callable Convertible Bonds : a reduced approach," Post-Print halshs-00010137, HAL.

    Cited by:

    1. Florence Andre-Le Pogamp & Khalid El Badraoui, 2013. "Security Design of Callable Convertible Bonds and Issuers' External Financing Costs," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 56(1), pages 61-81.

  22. Franck Moraux & Christophe Villa, 2003. "The dynamics of the term structure of interest rates : an independent component analysis," Post-Print halshs-00076706, HAL.

    Cited by:

    1. Johan Hagenbjörk & Jörgen Blomvall, 2019. "Simulation and evaluation of the distribution of interest rate risk," Computational Management Science, Springer, vol. 16(1), pages 297-327, February.

  23. Franck Moraux, 2002. "Valuing corporate liabilities when the default threshold is not an absorbing barrier," Post-Print halshs-00077168, HAL.

    Cited by:

    1. Annabi, Amira & Breton, Michèle & François, Pascal, 2012. "Resolution of financial distress under Chapter 11," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1867-1887.
    2. Antill, Samuel & Grenadier, Steven R., 2019. "Optimal capital structure and bankruptcy choice: Dynamic bargaining versus liquidation," Journal of Financial Economics, Elsevier, vol. 133(1), pages 198-224.
    3. Chen, An & Suchanecki, Michael, 2006. "Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities," Bonn Econ Discussion Papers 8/2006, University of Bonn, Bonn Graduate School of Economics (BGSE).
    4. Roman N. Makarov, 2016. "Modeling liquidation risk with occupation times," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-11, December.
    5. Dan Galai & Alon Raviv & Zvi Wiener, 2003. "Liquidation Triggers and the Valuation of Equity and Debt," Finance 0305002, University Library of Munich, Germany.
    6. Dionne, Georges & Laajimi, Sadok, 2012. "On the determinants of the implied default barrier," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 395-408.
    7. Reisz, Alexander S. & Perlich, Claudia, 2007. "A market-based framework for bankruptcy prediction," Journal of Financial Stability, Elsevier, vol. 3(2), pages 85-131, July.
    8. Fabian Astic & Agnès Tourin, 2014. "On The Credit Risk Of Secured Loans With Maximum Loan-To-Value Covenants," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(08), pages 1-19.
    9. Franck Moraux & Florina Silaghi, 2014. "Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds," Post-Print halshs-01024229, HAL.
    10. Ephraim Clark & Sélima Baccar, 2009. "Pricing Default Risk With Parisian Options: Empirical Evidence From High Growth Companies," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-18.
    11. Ioannis Michopoulos & Alexandros Bougias & Andrianos E. Tsekrekos, 2025. "Closed‐Form Approximation of Stock‐Based Awards With Moving‐Average Vesting Conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(6), pages 497-520, June.
    12. Aurélien Alfonsi & Jérôme Lelong, 2012. "A Closed-Form Extension To The Black-Cox Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-30.
    13. Makarov, R. & Metzler, A. & Ni, Z., 2015. "Modelling default risk with occupation times," Finance Research Letters, Elsevier, vol. 13(C), pages 54-65.
    14. Zbigniew Palmowski & Jos'e Luis P'erez & Budhi Arta Surya & Kazutoshi Yamazaki, 2019. "The Leland-Toft optimal capital structure model under Poisson observations," Papers 1904.03356, arXiv.org, revised Mar 2020.
    15. J. H. M. Anderluh, 2008. "Pricing Parisians and barriers by hitting time simulation," The European Journal of Finance, Taylor & Francis Journals, vol. 14(2), pages 137-156.
    16. Zbigniew Palmowski & José Luis Pérez & Budhi Arta Surya & Kazutoshi Yamazaki, 2020. "The Leland–Toft optimal capital structure model under Poisson observations," Finance and Stochastics, Springer, vol. 24(4), pages 1035-1082, October.
    17. Bin Li & Qihe Tang & Lihe Wang & Xiaowen Zhou, 2014. "Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 1-19.
    18. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
    19. Le, Nhat-Tan & Dang, Duy-Minh, 2017. "Pricing American-style Parisian down-and-out call options," Applied Mathematics and Computation, Elsevier, vol. 305(C), pages 330-347.

  24. Franck Moraux & O. Renault, 2002. "30 ans de modèles structurels de risque de défaut," Post-Print halshs-00076643, HAL.

    Cited by:

    1. Marinela BARBULESCU & Alina HAGIU, 2016. "Aspects Of The Financial Risk In The Romanian Economy Versus The French Economy - Comparative Perspective And Analysis," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 15(1), pages 69-76.
    2. Marinela BARBULESCU & Alina HAGIU & Cristina BALDAN, 2015. "Contingencies For Measurement Of The Credit Risk," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 14(3), pages 60-65.

  25. Franck Moraux, 2002. "On cumulative parisian options," Post-Print halshs-00071099, HAL.

    Cited by:

    1. Chen, An & Suchanecki, Michael, 2006. "Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities," Bonn Econ Discussion Papers 8/2006, University of Bonn, Bonn Graduate School of Economics (BGSE).
    2. Chen, An & Suchanecki, Michael, 2007. "Default risk, bankruptcy procedures and the market value of life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 231-255, March.
    3. Broeders, Dirk & Chen, An, 2010. "Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1201-1214, June.
    4. An Chen & Markus Pelger & Klaus Sandmann, 2013. "New performance-vested stock option schemes," Applied Financial Economics, Taylor & Francis Journals, vol. 23(8), pages 709-727, April.
    5. Nicholas Sharp & Paul Johnson & David Newton & Peter Duck, 2009. "A New Prepayment Model (with Default): An Occupation-time Derivative Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 118-145, August.

  26. Franck Moraux & Patrick Navatte, 2002. "Pricing credit derivatives in credit classes frameworks," Post-Print halshs-00076642, HAL.

    Cited by:

    1. Florence André-Le Pogamp & Franck Moraux, 2004. "Valuing Callable Convertible Bonds : a reduced approach," Post-Print halshs-00010137, HAL.

Articles

  1. Silaghi, Florina & Moraux, Franck, 2022. "Trade credit contracts: Design and regulation," European Journal of Operational Research, Elsevier, vol. 296(3), pages 980-992.
    See citations under working paper version above.
  2. Detemple, Jérôme & Laminou Abdou, Souleymane & Moraux, Franck, 2020. "American step options," European Journal of Operational Research, Elsevier, vol. 282(1), pages 363-385.
    See citations under working paper version above.
  3. Franck Moraux, 2019. "On Bankruptcy Procedures and the Valuation of Corporate Securities," Finance, Presses universitaires de Grenoble, vol. 40(3), pages 141-191.
    See citations under working paper version above.
  4. Donatien Hainaut & Franck Moraux, 2019. "A switching self-exciting jump diffusion process for stock prices," Annals of Finance, Springer, vol. 15(2), pages 267-306, June.
    See citations under working paper version above.
  5. Laminou Abdou, Souleymane & Moraux, Franck, 2016. "Pricing and hedging American and hybrid strangles with finite maturity," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 112-125.
    See citations under working paper version above.
  6. Moraux, Franck & Navatte, Patrick, 2015. "How do reservation prices impact distressed debt rescheduling?," Economic Modelling, Elsevier, vol. 46(C), pages 269-282.
    See citations under working paper version above.
  7. Carole Bernard & Franck Moraux & Ludger R�schendorf & Steven Vanduffel, 2015. "Optimal payoffs under state-dependent preferences," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1157-1173, July.
    See citations under working paper version above.
  8. Fouilloux, Jessica & Moraux, Franck & Viviani, Jean-Laurent, 2015. "Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty," Energy Policy, Elsevier, vol. 82(C), pages 310-320.
    See citations under working paper version above.
  9. Moraux, Franck & Silaghi, Florina, 2014. "Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 269-295.
    See citations under working paper version above.
  10. Moraux, Franck, 2011. "How valuable is your VaR? Large sample confidence intervals for normal VaR," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 4(2), pages 189-200, March.
    See citations under working paper version above.
  11. Franck Moraux & Patrick Navatte, 2007. "Business Risk Targeting and Rescheduling of Distressed Debt," Finance, Presses universitaires de Grenoble, vol. 28(2), pages 43-78.
    See citations under working paper version above.
  12. F. Andre-le Pogamp & F. Moraux, 2004. "Valuing callable convertible bonds: a reduced approach," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 743-749.
    See citations under working paper version above.
  13. Moraux, Franck, 2004. "A closed form solution for pricing defaultable bonds," Finance Research Letters, Elsevier, vol. 1(2), pages 135-142, June.

    Cited by:

    1. Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon, 2018. "Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 109-128.
    2. Cho-Hoi Hui & Chi-Fai Lo & Po-Hon Chau, 2017. "Exchange Rate Dynamics and United States Dollar-Denominated Sovereign Bond Prices in Emerging Markets," ADB Economics Working Paper Series 530, Asian Development Bank.

  14. Franck Moraux & Patrick Navatte & Christophe Villa, 1999. "The Predictive Power of the French Market Volatility Index: A Multi Horizons Study," Review of Finance, European Finance Association, vol. 2(3), pages 303-320.

    Cited by:

    1. Jupeng Li & Xiaoli Yu & Xingguo Luo, 2019. "Volatility index and the return–volatility relation: Intraday evidence from Chinese options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1348-1359, November.
    2. Costas Siriopoulos & Athanasios Fassas, 2013. "Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices," Review of Derivatives Research, Springer, vol. 16(3), pages 233-266, October.
    3. Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3584-3603, December.
    4. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
    5. VDMV Lakshmi & Garima Sisodia & Anto Joseph & Aviral Kumar Tiwari, 2024. "The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre‐COVID and COVID periods," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3007-3022, July.
    6. Tanuj Nandan & Puja Agrawal, 2016. "Pricing Efficiency in CNX Nifty Index Options Using the Black–Scholes Model: A Comparative Study of Alternate Volatility Measures," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 10(2), pages 281-304, May.
    7. Xuan Vinh Vo & Kevin Daly, 2008. "Volatility amongst firms in the Dow Jones Eurostoxx50 Index," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 569-582.
    8. Konstantinidi, Eirini & Skiadopoulos, George & Tzagkaraki, Emilia, 2008. "Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2401-2411, November.
    9. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
    10. Imlak Shaikh & Puja Padhi, 2014. "The forecasting performance of implied volatility index: evidence from India VIX," Economic Change and Restructuring, Springer, vol. 47(4), pages 251-274, November.
    11. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
    12. Bruce Budd, 2017. "Canaries in the coal mine. The tale of two signals: the VIX and the MOVE Indexes," Proceedings of Economics and Finance Conferences 4807778, International Institute of Social and Economic Sciences.
    13. Sayantan Khanra & Sanjay Dhir, 2017. "Creating Value in Small-cap Firms by Mitigating Risks of Market Volatility," Vision, , vol. 21(4), pages 350-355, December.
    14. Bekiros, Stelios & Jlassi, Mouna & Naoui, Kamel & Uddin, Gazi Salah, 2017. "The asymmetric relationship between returns and implied volatility: Evidence from global stock markets," Journal of Financial Stability, Elsevier, vol. 30(C), pages 156-174.
    15. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2019. "Dynamic Responses of Major Equity Markets to the US Fear Index," JRFM, MDPI, vol. 12(4), pages 1-23, September.
    16. George Skiadopoulos, 2004. "The Greek implied volatility index: construction and properties," Applied Financial Economics, Taylor & Francis Journals, vol. 14(16), pages 1187-1196.

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