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Franck Moraux

Personal Details

First Name:Franck
Middle Name:
Last Name:Moraux
Suffix:
RePEc Short-ID:pmo266
http://perso.univ-rennes1.fr/franck.moraux/
Université de Rennes 1 and CREM Centre de Recherche en Economie & Management (UMR 6211 CNRS) Postal Address: CREM/IGR-IAE de Rennes, 11 rue Jean Macé, 35000 Rennes (France)

Affiliation

(50%) Institut de Gestion de Rennes (IGR-IAE)
Université de Rennes 1

Rennes, France
http://www.igr.univ-rennes1.fr/

:
+332 23 23 78 00
11, rue Jean Macé, CS 70803, 35708 Rennes Cedex 7
RePEc:edi:igrrefr (more details at EDIRC)

(50%) Centre de Recherche en Économie et Management (CREM)

Rennes/Caen, France
http://crem.univ-rennes1.fr/

: 02 23 23 35 47
02 23 23 35 99
7, place Hoche, 35065 RENNES Cedex
RePEc:edi:crmrefr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jerôme Detemple & Souleymane Laminou Abdou & Franck Moraux, 2019. "American Step Options," Post-Print halshs-02283374, HAL.
  2. Donatien Hainaut & Franck Moraux, 2019. "A switching self-exciting jump diffusion process for stock prices," Post-Print halshs-01909772, HAL.
  3. Franck Moraux, 2018. "René M. Stulz: latitude managériale et politique financière," Post-Print halshs-01683862, HAL.
  4. Donatien Hainaut & Franck Moraux, 2018. "Hedging of options in the presence of jump clustering," Post-Print halshs-02024279, HAL.
  5. Franck Moraux & Vincent Hovelaque, 2016. "De l’absence au dilemme de la diversification des fournisseurs dans la gestion du risque de rupture d’approvisionnement des supply chains," Post-Print halshs-01354781, HAL.
  6. Souleymane Laminou Abdou & Franck Moraux, 2016. "Pricing and hedging American and hybrid strangles with finite maturity," Post-Print halshs-01242610, HAL.
  7. Maxime Debon & Franck Moraux & Patrick Navatte, 2015. "Le coût du financement par obligations rachetables : une étude empirique," Post-Print halshs-01238561, HAL.
  8. Franck Moraux & Patrick Navatte, 2015. "How do reservation prices impact distressed debt rescheduling?," Post-Print halshs-01116887, HAL.
  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.
  10. Franck Moraux & Arnaud Richard, 2014. "What Moves Euro-Bund Futures Contracts on Eurex? Surprises!," Post-Print halshs-01075657, HAL.
  11. Franck Moraux & Florina Silaghi, 2014. "Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds," Post-Print halshs-01024229, HAL.
  12. Franck Moraux & Laurent Bironneau, 2013. "Recherches et innovations en sciences de gestion," Post-Print halshs-00815844, HAL.
  13. Franck Moraux & Carole Bernard & Ludger Rüschendorf & Steven Vanduffel, 2013. "Optimal payoffs under state-dependent constraints," Post-Print halshs-00830435, HAL.
  14. Florina Silaghi & Franck Moraux, 2013. "Debt renegotiation," Post-Print halshs-00835694, HAL.
  15. Grégoire Leblon & Franck Moraux, 2013. "Analytical pricing of european bond options within one-factor quadratic term structure models," Post-Print halshs-00831035, HAL.
  16. Carole Bernard & Franck Moraux & Ludger Rueschendorf & Steven Vanduffel, 2013. "Optimal Payoffs under State-dependent Preferences," Papers 1308.6465, arXiv.org, revised Jul 2014.
  17. Franck Moraux & Rivo Randrianarivony, 2013. "La finance serait-elle devenue anormale au XXIe siècle ?," Post-Print halshs-00924308, HAL.
  18. Laminou Abdou Souleymane & Franck Moraux, 2013. "Pricing and hedging american strangles with finite maturity," Post-Print halshs-00830484, HAL.
  19. Franck Moraux & Patrick Navatte, 2013. "Strategic management of private benefits in a contingent claim framework," Post-Print halshs-00801221, HAL.
  20. Ghassen Nouajaa & Jean-Laurent Viviani & Franck Moraux, 2013. "Foreign exchange risk management : evidence from French non-financial firms," Post-Print halshs-00830492, HAL.
  21. Grégoire Leblon & Franck Moraux, 2012. "Bond portfolio management with affine and quadratic term structure models : selection, risk management and performance," Post-Print halshs-00763196, HAL.
  22. Franck Moraux, 2011. "How valuable is your VaR? Large sample confidence intervals for normal VaR," Post-Print halshs-00600718, HAL.
  23. Franck Moraux & Patrick Navatte, 2011. "Private Benefits in a contingent claim framework: Valuation effects and other implications," Post-Print halshs-00600713, HAL.
  24. Grégoire Leblon & Franck Moraux, 2010. "Quadratic Approaches for Modeling Term Structures of Interest Rates in Discrete Time," Post-Print halshs-00523163, HAL.
  25. Franck Moraux & Arnaud Richard, 2010. "How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation," Post-Print halshs-00493911, HAL.
  26. Franck Moraux, 2010. "Sensitivity Analysis of Credit Risk Measures in the Beta Binomial Framework," Post-Print halshs-00446903, HAL.
  27. Franck Moraux, 2009. "On perpetual American strangles," Post-Print halshs-00393811, HAL.
  28. Maxime Debon & Franck Moraux & Patrick Navatte, 2009. "Make-whole callable bonds :Covenant yield premium insights," Post-Print halshs-00391597, HAL.
  29. Franck Moraux, 2009. "Continuous barrier range options," Post-Print halshs-00426767, HAL.
  30. Grégoire Leblon & Franck Moraux, 2009. "Examining Performance of Quadratic Models of TermStructure of Interest Rates," Post-Print halshs-00391549, HAL.
  31. Anthony Miloudi & Franck Moraux, 2009. "Relations between Corporate Credit Spreads,Treasury Yields and the Equity Market," Post-Print halshs-00391567, HAL.
  32. Franck Moraux & Patrick Navatte, 2009. "On the Pricing and Design of Debt-Equity Swaps for Firms in Default," Post-Print halshs-00446896, HAL.
  33. Cédric Lesage & Franck Moraux, 2009. "Should executive compensation rules govern Audit fees ? An anlysis of executive compensation driven frauds," Post-Print halshs-00419726, HAL.
  34. Pascal François & Franck Moraux, 2008. "The immunization performance of traditional and stochastic durations: a mean-variance analysis," Post-Print halshs-00318494, HAL.
  35. Franck Moraux & Patrick Navatte, 2007. "Admissible Designs of Debt-Equity Swaps for Distressed Firms: Analysis, Limits and Applications," Post-Print halshs-00257915, HAL.
  36. Franck Moraux & Patrick Navatte, 2007. "Rescheduling of distressed debt and business risk targeting ex ante the reorganization," Post-Print halshs-00190849, HAL.
  37. Franck Moraux & Patrick Navatte, 2007. "Business Risk Targeting AndRescheduling of Distressed Debt," Post-Print halshs-00190840, HAL.
  38. Franck Moraux & Patrick Navatte, 2006. "The active management of distressed debt," Post-Print halshs-00093135, HAL.
  39. Franck Moraux & Patrick Navatte, 2006. "Rescheduling debt in default : the Longstaff's proposition revisited," Post-Print halshs-00078569, HAL.
  40. Florence André-Le Pogamp & Franck Moraux, 2004. "Valuing Callable Convertible Bonds : a reduced approach," Post-Print halshs-00010137, HAL.
  41. Franck Moraux & Patrick Navatte, 2004. "Extending the Maturity of a defaulting debt : when it is worthwhile !," Post-Print halshs-00093034, HAL.
  42. Franck Moraux & Anthony Miloudi, 2004. "The relation between corporate credit spreads, treasury yields and the equity markets : new evidences from daily options-ajusted spreads indices," Post-Print halshs-00093027, HAL.
  43. Franck Moraux, 2004. "Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing," Post-Print halshs-00010138, HAL.
  44. Franck Moraux & Christophe Villa, 2003. "The dynamics of the term structure of interest rates : an independent component analysis," Post-Print halshs-00076706, HAL.
  45. Florence André-Le Pogamp & Franck Moraux, 2003. "Sur les obligations convertibles à clause de remboursement anticipé au gré de l'émetteur," Post-Print halshs-00069557, HAL.
  46. Franck Moraux, 2003. "Empirical analysis of term structures of credit spreads indices : a Kalman filtering approach," Post-Print halshs-00093024, HAL.
  47. Franck Moraux, 2003. "Managing corporate liabilities of financially weakened firms," Post-Print halshs-00093021, HAL.
  48. Franck Moraux, 2002. "Valuing corporate liabilities when the default threshold is not an absorbing barrier," Post-Print halshs-00077168, HAL.
  49. Franck Moraux & O. Renault, 2002. "30 ans de modèles structurels de risque de défaut," Post-Print halshs-00076643, HAL.
  50. Franck Moraux & Patrick Navatte, 2002. "Pricing credit derivatives in credit classes frameworks," Post-Print halshs-00076642, HAL.
  51. Franck Moraux, 2002. "On cumulative parisian options," Post-Print halshs-00071099, HAL.

Articles

  1. 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.
  2. 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.
  3. Maxime Debon & Franck Moraux & Patrick Navatte, 2015. "Le coût du financement par obligations rachetables:une étude empirique," Revue Finance Contrôle Stratégie, revues.org, vol. 18(2), pages 17-35, June.
  4. Moraux, Franck & Navatte, Patrick, 2015. "How do reservation prices impact distressed debt rescheduling?," Economic Modelling, Elsevier, vol. 46(C), pages 269-282.
  5. 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.
  6. Carole Bernard & Franck Moraux & Ludger Rüschendorf & Steven Vanduffel, 2015. "Optimal payoffs under state-dependent preferences," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1157-1173, July.
  7. 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.
  8. Franck Moraux & Patrick Navatte, 2007. "Business Risk Targeting and Rescheduling of Distressed Debt," Finance, Presses universitaires de Grenoble, vol. 28(2), pages 43-78.
  9. Moraux, Franck, 2004. "Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 47-61.
  10. Moraux, Franck, 2004. "A closed form solution for pricing defaultable bonds," Finance Research Letters, Elsevier, vol. 1(2), pages 135-142, June.
  11. 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.
  12. 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.

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

    Cited by:

    1. 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.

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

    Cited by:

    1. 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.
    2. 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.

  3. 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. 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.
    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. Christophe J. GODLEWSKI, 2016. "Debt renegotiation and the design of financial contracts," Working Papers of LaRGE Research Center 2016-03, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    5. 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.
    6. Hege, Ulrich & Mella-Barral, Pierre, 2019. "Bond Exchange Offers or Collective Action Clauses?," TSE Working Papers 19-1016, Toulouse School of Economics (TSE).
    7. Silaghi, Florina, 2018. "The use of equity financing in debt renegotiation," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 123-143.
    8. 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.

  4. 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. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
    3. 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.
    4. Fajardo, José & Corcuera, José Manuel & Menouken Pamen, Olivier, 2016. "On the optimal investment," MPRA Paper 71901, University Library of Munich, Germany.
    5. Rüschendorf Ludger & Wolf Viktor, 2015. "Cost-efficiency in multivariate Lévy models," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-16, April.
    6. 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.
    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. Carole Bernard & Jit Seng Chen & Steven Vanduffel, 2013. "Rationalizing Investors Choice," Papers 1302.4679, arXiv.org, revised Jan 2014.
    9. 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.

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

    Cited by:

    1. de La Bruslerie, Hubert, 2016. "Does debt curb controlling shareholders' private benefits? Modelling in a contingent claim framework," Economic Modelling, Elsevier, vol. 58(C), pages 263-282.

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

    Cited by:

    1. 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.
    2. Silvia Stanescu & Radu Tunaru, 2013. "Quantifying the uncertainty in VaR and expected shortfall estimates," Chapters,in: Handbook of Research Methods and Applications in Empirical Finance, chapter 15, pages 357-372 Edward Elgar Publishing.
    3. Santiago Gamba Santamaría & Oscar Fernando Jaulín Méndez & Luis Fernando Melo Velandia & Carlos Andrés Quicazán Moreno, 2016. "Comparison of Methods for Estimating the Uncertainty of Value at Risk," BORRADORES DE ECONOMIA 014263, BANCO DE LA REPÚBLICA.
    4. 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.
    5. 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.
    6. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.

  7. 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.

  8. 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. 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.

  9. 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. 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.
    3. 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.

  10. 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. 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.
    2. 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.
    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.

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

    Cited by:

    1. Moraux, Franck & Navatte, Patrick, 2015. "How do reservation prices impact distressed debt rescheduling?," Economic Modelling, Elsevier, vol. 46(C), pages 269-282.
    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.

  12. 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.

  13. 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.

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

    Cited by:

    1. 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.
    2. 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).
    3. 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.
    4. 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.
    5. Franck Moraux & Florina Silaghi, 2014. "Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds," Post-Print halshs-01024229, HAL.
    6. 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.
    7. 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.
    8. 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.
    9. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
    10. 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.
    11. 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.
    12. 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.

  15. 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.

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

    Cited by:

    1. 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.

Articles

  1. 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.
  2. Carole Bernard & Franck Moraux & Ludger Rüschendorf & 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.
  3. 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.
  4. 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.
  5. 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. Hui, Cho-Hoi & Lo, Chi-Fai & Chau, Po-Hon, 2017. "Exchange Rate Dynamics and United States Dollar-Denominated Sovereign Bond Prices in Emerging Markets," ADB Economics Working Paper Series 530, Asian Development Bank.

  6. 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.
  7. 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. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. George Skiadopoulos & Dimitris Psychoyios, 2006. "Implied Volatility Process: Evidence from the Volatility Derivatives Markets," Working Papers wpn06-17, Warwick Business School, Finance Group.
    8. 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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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (1) 2018-12-24
  2. NEP-ETS: Econometric Time Series (1) 2018-12-24
  3. NEP-GER: German Papers (1) 2015-08-30
  4. NEP-GTH: Game Theory (1) 2013-08-31
  5. NEP-LAW: Law & Economics (1) 2015-08-25
  6. NEP-UPT: Utility Models & Prospect Theory (1) 2013-08-31

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