Julien Hugonnier
Full Professor
julien.hugonnier@epfl.ch +41 21 693 01 14 https://www.epfl.ch/schools/cdm/college-of-management-of-technology/swiss-finance-institute/faculty-members/
Citizenship: French
Birth date: 17.10.1974
EPFL CDM SFI SFI-JH
EXTRA 212 (Extranef UNIL)
Quartier UNIL-Dorigny
1015 Lausanne
+41 21 693 01 14
+41 21 693 24 66
Office:
EXTRA 212
EPFL
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CDM
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SFI
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SFI-JH
Web site: Web site: https://www.epfl.ch/labs/sfi-jh/
Fields of expertise
Asset pricing theory, incomplete markets and financial frictions, general equilibrium theory, decision making under uncertainty
Publications
Infoscience publications
Infoscience
Online appendix to: Debt dynamics with fixed issuance costs
Journal of Financial Economics. 2022. DOI : 10.1016/j.jfineco.2022.07.006.Valuing Life as an Asset, as a Statistic and at Gunpoint
The Economic Journal. 2022. DOI : 10.1093/ej/ueab072.Heterogeneity in decentralized asset markets
Theoretical Economics. 2022-07-01. DOI : 10.3982/TE4796.Essays in Monetary Policy and Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8499.Essays in Empirical Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8498.Asset Pricing and Monetary Policy
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8210.Optimal fund menus
Mathematical Finance. 2022. DOI : 10.1111/mafi.12341.Frictional Intermediation in Over-the-Counter Markets
Review Of Economic Studies. 2020-05-01. DOI : 10.1093/restud/rdz037.Closing down the shop: Optimal health and wealth dynamics near the end of life
Health Economics. 2020. DOI : 10.1002/hec.3960.Essays in Corporate Finance
Lausanne, EPFL, 2018. DOI : 10.5075/epfl-thesis-8696.Bank capital, liquid reserves, and insolvency risk
Journal of Financial Economics. 2017. DOI : 10.1016/j.jfineco.2017.05.006.Credit market frictions and capital structure dynamics
Journal of Economic Theory. 2015. DOI : 10.1016/j.jet.2014.09.021.Asset pricing with arbitrage activity
Journal of Financial Economics. 2015. DOI : 10.1016/j.jfineco.2014.10.001.Capital supply uncertainty, cash holdings, and investment
Review of Financial Studies. 2015. DOI : 10.1093/rfs/hhu081.Event risk, contingent claims and the temporal resolution of uncertainty
Mathematics and Financial Economics. 2014. DOI : 10.1007/s11579-013-0107-8.Health and (Other) Asset Holdings
Review of Economic Studies. 2013. DOI : 10.1093/restud/rds033.Essays on asset pricing with preference heterogeneity
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5876.Capital Supply Uncertainty, Cash Holdings, and Investment
2013Essays in Equilibrium Asset Pricing
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5778.Essays in Information-Based Asset Pricing
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5777.Endogenous Completeness of Diffusion Driven Equilibrium Markets
Econometrica. 2012. DOI : 10.3982/ECTA8783.Credit Market Frictions and Capital Structure Dynamics
2012Real options and risk aversion
Ambiguity, Real Options, Credit Risk and Insurance. 2012. DOI : 10.3233/978-1-61499-238-7-52.Incomplete information, idiosyncratic volatility and stock returns
Journal of Banking & Finance. 2012. DOI : 10.1016/j.jbankfin.2012.09.004.Rational asset pricing bubbles and portfolio constraints
Journal Of Economic Theory. 2012. DOI : 10.1016/j.jet.2012.05.003.A Structural Analysis of the Health Expenditures and Portfolio Choices of Retired Agents
Swiss Finance Institute Research Paper No. 10-29. 2010. DOI : 10.2139/ssrn.1633342.Mutual fund competition in the presence of dynamic flows
2010. Workshop on Dynamic Games in Management Science, Montreal, CANADA, May 02-03, 2008. p. 1176-1185. DOI : 10.1016/j.automatica.2010.04.006.Essays on Equilibrium Asset Pricing
Lausanne, EPFL, 2010. DOI : 10.5075/epfl-thesis-4760.Mutual fund portfolio choice in the presence of dynamic flows
Mathematical Finance. 2010. DOI : 10.1111/j.1467-9965.2010.00395.x.Endogenous Completeness of Diffusion Driven Equilibrium Markets
2009Pricing and hedging in the presence of extraneous risks
Stochastic Processes and Applications. 2007.Corporate control and real investment in incomplete markets
Journal of Economic Dynamics and Control. 2007. DOI : 10.1016/j.jedc.2006.09.001.Heterogenous preferences and equilibrium trading volume
Journal of Financial Economics. 2007. DOI : 10.1016/j.jfineco.2006.02.001.On the utility based pricing of contingent claims in incomplete markets
Mathematical Finance. 2005. DOI : 10.1111/j.0960-1627.2005.00217.x.A General Formula for Valuing Defaultable Securities
Econometrica. 2004. DOI : 10.1111/j.1468-0262.2004.00538.x.Optimal investment with random endowments in incomplete markets
Annals of Applied Probability. 2004. DOI : 10.1214/105051604000000134.Event Risk, Contingent Claims and the Temporal Resolution of Uncertainty
2001The Feynman–Ka`c formula and pricing occupation time derivatives
International Journal of Theoretical and Applied Finance. 1999. DOI : 10.1142/S021902499900011X.Teaching & PhD
Teaching
Financial engineering
PhD Students
Nik Nejad Darius, Pagliuca Luca,Past EPFL PhD Students
Cornet Benoit Vincent Sylvain , Cujean Julien , Curatola Giuliano Antonio , Gauderon Nicolas , Geelen Thomas Antonius , Hasler Michael , Marchal Alexis Arilès , Prieto Katunaric Rodolfo Javier ,Courses
Derivatives
This course provides a detailed presentation of the standard models for the valuation and hedging of derivatives products such as European options, American options, forward contracts, futures contract and exotic options.
Dynamic Asset Pricing
This course provides an advanced introduction to the methods and results of continuous time asset pricing
Foundations in financial economics
The aim of this course is to expose EPFL bachelor students to some of the main areas in financial economics. The course will be organized around six themes. Students will obtain both practical insights through real-world examples and understand how one can model the main economic trade-offs.