Julien Hugonnier

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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 > CDM > SFI > SFI-JH

Web site: Web site: https://www.epfl.ch/labs/sfi-jh/

+41 21 693 01 14
EPFL > CDM > CDM-IF > IF-ENS

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Administrative data

Fields of expertise

Asset pricing theory, incomplete markets and financial frictions, general equilibrium theory, decision making under uncertainty

Publications

Infoscience publications

Infoscience

Heterogeneity in decentralized asset markets

J. Hugonnier; B. Lester; P.-O. Weill

Theoretical Economics. 2022-07-01. DOI : 10.3982/TE4796.

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Online appendix to: Debt dynamics with fixed issuance costs

J. Hugonnier

Journal of Financial Economics. 2022. DOI : 10.1016/j.jfineco.2022.07.006.

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Valuing Life as an Asset, as a Statistic and at Gunpoint

J. Hugonnier; F. Pelgrin; P. St-Amour

The Economic Journal. 2022. DOI : 10.1093/ej/ueab072.

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Essays in Monetary Policy and Asset Pricing

B. V. S. Cornet / J. Hugonnier; P. Collin Dufresne (Dir.)

Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8499.

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Essays in Empirical Asset Pricing

A. A. Marchal / P. Collin Dufresne; J. Hugonnier (Dir.)

Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8498.

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Asset Pricing and Monetary Policy

N. Gauderon / J. Hugonnier (Dir.)

Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8210.

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Optimal fund menus

J. Cvitanic; J. Hugonnier

Mathematical Finance. 2022. DOI : 10.1111/mafi.12341.

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Frictional Intermediation in Over-the-Counter Markets

J. Hugonnier; B. Lester; P.-O. Weill

Review Of Economic Studies. 2020-05-01. DOI : 10.1093/restud/rdz037.

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Closing down the shop: Optimal health and wealth dynamics near the end of life

J. Hugonnier; F. Pelgrin; P. St-Amour

Health Economics. 2020. DOI : 10.1002/hec.3960.

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Essays in Corporate Finance

T. A. Geelen / J. Hugonnier; E. Morellec (Dir.)

Lausanne, EPFL, 2018. DOI : 10.5075/epfl-thesis-8696.

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Bank capital, liquid reserves, and insolvency risk

J. Hugonnier; E. Morellec

Journal of Financial Economics. 2017. DOI : 10.1016/j.jfineco.2017.05.006.

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Credit market frictions and capital structure dynamics

J. Hugonnier; S. Malamud; E. Morellec

Journal of Economic Theory. 2015. DOI : 10.1016/j.jet.2014.09.021.

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Asset pricing with arbitrage activity

J. Hugonnier; R. Prieto

Journal of Financial Economics. 2015. DOI : 10.1016/j.jfineco.2014.10.001.

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Capital supply uncertainty, cash holdings, and investment

J. Hugonnier; S. Malamud; E. Morellec

Review of Financial Studies. 2015. DOI : 10.1093/rfs/hhu081.

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Event risk, contingent claims and the temporal resolution of uncertainty

P. Collin-Dufresne; J. Hugonnier

Mathematics and Financial Economics. 2014. DOI : 10.1007/s11579-013-0107-8.

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Health and (Other) Asset Holdings

J. Hugonnier; F. Pelgrin; P. St-Amour

Review of Economic Studies. 2013. DOI : 10.1093/restud/rds033.

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Essays on asset pricing with preference heterogeneity

G. A. Curatola / J. Hugonnier (Dir.)

Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5876.

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Capital Supply Uncertainty, Cash Holdings, and Investment

J. N. Hugonnier; S. Malamud; E. Morellec

2013

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Essays in Equilibrium Asset Pricing

J. Cujean / J. Hugonnier (Dir.)

Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5778.

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Essays in Information-Based Asset Pricing

M. Hasler / J. Hugonnier (Dir.)

Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5777.

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Endogenous Completeness of Diffusion Driven Equilibrium Markets

J. Hugonnier; S. Malamud; E. Trubowitz

Econometrica. 2012. DOI : 10.3982/ECTA8783.

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Credit Market Frictions and Capital Structure Dynamics

J. N. Hugonnier; S. Malamud; E. Morellec

2012

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Real options and risk aversion

J. N. Hugonnier; E. Morellec

Ambiguity, Real Options, Credit Risk and Insurance. 2012. DOI : 10.3233/978-1-61499-238-7-52.

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Incomplete information, idiosyncratic volatility and stock returns

T. Berrada; J. Hugonnier

Journal of Banking & Finance. 2012. DOI : 10.1016/j.jbankfin.2012.09.004.

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Rational asset pricing bubbles and portfolio constraints

J. Hugonnier

Journal Of Economic Theory. 2012. DOI : 10.1016/j.jet.2012.05.003.

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A Structural Analysis of the Health Expenditures and Portfolio Choices of Retired Agents

J. N. Hugonnier; F. Pelgrin; P. St-Amour

Swiss Finance Institute Research Paper No. 10-29. 2010. DOI : 10.2139/ssrn.1633342.

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Mutual fund competition in the presence of dynamic flows

M. Breton; J. Hugonnier; T. Masmoudi

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.

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Essays on Equilibrium Asset Pricing

R. J. Prieto Katunaric / J. Hugonnier (Dir.)

Lausanne, EPFL, 2010. DOI : 10.5075/epfl-thesis-4760.

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Mutual fund portfolio choice in the presence of dynamic ﬂows

J. Hugonnier; R. Kaniel

Mathematical Finance. 2010. DOI : 10.1111/j.1467-9965.2010.00395.x.

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Endogenous Completeness of Diffusion Driven Equilibrium Markets

S. Malamud; J. Hugonnier; E. Trubowitz

2009

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Pricing and hedging in the presence of extraneous risks

P. Collin-Dufresne; J. Hugonnier

Stochastic Processes and Applications. 2007.

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Corporate control and real investment in incomplete markets

J. Hugonnier; E. Morellec

Journal of Economic Dynamics and Control. 2007. DOI : 10.1016/j.jedc.2006.09.001.

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Heterogenous preferences and equilibrium trading volume

T. T. Berrada; J. Hugonnier; M. Rindisbacher

Journal of Financial Economics. 2007. DOI : 10.1016/j.jfineco.2006.02.001.

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On the utility based pricing of contingent claims in incomplete markets

J. Hugonnier; D. Kramkov; W. Schachermayer

Mathematical Finance. 2005. DOI : 10.1111/j.0960-1627.2005.00217.x.

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A General Formula for Valuing Defaultable Securities

P. Collin-Dufresne; R. Goldstein; J. Hugonnier

Econometrica. 2004. DOI : 10.1111/j.1468-0262.2004.00538.x.

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Optimal investment with random endowments in incomplete markets

J. Hugonnier; D. Kramkov

Annals of Applied Probability. 2004. DOI : 10.1214/105051604000000134.

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Event Risk, Contingent Claims and the Temporal Resolution of Uncertainty

P. Collin-Dufresne; J. N. Hugonnier

2001

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The Feynman–Ka`c formula and pricing occupation time derivatives

J. Hugonnier

International Journal of Theoretical and Applied Finance. 1999. DOI : 10.1142/S021902499900011X.

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Teaching & PhD

Teaching

Financial engineering

PhD Students

Nik Nejad Darius,

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

The objective of this course is to provide a detailed coverage 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.