Julien Hugonnier
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/
Nationalité: French
Date de naissance: 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
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SFI-JH
Web site: Site web: https://www.epfl.ch/labs/sfi-jh/
+41 21 693 01 14
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IF-ENS
Publications
Publications Infoscience
Heterogeneity in decentralized asset markets
Theoretical Economics. 2022. DOI : 10.3982/TE4796.Essays in Monetary Policy and Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8499.Asset Pricing and Monetary Policy
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8210.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.Optimal fund menus
Mathematical Finance. 2022. DOI : 10.1111/mafi.12341.Essays in Empirical Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8498.Risk Premia and Levy Jumps: Theory and Evidence*
Journal Of Financial Econometrics. 2021. DOI : 10.1093/jjfinec/nbab020.Frictional Intermediation in Over-the-Counter Markets
Review Of Economic Studies. 2020. 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.Capital supply uncertainty, cash holdings, and investment
Review of Financial Studies. 2015. DOI : 10.1093/rfs/hhu081.Asset pricing with arbitrage activity
Journal of Financial Economics. 2015. DOI : 10.1016/j.jfineco.2014.10.001.Credit market frictions and capital structure dynamics
Journal of Economic Theory. 2015. DOI : 10.1016/j.jet.2014.09.021.Event risk, contingent claims and the temporal resolution of uncertainty
Mathematics and Financial Economics. 2014. DOI : 10.1007/s11579-013-0107-8.Essays on asset pricing with preference heterogeneity
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5876.Health and (Other) Asset Holdings
Review of Economic Studies. 2013. DOI : 10.1093/restud/rds033.Essays in Information-Based Asset Pricing
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5777.Essays in Equilibrium Asset Pricing
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5778.Endogenous Completeness of Diffusion Driven Equilibrium Markets
Econometrica. 2012. DOI : 10.3982/ECTA8783.Rational asset pricing bubbles and portfolio constraints
Journal Of Economic Theory. 2012. DOI : 10.1016/j.jet.2012.05.003.Incomplete information, idiosyncratic volatility and stock returns
Journal of Banking & Finance. 2012. DOI : 10.1016/j.jbankfin.2012.09.004.Mutual fund portfolio choice in the presence of dynamic flows
Mathematical Finance. 2010. DOI : 10.1111/j.1467-9965.2010.00395.x.Essays on Equilibrium Asset Pricing
Lausanne, EPFL, 2010. DOI : 10.5075/epfl-thesis-4760.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.Endogenous Completeness of Diffusion Driven Equilibrium Markets
2009Heterogenous preferences and equilibrium trading volume
Journal of Financial Economics. 2007. DOI : 10.1016/j.jfineco.2006.02.001.Corporate control and real investment in incomplete markets
Journal of Economic Dynamics and Control. 2007. DOI : 10.1016/j.jedc.2006.09.001.Pricing and hedging in the presence of extraneous risks
Stochastic Processes and Applications. 2007.On the utility based pricing of contingent claims in incomplete markets
Mathematical Finance. 2005. DOI : 10.1111/j.0960-1627.2005.00217.x.Optimal investment with random endowments in incomplete markets
Annals of Applied Probability. 2004. DOI : 10.1214/105051604000000134.The Feynman–Ka`c formula and pricing occupation time derivatives
International Journal of Theoretical and Applied Finance. 1999. DOI : 10.1142/S021902499900011X.Infoscience
Heterogeneity in decentralized asset markets
Theoretical Economics. 2022. DOI : 10.3982/TE4796.Essays in Monetary Policy and Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8499.Asset Pricing and Monetary Policy
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8210.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.Optimal fund menus
Mathematical Finance. 2022. DOI : 10.1111/mafi.12341.Essays in Empirical Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8498.Risk Premia and Levy Jumps: Theory and Evidence*
Journal Of Financial Econometrics. 2021. DOI : 10.1093/jjfinec/nbab020.Frictional Intermediation in Over-the-Counter Markets
Review Of Economic Studies. 2020. 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.Capital supply uncertainty, cash holdings, and investment
Review of Financial Studies. 2015. DOI : 10.1093/rfs/hhu081.Asset pricing with arbitrage activity
Journal of Financial Economics. 2015. DOI : 10.1016/j.jfineco.2014.10.001.Credit market frictions and capital structure dynamics
Journal of Economic Theory. 2015. DOI : 10.1016/j.jet.2014.09.021.Event risk, contingent claims and the temporal resolution of uncertainty
Mathematics and Financial Economics. 2014. DOI : 10.1007/s11579-013-0107-8.Essays on asset pricing with preference heterogeneity
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5876.Health and (Other) Asset Holdings
Review of Economic Studies. 2013. DOI : 10.1093/restud/rds033.Essays in Information-Based Asset Pricing
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5777.Essays in Equilibrium Asset Pricing
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5778.Endogenous Completeness of Diffusion Driven Equilibrium Markets
Econometrica. 2012. DOI : 10.3982/ECTA8783.Rational asset pricing bubbles and portfolio constraints
Journal Of Economic Theory. 2012. DOI : 10.1016/j.jet.2012.05.003.Incomplete information, idiosyncratic volatility and stock returns
Journal of Banking & Finance. 2012. DOI : 10.1016/j.jbankfin.2012.09.004.Mutual fund portfolio choice in the presence of dynamic flows
Mathematical Finance. 2010. DOI : 10.1111/j.1467-9965.2010.00395.x.Essays on Equilibrium Asset Pricing
Lausanne, EPFL, 2010. DOI : 10.5075/epfl-thesis-4760.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.Endogenous Completeness of Diffusion Driven Equilibrium Markets
2009Heterogenous preferences and equilibrium trading volume
Journal of Financial Economics. 2007. DOI : 10.1016/j.jfineco.2006.02.001.Corporate control and real investment in incomplete markets
Journal of Economic Dynamics and Control. 2007. DOI : 10.1016/j.jedc.2006.09.001.Pricing and hedging in the presence of extraneous risks
Stochastic Processes and Applications. 2007.On the utility based pricing of contingent claims in incomplete markets
Mathematical Finance. 2005. DOI : 10.1111/j.0960-1627.2005.00217.x.Optimal investment with random endowments in incomplete markets
Annals of Applied Probability. 2004. DOI : 10.1214/105051604000000134.The Feynman–Ka`c formula and pricing occupation time derivatives
International Journal of Theoretical and Applied Finance. 1999. DOI : 10.1142/S021902499900011X.Enseignement & Phd
Enseignement
Financial engineering
Doctorants
Nik Nejad Darius, Pagliuca Luca,A dirigé les thèses EPFL de
Cornet Benoit Vincent Sylvain , Cujean Julien , Curatola Giuliano Antonio , Gauderon Nicolas , Geelen Thomas Antonius , Hasler Michael , Marchal Alexis Arilès , Prieto Katunaric Rodolfo Javier ,Cours
Derivatives
Le but de ce cours est de donner une description détaillée des modèles standard d'évaluation et de couverture des produits dérivés tels que options européennes, options américaines, contrats forward, contrat futures et options exotiques.
Foundations in financial economics
Ce cours a pour but d'exposer les etudiants de bachelor à certaines des principales problématiques de la finance moderne. Le cours s'articulera autour de six grand thèmes que nous explorerons tant du point vue pratique que du point de vue de la modélisation.