Julien Hugonnier
Associate Professor
julien.hugonnier@epfl.ch +41 21 69 30114 http://sfi.epfl.ch/hugonnier.html
EPFL CDM CDM-IF IF-ENS
EXTRA 212 (Extranef UNIL)
Quartier UNIL-Dorigny
CH-1015 Lausanne
EPFL CDM SFI SFI-JH
EXTRA 212 (Extranef UNIL)
Quartier UNIL-Dorigny
CH-1015 Lausanne
EPFL CDM CDM-IF IF-GE
EXTRA 212 (Extranef UNIL)
Quartier UNIL-Dorigny
CH-1015 Lausanne
Fields of expertise
Asset pricing theory, incomplete markets and financial frictions, general equilibrium theory, decision making under uncertainty
Publications
Infoscience
T. A. Geelen / J. Hugonnier; E. Morellec (Dir.) : Essays in Corporate Finance. Lausanne, EPFL, 2018. DOI : 10.5075/epfl-thesis-8696.
J. Hugonnier; S. Malamud; E. Morellec : Credit market frictions and capital structure dynamics; Journal Of Economic Theory. 2015. DOI : 10.1016/j.jet.2014.09.021.
J. Hugonnier; R. Prieto : Asset pricing with arbitrage activity; Journal of Financial Economics. 2015. DOI : 10.1016/j.jfineco.2014.10.001.
J. Hugonnier; S. Malamud; E. Morellec : Capital Supply Uncertainty, Cash Holdings, and Investment; Review Of Financial Studies. 2015. DOI : 10.1093/rfs/hhu081.
P. Collin-Dufresne; J. Hugonnier : Event risk, contingent claims and the temporal resolution of uncertainty; Mathematics and Financial Economics. 2014. DOI : 10.1007/s11579-013-0107-8.
J. Hugonnier; F. Pelgrin; P. St-Amour : Health and (Other) Asset Holdings; Review of Economic Studies. 2013. DOI : 10.1093/restud/rds033.
G. A. Curatola / J. Hugonnier (Dir.) : Essays on asset pricing with preference heterogeneity. Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5876.
J. N. Hugonnier; S. Malamud; E. Morellec : Capital Supply Uncertainty, Cash Holdings, and Investment. 2013.
J. N. Hugonnier; E. Morellec : Risk Aversion and Real Options; Real Options, Ambiguity, Risk and Insurance, Amsterdam. 2013. DOI : 10.3233/978-1-61499-238-7-52.
J. Cujean / J. Hugonnier (Dir.) : Essays in Equilibrium Asset Pricing. Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5778.
M. Hasler / J. Hugonnier (Dir.) : Essays in Information-Based Asset Pricing. Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5777.
T. Berrada; J. Hugonnier : Incomplete information, idiosyncratic volatility and stock returns; Journal of Banking & Finance. 2013. DOI : 10.1016/j.jbankfin.2012.09.004.
J. Hugonnier; S. Malamud; E. Trubowitz : Endogenous Completeness of Diffusion Driven Equilibrium Markets; Econometrica. 2012. DOI : 10.3982/ECTA8783.
J. N. Hugonnier; S. Malamud; E. Morellec : Credit Market Frictions and Capital Structure Dynamics. 2012.
J. N. Hugonnier; P. St-Amour; F. Pelgrin : Health and (Other) Asset Holdings; Review of Economic Studies. 2012. DOI : 10.2139/ssrn.1417364.
J. Hugonnier : Rational asset pricing bubbles and portfolio constraints; Journal Of Economic Theory. 2012. DOI : 10.1016/j.jet.2012.05.003.
J. N. Hugonnier; F. Pelgrin; P. St-Amour : 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.
M. Breton; J. Hugonnier; T. Masmoudi : 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.
R. J. Prieto Katunaric / J. Hugonnier (Dir.) : Essays on Equilibrium Asset Pricing. Lausanne, EPFL, 2010. DOI : 10.5075/epfl-thesis-4760.
S. Malamud; J. Hugonnier; E. Trubowitz : Endogenous Completeness of Diffusion Driven Equilibrium Markets. 2009.
J. Hugonnier; R. Kaniel : Mutual fund portfolio choice in the presence of dynamic flows; Mathematical Finance. 2008. DOI : 10.1111/j.1467-9965.2010.00395.x.
P. Collin-Dufresne; J. Hugonnier : Pricing and hedging in the presence of extraneous risks; Stochastic Processes and Applications. 2007.
J. Hugonnier; E. Morellec : Corporate control and real investment in incomplete markets; Journal of Economic Dynamics and Control. 2007. DOI : 10.1016/j.jedc.2006.09.001.
T. T. Berrada; J. Hugonnier; M. Rindisbacher : Heterogenous preferences and equilibrium trading volume; Journal of Financial Economics. 2007.
J. Hugonnier; D. Kramkov; W. Schachermayer : On the utility based pricing of contingent claims in incomplete markets; Mathematical Finance. 2005. DOI : 10.1111/j.0960-1627.2005.00217.x.
P. Collin-Dufresne; R. Goldstein; J. Hugonnier : A General Formula for Valuing Defaultable Securities; Econometrica. 2004. DOI : 10.1111/j.1468-0262.2004.00538.x.
J. Hugonnier; D. Kramkov : Optimal investment with random endowments in incomplete markets; Annals of Applied Probability. 2004.
P. Collin-Dufresne; J. N. Hugonnier : Event Risk, Contingent Claims and the Temporal Resolution of Uncertainty. 2001.
J. Hugonnier : The 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 Programs
- Doctoral Program in Finance
PhD Students
Cornet Benoit Vincent Sylvain
Gauderon Nicolas
Marchal Alexis Arilès
Curatola Giuliano Antonio ...
Geelen Thomas Antonius ...
Hasler Michael ...
Prieto Katunaric Rodolfo Javier ...
Gauderon Nicolas
Marchal Alexis Arilès
Past PhD Students
Cujean Julien ...Curatola Giuliano Antonio ...
Geelen Thomas Antonius ...
Hasler Michael ...
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. 
Financial Engineering Section, 2018-2019, Master semester 4, language : english