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
CH-1015 Lausanne
+41 21 693 01 14
+41 21 693 24 66
Local:
EXTRA 212
EPFL
>
CDM
>
SFI
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SFI-JH
Web site: Site web: https://www.epfl.ch/labs/sfi-jh/
Publications
Publications Infoscience
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. 2021-12-03. 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.Infoscience
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. 2021-12-03. 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.Enseignement & Phd
Enseignement
Financial engineering
Programmes doctoraux
Doctoral Program in Finance
Doctorants
Cornet Benoit Vincent Sylvain, Marchal Alexis Arilès,A dirigé les thèses EPFL de
Cujean Julien , Curatola Giuliano Antonio , Gauderon Nicolas , Geelen Thomas Antonius , Hasler Michael , 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.