Julien Hugonnier
Professeur associé
julien.hugonnier@epfl.ch +41 21 69 30114 https://www.epfl.ch/schools/cdm/college-of-management-of-technology/swiss-finance-institute/faculty-
Nationalité : French
EPFL CDM IF-GE
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 IF-GE
EXTRA 212 (Extranef UNIL)
Quartier UNIL-Dorigny
CH-1015 Lausanne
Publications
J. Hugonnier; E. Morellec : Bank capital, liquid reserves, and insolvency risk; Journal of Financial Economics. 2017. DOI : 10.1016/j.jfineco.2017.05.006.
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.
J. N. Hugonnier; S. Malamud; E. Morellec : Capital Supply Uncertainty, Cash Holdings, and Investment. 2013.
J. N. Hugonnier; P. St-Amour; F. Pelgrin : Health and (Other) Asset Holdings; Review of Economic Studies. 2013. DOI : 10.2139/ssrn.1417364.
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; E. Morellec : Real options and risk aversion; Ambiguity, Real Options, Credit Risk and Insurance . 2012. DOI : 10.3233/978-1-61499-238-7-52.
T. Berrada; J. Hugonnier : Incomplete information, idiosyncratic volatility and stock returns; Journal of Banking & Finance. 2012. DOI : 10.1016/j.jbankfin.2012.09.004.
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.
J. Hugonnier; R. Kaniel : Mutual fund portfolio choice in the presence of dynamic flows; Mathematical Finance. 2010. DOI : 10.1111/j.1467-9965.2010.00395.x.
S. Malamud; J. Hugonnier; E. Trubowitz : Endogenous Completeness of Diffusion Driven Equilibrium Markets. 2009.
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.
Infoscience
J. Hugonnier; E. Morellec : Bank capital, liquid reserves, and insolvency risk; Journal of Financial Economics. 2017. DOI : 10.1016/j.jfineco.2017.05.006.
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.
J. N. Hugonnier; S. Malamud; E. Morellec : Capital Supply Uncertainty, Cash Holdings, and Investment. 2013.
J. N. Hugonnier; P. St-Amour; F. Pelgrin : Health and (Other) Asset Holdings; Review of Economic Studies. 2013. DOI : 10.2139/ssrn.1417364.
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; E. Morellec : Real options and risk aversion; Ambiguity, Real Options, Credit Risk and Insurance . 2012. DOI : 10.3233/978-1-61499-238-7-52.
T. Berrada; J. Hugonnier : Incomplete information, idiosyncratic volatility and stock returns; Journal of Banking & Finance. 2012. DOI : 10.1016/j.jbankfin.2012.09.004.
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.
J. Hugonnier; R. Kaniel : Mutual fund portfolio choice in the presence of dynamic flows; Mathematical Finance. 2010. DOI : 10.1111/j.1467-9965.2010.00395.x.
S. Malamud; J. Hugonnier; E. Trubowitz : Endogenous Completeness of Diffusion Driven Equilibrium Markets. 2009.
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.
Enseignement & Phd
Enseignement
- Financial engineering,
Programmes doctoraux
- Doctoral Program in Finance
Doctorants
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
A dirigé les thèses de
Cujean Julien ...Curatola Giuliano Antonio ...
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. 