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/
Nationality: French
EPFL CDM SFI SFI-JH
EXTRA 212 (Extranef UNIL)
Quartier UNIL-Dorigny
1015 Lausanne
+41 21 693 24 66
+41 21 693 01 14
Office: EXTRA 212
EPFL › CDM › SFI › SFI-JH
Website: https://www.epfl.ch/labs/sfi-jh/
+41 21 693 01 14
EPFL › CDM › CDM-IF › IF-ENS
+41 21 693 01 14
EPFL › CDM › CDM-DIR › CDM-CEA
+41 21 693 01 14
EPFL › VPA › VPA-AVP-DLE › AVP-DLE-EDOC › EDFI-GE
Website: https://go.epfl.ch/edfi
Expertise
Awards
2011); Bourse de recherche de la Fondation Banque de France (2014); CEPR Research fellow
0
EFA 2024 Best Conference Paper Prize
European Finance Association
2024
Meritorious Service Award, Operations Research Editorial Board
2010
Perpetual Futures Pricing
Mathematical Finance. 2025. DOI : 10.1111/mafi.70018.Asset Pricing with Costly Short Sales
Management Science. 2025. DOI : 10.1287/mnsc.2023.01887.Heterogeneity in decentralized asset markets
Theoretical Economics. 2022. DOI : 10.3982/TE4796.Online appendix to: Debt dynamics with fixed issuance costs
Journal of Financial Economics. 2022. DOI : 10.1016/j.jfineco.2022.07.006.Essays in Empirical Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8498.Essays in Monetary Policy and Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8499.Optimal fund menus
Mathematical Finance. 2022. DOI : 10.1111/mafi.12341.Valuing Life as an Asset, as a Statistic and at Gunpoint
The Economic Journal. 2022. DOI : 10.1093/ej/ueab072.Asset Pricing and Monetary Policy
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8210.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 in Equilibrium Asset Pricing
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5778.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.Essays in Information-Based Asset Pricing
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5777.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.Endogenous Completeness of Diffusion Driven Equilibrium Markets
Econometrica. 2012. DOI : 10.3982/ECTA8783.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
2009Pricing and hedging in the presence of extraneous risks
Stochastic Processes and Applications. 2007.Heterogenous 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.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
Perpetual Futures Pricing
Mathematical Finance. 2025. DOI : 10.1111/mafi.70018.Asset Pricing with Costly Short Sales
Management Science. 2025. DOI : 10.1287/mnsc.2023.01887.Heterogeneity in decentralized asset markets
Theoretical Economics. 2022. DOI : 10.3982/TE4796.Online appendix to: Debt dynamics with fixed issuance costs
Journal of Financial Economics. 2022. DOI : 10.1016/j.jfineco.2022.07.006.Essays in Empirical Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8498.Essays in Monetary Policy and Asset Pricing
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8499.Optimal fund menus
Mathematical Finance. 2022. DOI : 10.1111/mafi.12341.Valuing Life as an Asset, as a Statistic and at Gunpoint
The Economic Journal. 2022. DOI : 10.1093/ej/ueab072.Asset Pricing and Monetary Policy
Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8210.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 in Equilibrium Asset Pricing
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5778.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.Essays in Information-Based Asset Pricing
Lausanne, EPFL, 2013. DOI : 10.5075/epfl-thesis-5777.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.Endogenous Completeness of Diffusion Driven Equilibrium Markets
Econometrica. 2012. DOI : 10.3982/ECTA8783.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
2009Pricing and hedging in the presence of extraneous risks
Stochastic Processes and Applications. 2007.Heterogenous 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.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.Teaching & PhD
PhD Students
Luca Pagliuca, Darius Nik Nejad
Past EPFL PhD Students
Rodolfo Javier Prieto Katunaric, Michael Hasler, Giuliano Antonio Curatola, Julien Cujean, Thomas Antonius Geelen, Nicolas Gauderon, Benoit Vincent Sylvain Cornet
Past EPFL PhD Students as codirector
Rémy Praz, Cagil Kocyigit, Alexis Marchal
Courses
Derivatives
FIN-404
This course provides a detailed presentation 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
FIN-615
This course provides an advanced introduction to the methods and results of continuous time asset pricing
Foundations in financial economics
MGT-301
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.