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Details about Franck Moraux

E-mail:
Homepage:http://perso.univ-rennes1.fr/franck.moraux/
Postal address:Université de Rennes 1 and CREM Centre de Recherche en Economie & Management (UMR 6211 CNRS) Postal Address: CREM/IGR-IAE de Rennes, 11 rue Jean Macé, 35000 Rennes (France)
Workplace:Institut de Gestion de Rennes (IGR-IAE) (Institute of Business Administration), Université de Rennes 1 (University of Rennes 1), (more information at EDIRC)
Centre de Recherche en Économie et Management (CREM) (Economics and Management Research Center), (more information at EDIRC)

Access statistics for papers by Franck Moraux.

Last updated 2020-11-10. Update your information in the RePEc Author Service.

Short-id: pmo266


Jump to Journal Articles

Working Papers

2020

  1. American Step Options
    Post-Print, HAL Downloads View citations (2)
    See also Journal Article in European Journal of Operational Research (2020)

2019

  1. A switching self-exciting jump diffusion process for stock prices
    Post-Print, HAL Downloads View citations (5)
    See also Journal Article in Annals of Finance (2019)
  2. On Bankruptcy Procedures and the Valuation of Corporate Securities
    Post-Print, HAL
    See also Journal Article in Finance (2019)
  3. Valuing corporate liabilities when the default threshold is not an absorbing barrier
    Post-Print, HAL View citations (2)
    Also in Post-Print, HAL (2002) View citations (14)

2018

  1. Hedging of options in the presence of jump clustering
    Post-Print, HAL View citations (3)
  2. René M. Stulz: latitude managériale et politique financière
    Post-Print, HAL

2017

  1. Analytical Pricing of European Bond Options within One-Factor Quadratic Term Structure Models
    Post-Print, HAL
    Also in Post-Print, HAL (2013)

2016

  1. De l’absence au dilemme de la diversification des fournisseurs dans la gestion du risque de rupture d’approvisionnement des supply chains
    Post-Print, HAL
  2. Pricing and hedging American and hybrid strangles with finite maturity
    Post-Print, HAL Downloads View citations (4)
    See also Journal Article in Journal of Banking & Finance (2016)

2015

  1. How do reservation prices impact distressed debt rescheduling?
    Post-Print, HAL Downloads
    See also Journal Article in Economic Modelling (2015)
  2. Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty
    Post-Print, HAL
    See also Journal Article in Energy Policy (2015)
  3. Optimal payoffs under state-dependent preferences
    Post-Print, HAL View citations (9)
    Also in Papers, arXiv.org (2014) Downloads View citations (2)

    See also Journal Article in Quantitative Finance (2015)
  4. The cost of financing with callable bonds: an empirical study
    (Le coût du financement par obligations rachetables: une étude empirique)
    Post-Print, HAL

2014

  1. Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds
    Post-Print, HAL Downloads View citations (13)
    See also Journal Article in Journal of Corporate Finance (2014)
  2. What Moves Euro-Bund Futures Contracts on Eurex? Surprises!
    Post-Print, HAL

2013

  1. Debt renegotiation
    Post-Print, HAL
    Also in Post-Print, HAL (2012)
  2. Foreign exchange risk management: evidence from French non-financial firms
    Post-Print, HAL
  3. La finance serait-elle devenue anormale au XXIe siècle ?
    Post-Print, HAL
  4. Optimal payoffs under state-dependent constraints
    Post-Print, HAL View citations (1)
  5. Pricing and hedging american strangles with finite maturity
    Post-Print, HAL
  6. Recherches et innovations en sciences de gestion
    Post-Print, HAL
  7. Strategic management of private benefits in a contingent claim framework
    Post-Print, HAL View citations (1)

2012

  1. Bond portfolio management with affine and quadratic term structure models: selection, risk management and performance
    Post-Print, HAL

2011

  1. How valuable is your VaR? Large sample confidence intervals for normal VaR
    Post-Print, HAL View citations (7)
  2. Private Benefits in a contingent claim framework: Valuation effects and other implications
    Post-Print, HAL
    Also in Post-Print, HAL (2011)

2010

  1. How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation
    Post-Print, HAL
  2. Quadratic Approaches for Modeling Term Structures of Interest Rates in Discrete Time
    Post-Print, HAL
  3. Sensitivity Analysis of Credit Risk Measures in the Beta Binomial Framework
    Post-Print, HAL View citations (1)

2009

  1. Continuous barrier range options
    Post-Print, HAL
  2. Examining Performance of Quadratic Models of TermStructure of Interest Rates
    Post-Print, HAL
  3. Make-whole callable bonds:Covenant yield premium insights
    Post-Print, HAL
  4. On perpetual American strangles
    Post-Print, HAL View citations (5)
  5. On the Pricing and Design of Debt-Equity Swaps for Firms in Default
    Post-Print, HAL View citations (3)
  6. Relations between Corporate Credit Spreads,Treasury Yields and the Equity Market
    Post-Print, HAL View citations (3)
  7. Should Executive Compensation rules govern Audit fees? An Analysis of Executive Compensation driven Frauds
    Post-Print, HAL
    Also in Post-Print, HAL (2009)

2008

  1. The immunization performance of traditional and stochastic durations: a mean-variance analysis
    Post-Print, HAL

2007

  1. Admissible Designs of Debt-Equity Swaps for Distressed Firms: Analysis, Limits and Applications
    Post-Print, HAL
  2. Business Risk Targeting AndRescheduling of Distressed Debt
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2007) View citations (1)

    See also Journal Article in Finance (2007)
  3. Rescheduling of distressed debt and business risk targeting ex ante the reorganization
    Post-Print, HAL

2006

  1. Rescheduling debt in default: the Longstaff's proposition revisited
    Post-Print, HAL
  2. The active management of distressed debt
    Post-Print, HAL

2004

  1. Extending the Maturity of a defaulting debt: when it is worthwhile !
    Post-Print, HAL
  2. Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing
    Post-Print, HAL
    See also Journal Article in International Review of Financial Analysis (2004)
  3. The relation between corporate credit spreads, treasury yields and the equity markets: new evidences from daily options-ajusted spreads indices
    Post-Print, HAL
  4. Valuing Callable Convertible Bonds: a reduced approach
    Post-Print, HAL View citations (1)
    See also Journal Article in Applied Financial Economics (2004)

2003

  1. Empirical analysis of term structures of credit spreads indices: a Kalman filtering approach
    Post-Print, HAL
  2. Managing corporate liabilities of financially weakened firms
    Post-Print, HAL
  3. Sur les obligations convertibles à clause de remboursement anticipé au gré de l'émetteur
    Post-Print, HAL
  4. The dynamics of the term structure of interest rates: an independent component analysis
    Post-Print, HAL View citations (1)

2002

  1. 30 ans de modèles structurels de risque de défaut
    Post-Print, HAL View citations (2)
  2. On cumulative parisian options
    Post-Print, HAL View citations (1)
  3. Pricing credit derivatives in credit classes frameworks
    Post-Print, HAL View citations (1)

Journal Articles

2020

  1. American step options
    European Journal of Operational Research, 2020, 282, (1), 363-385 Downloads
    See also Working Paper (2020)

2019

  1. A switching self-exciting jump diffusion process for stock prices
    Annals of Finance, 2019, 15, (2), 267-306 Downloads View citations (3)
    See also Working Paper (2019)
  2. On Bankruptcy Procedures and the Valuation of Corporate Securities
    Finance, 2019, 40, (3), 141-191 Downloads
    See also Working Paper (2019)

2016

  1. Pricing and hedging American and hybrid strangles with finite maturity
    Journal of Banking & Finance, 2016, 62, (C), 112-125 Downloads View citations (5)
    See also Working Paper (2016)

2015

  1. How do reservation prices impact distressed debt rescheduling?
    Economic Modelling, 2015, 46, (C), 269-282 Downloads
    See also Working Paper (2015)
  2. Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty
    Energy Policy, 2015, 82, (C), 310-320 Downloads
    See also Working Paper (2015)
  3. Le coût du financement par obligations rachetables:une étude empirique
    Revue Finance Contrôle Stratégie, 2015, 18, (2), 17-35 Downloads
  4. Optimal payoffs under state-dependent preferences
    Quantitative Finance, 2015, 15, (7), 1157-1173 Downloads View citations (6)
    See also Working Paper (2015)

2014

  1. Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds
    Journal of Corporate Finance, 2014, 27, (C), 269-295 Downloads View citations (14)
    See also Working Paper (2014)

2007

  1. Business Risk Targeting and Rescheduling of Distressed Debt
    Finance, 2007, 28, (2), 43-78 Downloads View citations (1)
    See also Working Paper (2007)

2004

  1. A closed form solution for pricing defaultable bonds
    Finance Research Letters, 2004, 1, (2), 135-142 Downloads View citations (2)
  2. Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing
    International Review of Financial Analysis, 2004, 13, (1), 47-61 Downloads
    See also Working Paper (2004)
  3. Valuing callable convertible bonds: a reduced approach
    Applied Financial Economics, 2004, 14, (10), 743-749 Downloads View citations (1)
    See also Working Paper (2004)

1999

  1. The Predictive Power of the French Market Volatility Index: A Multi Horizons Study
    Review of Finance, 1999, 2, (3), 303-320 Downloads View citations (9)
 
Page updated 2020-11-13