Franck Moraux
Franck Moraux
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TitleCited byYear
Valuing corporate liabilities when the default threshold is not an absorbing barrier
F Moraux
EFMA, 2002
Valuing corporate liabilities when the default threshold is not an absorbing barrier
F Moraux
EFMA, 2002
The predictive power of the French market volatility index: a multi horizons study
F Moraux, P Navatte, C Villa
Review of Finance 2 (3), 303-320, 1999
On cumulative Parisian options
F Moraux
FINANCE-PARIS- 23, 127-132, 2002
Optimal payoffs under state-dependent preferences
C Bernard, F Moraux, L Rüschendorf, S Vanduffel
Quantitative Finance 15 (7), 1157-1173, 2015
Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds
F Moraux, F Silaghi
Journal of Corporate Finance 27, 269-295, 2014
How valuable is your VaR? Large sample confidence intervals for normal VaR
F Moraux
Journal of risk management in financial institutions 4 (2), 189-200, 2011
A closed form solution for pricing defaultable bonds
F Moraux
Finance Research Letters 1 (2), 135-142, 2004
Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty
J Fouilloux, F Moraux, JL Viviani
Energy Policy 82, 310-320, 2015
On perpetual American strangles
F Moraux
The Journal of Derivatives 16 (4), 82-97, 2009
Relations between Corporate Credit Spreads, Treasury Yields and the Equity Market.
A Miloudi, F Moraux
International Journal of Business 14 (2), 2009
On the pricing and design of debt-equity swaps for firms in default
F Moraux, P Navatte
HAL Post-Print, 2009
Hedging of options in the presence of jump clustering
D Hainaut, F Moraux
Journal of Computational Finance, Forthcoming, 2018
Pricing and hedging American and hybrid strangles with finite maturity
SL Abdou, F Moraux
Journal of Banking & Finance 62, 112-125, 2016
Sensitivity analysis of credit risk measures in the beta binomial framework
F Moraux
The Journal of Fixed Income 19 (3), 66-76, 2009
Finance de marché
F Moraux
Pearson Education France, 2010
Common factors in international bond returns revisited: a common principal component approach
F Moraux, C Perignon, C Villa
Available at SSRN 302086, 2002
Strategic management of private benefits in a contingent claim framework
F Moraux, P Navatte
HAL Post-Print, 2013
Valuing callable convertible bonds: a reduced approach
F André-Le Pogamp, F Moraux
Applied Financial Economics 14 (10), 743-749, 2004
A switching self-exciting jump diffusion process for stock prices
D Hainaut, F Moraux
Annals of Finance 15 (2), 267-306, 2019
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