Julien Hugonnier
Julien Hugonnier
Associate professor, Swiss Finance Institute, EPFL
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A general formula for valuing defaultable securities
P Collin‐Dufresne, R Goldstein, J Hugonnier
Econometrica 72 (5), 1377-1407, 2004
2452004
Capital supply uncertainty, cash holdings, and investment.
J Hugonnier, S Malamud, E Morellec
Review of Financial Studies 28(2):391–445, 2015, 2015
155*2015
Optimal investment with random endowments in incomplete markets
J Hugonnier, D Kramkov
The Annals of Applied Probability 14 (2), 845-864, 2004
1332004
On Utility‐Based Pricing of Contingent Claims in Incomplete Markets
J Hugonnier, D Kramkov, W Schachermayer
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2005
1212005
Corporate control and real investment in incomplete markets
J Hugonnier, E Morellec
Journal of Economic Dynamics and Control 31 (5), 1781-1800, 2007
103*2007
Health and (other) asset holdings
J Hugonnier, F Pelgrin, P St-Amour
Review of Economic Studies 80 (2), 663-710, 2013
992013
Heterogeneity in decentralized asset markets
J Hugonnier, B Lester, PO Weill
National Bureau of Economic Research Working Paper Series, 2014
962014
Bank capital, liquid reserves, and insolvency risk
J Hugonnier, E Morellec
Journal of Financial Economics 125 (2), 266-285, 2017
812017
The Feynman–Kac formula and pricing occupation time derivatives
JN Hugonnier
International Journal of Theoretical and Applied Finance 2 (02), 153-178, 1999
751999
Rational asset pricing bubbles and portfolio constraints
J Hugonnier
Journal of Economic Theory 147 (6), 2260-2302, 2012
71*2012
Endogenous completeness of diffusion driven equilibrium markets
J Hugonnier, S Malamud, E Trubowitz
Econometrica 80 (3), 1249-1270, 2012
662012
Mutual fund portfolio choice in the presence of dynamic flows
J Hugonnier, R Kaniel
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010
662010
Incomplete information, idiosyncratic volatility and stock returns
T Berrada, J Hugonnier
Journal of Banking & Finance 37 (2), 448-462, 2013
452013
Pricing and hedging in the presence of extraneous risks
PC Dufresne, J Hugonnier
Stochastic Processes and their Applications 117 (6), 742-765, 2007
452007
Real options and risk aversion
J Hugonnier, E Morellec
Swiss Finance Institute Research Paper, 2007
42*2007
Heterogeneous preferences and equilibrium trading volume
T Berrada, J Hugonnier, M Rindisbacher
Journal of Financial Economics 83 (3), 719-750, 2007
352007
Credit market frictions and capital structure dynamics
J Hugonnier, S Malamud, E Morellec
Journal of Economic Theory 157, 1130-1158, 2015
332015
Frictional intermediation in over-the-counter markets
J Hugonnier, B Lester, PO Weill
The Review of Economic Studies 87 (3), 1432-1469, 2020
242020
Event risk, contingent claims and the temporal resolution of uncertainty
P Collin-Dufresne, J Hugonnier
Mathematics and Financial Economics 8 (1), 29-69, 2014
21*2014
Irreversible investment in general equilibrium
J Hugonnier, E Morellec, S Sundaresan
Simon School of Business Working Paper No. FR, 05-10, 2005
19*2005
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