Publications
"Fair Valuation of Participating Life Insurance Contracts with Jump Risk", with F. Quittard-Pinon, forthcoming in Geneva Risk and Insurance Review (previously known as the Geneva Papers on Risk and Insurance Theory)
"The Optimal Capital Structure of the Firm with Stable Lévy Assets Returns", with F. Quittard-Pinon, forthcoming in Decisions in Economics and Finance
"Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment", with C. Bernard et F. Quittard-Pinon, forthcoming in Journal of Economic Dynamics and Control
"Pricing Market-Makers Seats", with F. M. Paris, forthcoming in Frontiers in Finance and Economics
"Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model", with F. Quittard-Pinon, Asia-Pacific Financial Markets, Vol. 13, p. 11-39, 2006
"Development and Pricing of a New Participating Contract", with C. Bernard and F. Quittard-Pinon, North American Actuarial Journal, Vol 10, N°4 (10th Anniversary Issue), p. 179-195, 2006
"Le Point Sur… Les Options Parisiennes et leurs Applications ", with C. Bernard, Banque et Marchés, N°82, p.81-90, 2006
"A Study of Mutual Insurance for Bank Deposits", with C.Bernard and F. Quittard-Pinon, Geneva Risk and Insurance Review (previously known as the Geneva Papers on Risk and Insurance Theory), Vol 30, N°2, p.129-146, 2005
"A New Procedure for Pricing Parisian Options", with C. Bernard and F. Quittard-Pinon, Journal of Derivatives, Vol. 12, N°4, p.45-53, 2005
"Commentaire sur le Livre de Hubert de la Bruslerie : Trésorerie d’Entreprise", Revue Finance, Vol. 25, N°2, p.53-55, 2004
"Market Value of Life Insurance Contracts under Stochastic Interest Rates and Default Risk", with C. Bernard and F. Quittard-Pinon, Insurance: Mathematics and Economics, Vol. 36, N°3, p.499-516, 2005
"Evaluation en Fair Value de Contrats Participatifs", with C. Bernard et F. Quittard-Pinon, Revue Finance, Vol. 26, N°1, p.73-107, 2005
"Changes of Probability Measure in Finance and Insurance: a Synthesis", with F. Quittard-Pinon, Revue Finance, Vol. 25, N° Spécial, p.95-120, 2004
"Measure Changes in Finance", with F. Quittard-Pinon, Quarterly Journal of Finance India, Vol. 18, N° Spécial, p.611-624, 2004
"Evaluation Numérique des Options Parisiennes", with C. Bernard and F. Quittard-Pinon, Banque et Marchés, N° 69, p.30-37, 2004
"Modelling Stock Returns with Lévy Processes", Banque et Marchés, N° 66, p.36-46, 2003
Conferences
- Insurance: Mathematics and Economics, Dalian, July 2008
- Nippon Finance Association, Yokohama, July 2008
- Asia-Pacific Risk and Insurance Association, Sidney, July 2008
- Association Française de Finance, Lille, May 2008
- Eastern Finance Association, Florida, April 2008
- Euro Working Group in Financial Modelling, Lisboa, November 2007
- Insurance: Mathematics and Economics, Athens, July 2007
- European Financial Management Association, Vienna, June 2007
- Eastern Finance Association, New Orleans, April 2007
- WRIA Conference, San Diego, January 2007
- EGRIE Conference, Barcelona, September 2006
- Bachelier Finance Society, Tokyo, August 2006
- Association Française de Finance, Poitiers, June 2006
- Insurance: Mathematics and Economics, Québec, July 2005
- Association Française de Finance, Paris, June 2005
- Euro Working Group in Financial Modelling, Brescia, May 2005
- MEFF Risklab Institute, Madrid, April 2005
- Spanish-Italian Meeting on Financial Mathematics, Cuenca, July 2004
- Association Française de Finance, Paris, June 2004
- Insurance: Mathematics and Economics, Rome, June 2004
- Journées Internationales d'Economie Monétaire et Bancaire, Nice, June 2004
- Association Française de Finance, Paris, December 2003
- International Society for Intercommunication of New Ideas, Lille, August 2003
- Association Française de Finance, Lyon, June 2003
- Insurance: Mathematics and Economics, Lyon, June 2003
- International Meeting Tunisia, Hammamet, March 2003
- Association Française de Finance, Paris, December 2002
Research Interests
- Stock Price Modeling
- Derivatives Pricing
- Capital Structure of the Firm
- Risk Theory
- Fair Valuation of Life Insurance Contracts
- Bank Deposit Guarantees