Publications
"On Surrender and Default Risks", with H. Nakagawa, forthcoming in Mathematical Finance
"Performance Regularity: A New Class of Executive Compensation Packages", with C. Bernard, forthcoming in Asia-Pacific Financial Markets
"Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework", with C. Bernard and F. Quittard-Pinon, North American Actuarial Journal, Vol. 14, N°1, p. 131-149, 2010
"Fair Valuation of Participating Life Insurance Contracts with Jump Risk", with F. Quittard-Pinon, Geneva Risk and Insurance Review (previously known as the Geneva Papers on Risk and Insurance Theory), Vol 33, N°2, p.106-136, 2008
"The Optimal Capital Structure of the Firm with Stable Lévy Assets Returns", with F. Quittard-Pinon, Decisions in Economics and Finance, Vol 31, N°1, p.51-72, 2008
"Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment", with C. Bernard et F. Quittard-Pinon, Journal of Economic Dynamics and Control, Vol 32, N°9, p.2903-2938, 2008
"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
"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
Book
Risques financiers extrêmes et allocation d'actifs, with C. Walter, Economica, 2012
Book Chapter
- in "Nouvelles normes financières", Springer, 2010, Edited by C. Walter
Book Translation
- of "Assurance-vie: évaluer les contrats et les portefeuilles" (Italian to French), Annamaria Olivieri and Ermanno Pitacco. Pearson.
Comments on books
- on "Mathematical Methods for Financial Markets" by Monique Jeanblanc, Marc Yor and Marc Chesney, Revue Finance, Vol. 31, N°1, p.81-95, 2010
- on "Trésorerie d’Entreprise" by Hubert de la Bruslerie, Revue Finance, Vol. 25, N°2, p.53-55, 2004
Conferences
- Asia-Pacific Risk and Insurance Association, Tokyo, August 2011
- Asian Finance Association, Macau, July 2011
- Journées Internationales du Risque, Niort, 2011
- World Risk and Insurance Economics Congress, Singapore, July 2010
- Association Française de Finance, Saint-Malo, May 2010
- International Congress of Actuaries, Cape Town, March 2010
- BBVA-Risklab Workshop, Madrid, September 2009
- Asia-Pacific Risk and Insurance Association, Beijing, July 2009
- Insurance: Mathematics and Economics, Istanbul, May 2009
- Association Française de Finance, Paris, December 2008
- 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