Franck MORAUX

Full Professor

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Franck Moraux
Director, CREM 6 UMR 6211

My research concerns first of all financial securities, their markets and their use and second the firms’ decision-making (in financing, investment, financial risk management, etc.). My favorite set of financial assets are bonds and derivatives (such as options, futures and CDS). Derivatives are very useful tools to model and understand the decisions made by corporations. Real options allow one to assess investment opportunities and price intangible flexibilities. Investigating in–depth practical aspects, hedging strategies, valuation models and empirical stylized facts help to answer some open questions and solve challenging real-life problems.

Finance,

Financial Risk Management,

Quantitative Finance,

Options and Derivatives,

Asset Pricing,

Corporate Finance

 

Keywords: Quantitative Finance, quantitative methods and models for Finance

Teaching

  • Options and Derivatives
  • Credit Risk Management
  • Quantitative Finance

Florina Silaghi, Franck Moraux. Trade credit contracts: Design and regulation. European Journal of Operational Research, Elsevier, 2022, 296 (3), pp.980-992.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, D.A. Phan, Thi Le Hoa Vo. Financing and Cost Sharing for a Supply Chain Under CSR – Sensitive Demand. IFIP WG 5.7 International Conference on Advances in Production Management Systems, APMS 2021, Sep 2021, Nantes, France. pp.139-148,
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Finance, Logistics / Production Management
Olesya Grishchenko, Franck Moraux, Olga Pakulyak. Fuel up with OATmeals! The case of the French nominal yield curve. The Journal of Finance and Data Science, KeAi Publishing, 2020, 6, pp.49-85.
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Author(s) : Franck MORAUX
Finance
Jerôme Detemple, Souleymane Laminou Abdou, Franck Moraux. American Step Options. European Journal of Operational Research, Elsevier, 2020, 282 (1), pp.363-385.
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Author(s) : Franck MORAUX
Finance
D.A. Phan, Franck Moraux, Thi Le Hoa Vo, Anh Ngoc Lai. Impact of retail-platform loan programs on the SC performance under CSR dependent stochastic demand. 8th International Conference on Information Systems, Logistics and Supply Chain Interconnected Supply Chains in an Era of Innovation, ILS 2020, Apr 2020, Austin, United States. pp.9-18.
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Finance, Logistics / Production Management
Franck Moraux. Valuing corporate liabilities when the default threshold is not an absorbing barrier. Dan Galai ,Zvi Wiener ,Michel Crouhy. World Scientific Reference on Contingent Claims Analysis in Corporate Finance, World Scientific Publishing Co Pte Ltd, pp.331-353, 2019, 978-9814730723.
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Author(s) : Franck MORAUX
Finance
Donatien Hainaut, Franck Moraux. A switching self-exciting jump diffusion process for stock prices. Annals of Finance, Springer Verlag, 2019, 15 (2), pp.267-306.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. On Bankruptcy Procedures and the Valuation of Corporate Securities. Finance, Presses universitaires de Grenoble, 2019, 40 (3), pp.141-191.
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Author(s) : Franck MORAUX
Finance
Donatien Hainaut, Franck Moraux. Hedging of options in the presence of jump clustering. The Journal of Computational Finance, Incisive Media, 2018, 22 (3), pp.1-35.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. René M. Stulz: latitude managériale et politique financière. Albouy Michel, Charreaux Gérard. Les grands auteurs en finance, EMS, pp.430-481, 2018, 978-2-37687-045-6.
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Author(s) : Franck MORAUX
Finance
Grégoire Leblon, Franck Moraux. Analytical Pricing of European Bond Options within One-Factor Quadratic Term Structure Models. Journal of Derivatives, Institutional Investor Inc., 2017, 24 (3), pp.29 – 41.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Vincent Hovelaque. De l’absence au dilemme de la diversification des fournisseurs dans la gestion du risque de rupture d’approvisionnement des supply chains. Presses Universitaires de Rennes. Collaborations et réseaux : approches transversales en management, pp.271-300, 2016, Le management des réseaux, 978-2-7535-4984-5.
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Finance, Logistics / Production Management
Souleymane Laminou Abdou, Franck Moraux. Pricing and hedging American and hybrid strangles with finite maturity. Journal of Banking and Finance, Elsevier, 2016, 62, pp.112-125.
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Author(s) : Franck MORAUX
Finance
Jessica Fouilloux, Franck Moraux, Jean-Laurent Viviani. Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty. Energy Policy, Elsevier, 2015, 82, pp.310-320.
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Finance
Carole Bernard, Franck Moraux, Ludger Rüschendorf, Steven Vanduffel. Optimal payoffs under state-dependent preferences. Quantitative Finance, Taylor
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. How do reservation prices impact distressed debt rescheduling?. Economic Modelling, Elsevier, 2015, 46, pp.269-282.
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Author(s) : Franck MORAUX
Finance
Maxime Debon, Franck Moraux, Patrick Navatte. Le coût du financement par obligations rachetables : une étude empirique. Finance Contrôle Stratégie, Association FCS, 2015, 18 (2), pp.17-35.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Arnaud Richard. What Moves Euro-Bund Futures Contracts on Eurex? Surprises!. Market Microstructure and Nonlinear Dynamics. Keeping Financial Crisis in Context, Springer International Publishing, pp.129-153, 2014, 978-3-319-05211-3.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Florina Silaghi. Inside debt renegotiation: Optimal debt reduction, timing, and the number of rounds. Journal of Corporate Finance, Elsevier, 2014, 2014 (27), pp.269-295.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Strategic management of private benefits in a contingent claim framework. Bankers Markets
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Rivo Randrianarivony. La finance serait-elle devenue anormale au XXIe siècle ?. Recherches et innovations en sciences de gestion, Presses universitaires de Rennes, pp.75-98, 2013.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Laurent Bironneau. Recherches et innovations en sciences de gestion. France. PUR, 282 p., 2013.
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Finance, Logistics / Production Management
Laminou Abdou Souleymane, Franck Moraux. Pricing and hedging american strangles with finite maturity. 30th International French Finance Association conference (AFFI), May 2013, Lyon, France.
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Author(s) : Franck MORAUX
Finance
Ghassen Nouajaa, Jean-Laurent Viviani, Franck Moraux. Foreign exchange risk management : evidence from French non-financial firms. 30th International French Finance Association conference (AFFI), May 2013, Lyon, France.
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Finance
Franck Moraux, Carole Bernard, Ludger Rüschendorf, Steven Vanduffel. Optimal payoffs under state-dependent constraints. 30th International French Finance Association conference (AFFI), May 2013, Lyon, France.
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Author(s) : Franck MORAUX
Finance
Grégoire Leblon, Franck Moraux. Analytical pricing of european bond options within one-factor quadratic term structure models. 30th International French Finance Association conference (AFFI), May 2013, Lyon, France.
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Author(s) : Franck MORAUX
Finance
Florina Silaghi, Franck Moraux. Debt renegotiation. 2013 Finance Management Association european conference (FMA), Jun 2013, Luxembourg, Luxembourg.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Florina Silaghi. Debt renegotiation. 29th spring International conference of French Finance Association, May 2012, Strasbourg, France.
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Author(s) : Franck MORAUX
Finance
Grégoire Leblon, Franck Moraux. Bond portfolio management with affine and quadratic term structure models : selection, risk management and performance. Nineteenth international conference forecasting financial markets : advances for exchange rates, May 2012, Marseille, France.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Private Benefits in a contingent claim framework: Valuation effects and other implications. 2011 International AFFI Conference, 2011, Montpellier, France. 28 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. How valuable is your VaR? Large sample confidence intervals for normal VaR. Journal of risk management in financial institutions, 2011, 4 (2), pp.189-200.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Private Benefits in a contingent claim framework: Valuation effects and other implications. Northeast Decision Sciences Institute 2011 Annual Conference, Apr 2011, Montréal, Canada. 28 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. Sensitivity Analysis of Credit Risk Measures in the Beta Binomial Framework. Journal of fixed income, Institutional Investor Inc, 2010, 19 (3), pp.66-76.
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Author(s) : Franck MORAUX
Finance
Grégoire Leblon, Franck Moraux. Quadratic Approaches for Modeling Term Structures of Interest Rates in Discrete Time. Euro Working Group on Financial Modeling (46th EWGFM), May 2010, Istanbul, Turkey. 42 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Arnaud Richard. How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation. Seventeenth International Conference ‘Forecasting Financial Markets’, May 2010, Hannover, Germany. 28 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. Continuous barrier range options. Journal of derivatives
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. On the Pricing and Design of Debt-Equity Swaps for Firms in Default. Bankers Markets
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Author(s) : Franck MORAUX
Finance
Anthony Miloudi, Franck Moraux. Relations between Corporate Credit Spreads,Treasury Yields and the Equity Market. International Journal of Business, 2009, 14 (2), pp.105-122.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. On perpetual American strangles. The Journal of Derivatives, 2009, pp.82-97.
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Author(s) : Franck MORAUX
Finance
Maxime Debon, Franck Moraux, Patrick Navatte. Make-whole callable bonds :Covenant yield premium insights. Congrès AFFI 2009, May 2009, Brest, France. 13 p.
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Author(s) : Franck MORAUX
Finance
Grégoire Leblon, Franck Moraux. Examining Performance of Quadratic Models of TermStructure of Interest Rates. Congrès AFFI 2009, May 2009, Brest, France. 37 p.
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Author(s) : Franck MORAUX
Finance
Cédric Lesage, Franck Moraux. Should executive compensation rules govern Audit fees ? An anlysis of executive compensation driven frauds.. 2009 International Decision Sciences Institute Conference, Jun 2009, Nancy, France. 22 p.
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Author(s) : Franck MORAUX
Finance
Pascal François, Franck Moraux. The immunization performance of traditional and stochastic durations: a mean-variance analysis. EFMA 2008 CONGRESS, Jun 2008, Athènes, Greece. 33 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Business risk targeting and rescheduling of distressed debt.. Finance, Presses universitaires de Grenoble, 2007, 28 (2), pp.43-78.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Business Risk Targeting AndRescheduling of Distressed Debt. congrès international de l’AFFI 2007 “Ethique et Gouvernance”, Jun 2007, Bordeaux, France. 33 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Rescheduling of distressed debt and business risk targeting ex ante the reorganization. European Financial Management Association 2007 Annual Conference, Jun 2007, Vienne, Austria. pp.30.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Admissible Designs of Debt-Equity Swaps for Distressed Firms: Analysis, Limits and Applications. Congrès International de Finance, Dec 2007, France. 23 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Rescheduling debt in default : the Longstaff’s proposition revisited.. Banque
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. The active management of distressed debt. European Financial Management Association 2006 Annual Meeting, Jun 2006, 29 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. Modeling the business risk of financially weakened firms: A new approach for corporate bond pricing. International Review of Financial Analysis, Elsevier, 2004, 13 (1), pp.47-61.
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Author(s) : Franck MORAUX
Finance
Florence André-Le Pogamp, Franck Moraux. Valuing Callable Convertible Bonds : a reduced approach. Applied Financial Economics, Taylor
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Finance
Franck Moraux, Patrick Navatte. Extending the Maturity of a defaulting debt : when it is worthwhile !. 21e Conférence internationale de l’AFFI, Cergy-Pontoise,, Jun 2004.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Anthony Miloudi. The relation between corporate credit spreads, treasury yields and the equity markets : new evidences from daily options-ajusted spreads indices. European Investiment Review Annual conference, E.I.R., London,, Sep 2004.
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Author(s) : Franck MORAUX
Finance
Florence André-Le Pogamp, Franck Moraux. Sur les obligations convertibles à clause de remboursement anticipé au gré de l’émetteur. Finance, Presses universitaires de Grenoble, 2003, 24 (1), pp.7-28.
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Finance
Franck Moraux, Christophe Villa. The dynamics of the term structure of interest rates : an independent component analysis. C. LESAGE M. COTTRELL. Connectionist Approaches in Economics and Management Sciences, Kluwer, 2003.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. Managing corporate liabilities of financially weakened firms. 32nd Meeting of the EURO working group in financial modelling, Londres, Apr 2003, 29 p.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. A closed form solution for pricing defaultable bonds. Finance Research Letters, Elsevier, 2003, 1 (2), pp.135-142.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. Empirical analysis of term structures of credit spreads indices : a Kalman filtering approach. 10e Rencontres Internationales de l’ACSEG, Nantes, Nov 2003, Nantes, France.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, Patrick Navatte. Pricing credit derivatives in credit classes frameworks. Geman H., Madam D., Pliska S.R., Vorst T. Mathematical Finance. Bachelier Congress 2001, Springer, pp.339-352, 2002, Finance.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. On cumulative parisian options. Finance, Presses universitaires de Grenoble, 2002, hors-série Mathématiques financières (23), pp.127-132.
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Author(s) : Franck MORAUX
Finance
Franck Moraux, O. Renault. 30 ans de modèles structurels de risque de défaut. M. BELLALAH. Finance contemporaine. Analyse, évaluation et applications, Economica, pp.69-84, 2002.
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Author(s) : Franck MORAUX
Finance
Franck Moraux. Valuing corporate liabilities when the default threshold is not an absorbing barrier. Actes «CREDIT 2002 – Assessing the Risk of Corporate Default», Sep 2002, Venise, 30 p.
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Author(s) : Franck MORAUX
Finance

Scientific outreach

Director of the SHOS doctoral school (2014-2016)
Co-Editor-in-Chief of Finance (ranked journal FNEGE A, CNRS cat. 2)
Member of the Board of Directors and Executive Committee of the French Finance Association
Member of the Editorial Board of The Accounting, Finance and Governance Review (Ireland), Review of Finance and Banking (Romania), Lahore Journal of Business (Pakistan, for finance)
Member of the scientific committee of the AFFI conferences, of the Forecasting Financial Markets conference (since Rennes, 2015) and more occasionally of the Financial Management Association Annual Meeting

Article reviews

Review of Finance, Journal of Banking and Finance, Finance, Applied Mathematical Finance, Applied Financial Economics, European Journal of Finance, Journal of Derivatives, Journal of Risk, Theory and Decision, Annales d’Economie et de Statistique
2nd vice-president of the Doctoral School Directors’ Conference in Economics and Management Sciences

Interactions with the social, economic and cultural environment

HCERES Agency: Participation in visiting committees for the evaluation of university structures: EM Lyon-Recherche (2015, member), ED 486 SEG University of Lyon (2015, President)
Brittany Region: Participation in the “Social and Citizen Innovations” group evaluating the so-called SHS doctoral projects submitted to the Brittany Region in 2015, 2016 in order to apply for funding.
Various universities: Participation in selection committees for the recruitment of lecturers or Professors: 2 to 3 committees per year

Term structure of interest rates models, nominal government debt and inflation-protected securities
PhD student : PAKULYAK Olga
Date : 04/12/2019
PhD supervisor : Franck MORAUX
Finance
Optimalité de la décision financière et la théorie des options américaines et exotiques
PhD student : LAMINOU ABDOU Souleymane
Date : 02/11/2016
PhD supervisor : Franck MORAUX
Finance
Exposition au risque de change, politique de couverture et conflits d’agence
PhD student : NOUAJAA Ghassen
Date : 19/12/2014
Finance
Credit Risk Analysis under Normal and Extreme Conditions : Empirical Investigations on the European CDS Market
PhD student : QI Ziqiong
Date : 17/11/2014
PhD supervisor : Franck MORAUX
Finance
Insights on debt renegotiation : Implications for the corporate and residential housing market
PhD student : SILAGHI Florina
Date : 27/10/2014
PhD supervisor : Franck MORAUX
Finance
Modélisation et gestion sur les marchés obligataires souverains
PhD student : MOUNGALA Wilfried Paterne
Date : 29/04/2013
PhD supervisor : Franck MORAUX
Finance
Quadratic term structure models of interest rates : theory, implementation and applications
PhD student : LEBLON Grégoire
Date : 26/11/2012
PhD supervisor : Franck MORAUX
Finance
De l’usage d’une clause de rachat au gré de l’émetteur dans le contrat obligataire : déterminants et valorisation
PhD student : DEBON Maxime
Date : 26/11/2010
PhD supervisor : Franck MORAUX, Patrick NAVATTE
Finance

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