Francois Quittard-Pinon

EMLYON Business School

23, Avenue Guy de Collongue

69134 , Ecully

France

SCHOLARLY PAPERS

21

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SSRN CITATIONS
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Top 18,991

in Total Papers Citations

14

CROSSREF CITATIONS

41

Scholarly Papers (21)

1.

Pricing Derivatives With Barriers in a Stochastic Interest Rate Environment

Journal of Economic Dynamics and Control, Vol. 32, No. 9, pp. 2903-2938, September 2008
Number of pages: 32 Posted: 26 Mar 2005 Last Revised: 14 Apr 2010
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 442 (79,834)

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Change of Numéraire, HJM model, Barrier Option, Markovian Approximation

2.

Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model

Asia Pacific Financial Markets, Vol. 13, p. 11-39, 2006
Number of pages: 31 Posted: 01 Mar 2006 Last Revised: 04 Jun 2014
Olivier Le Courtois and Francois Quittard-Pinon
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 376 (96,396)
Citation 1

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Cumulative Default Probability, Structural Model, Jump-Diffusion, Endogenous Capital Structure, Esscher Transform, Kou Processes

3.

Fair Valuation of Participating Life Insurance Contracts with Jump Risk

Geneva Risk and Insurance Review, Vol 33, No. 2, p.106-136, 2008
Number of pages: 23 Posted: 05 Apr 2007 Last Revised: 26 Dec 2010
Olivier Le Courtois and Francois Quittard-Pinon
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 334 (110,174)
Citation 1

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Participating Life Insurance Policies, Kou Processes, Jump-Diffusion, Early Default, Fair Value

4.

Term Structure of Interest Rates and the Pricing of Financial Contracts with Barriers

Number of pages: 39 Posted: 31 Mar 2001
Laurent Chrétien and Francois Quittard-Pinon
University of Claude Bernard Lyon 1 and EMLYON Business School
Downloads 289 (128,591)
Citation 1

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5.

A New Procedure for Pricing Parisian Options

Journal of Derivatives, Vol. 12, No. 4, 2005
Number of pages: 32 Posted: 13 Feb 2012 Last Revised: 12 Jan 2014
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 263 (141,737)
Citation 2

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6.

A General Approach to Compute Standard Risk Measures

International Conference of the French Finance Association (AFFI), May 2011
Number of pages: 20 Posted: 07 May 2011 Last Revised: 15 Nov 2012
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 260 (143,417)

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Risk measures, VaR, CVaR, Jump Diffusion

7.

The Optimal Capital Structure Under Stable Lévy Assets Returns

Decisions in Economics and Finance, Vol. 31, No. 1, p.51-72, 2008
Number of pages: 19 Posted: 01 Mar 2006 Last Revised: 26 Dec 2010
Olivier Le Courtois and Francois Quittard-Pinon
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 241 (154,503)

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Optimal Capital Structure, Default Risk, Stable Processes, Credit Spreads

8.

Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework

North American Actuarial Journal, Vol. 14, No. 1, pp. 131-149, 2010
Number of pages: 31 Posted: 17 Jan 2006 Last Revised: 15 Aug 2015
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 198 (186,157)

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Participating Contracts, Safety Loading, Default Risk, Interest Rate Risk, Market Value, Fair Value Principle, Premium Principle, Equity Default Swap

9.

Development and Pricing of a New Participating Contract

North American Actuarial Journal, Vol. 10, No. 4, pp. 179-195, 2006
Number of pages: 22 Posted: 30 Jan 2006 Last Revised: 01 Mar 2010
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 179 (203,565)

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Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Dubins-Schwarz theorem

Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective

in The Journal of Risk and Insurance, 2015
Number of pages: 30 Posted: 08 Mar 2014 Last Revised: 19 Jun 2015
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 176 (206,664)
Citation 3

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Variable Annuities, GMMB, GMDB, GMAB, Pricing, Hedging, Lévy processes

Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective

Journal of Risk and Insurance, Vol. 84, Issue 1, pp. 209-238, 2017
Number of pages: 30 Posted: 06 Feb 2017
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 2 (792,275)
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11.

How to Price Efficiently European Options in Some Geometric Lévy Processes Models?

Number of pages: 19 Posted: 06 Jul 2007
Francois Quittard-Pinon and Rivo A Randrianarivony
EMLYON Business School and University of Rennes 1
Downloads 176 (206,592)
Citation 3

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jump diffusion, option pricing, Fourier transform, Lévy models

12.

Pricing Equity Index Annuities with Surrender Options in Four Models

Asia-Pacific Journal of Risk and Insurance, Vol.7, No.2, 2013
Number of pages: 38 Posted: 30 Jan 2012 Last Revised: 21 Apr 2015
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 142 (247,158)

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EIA, Jump Diffusions, Regime switching models, Surrender Option, FFT

13.

Valuation of Equity-Linked Life Insurance Contracts with Flexible Guarantees in a Non Gaussian Economy

Paris December 2009 Finance International Meeting
Number of pages: 31 Posted: 26 Oct 2009
Francois Quittard-Pinon and Rivo A Randrianarivony
EMLYON Business School and University of Rennes 1
Downloads 116 (287,739)

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Life insurance contracts, Mortality models, Stochastic volatility, Jumps

14.

Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

The Geneva Risk and Insurance Review, Vol. 36, No. 1, 2010
Number of pages: 40 Posted: 14 Oct 2008 Last Revised: 13 Nov 2013
Francois Quittard-Pinon and Rivo A Randrianarivony
EMLYON Business School and University of Rennes 1
Downloads 87 (347,816)

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Life Insurance Contracts, Variable Annuities, Guaranteed Minimum Death Benefit, Stochastic Interest Rates, Jump Diffusion Models, Mortality Models

15.

Pricing Equity-Indexed Annuities with Surrender Options in a Stochastic Interest Rates Environment

Number of pages: 29 Posted: 14 May 2014
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 79 (368,485)

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equity indexed-annuities, variable annuities, surrender options, regime switching models, jump diffusion, stochastic interest-rate models, fast Fourier transform

16.

On the Hedging of Variable Annuities with Ratchet in Jump Models

Number of pages: 28 Posted: 22 Apr 2014 Last Revised: 30 Oct 2014
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 79 (368,485)
Citation 1

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Variable Annuities, GMAB, Pricing, Hedging, Lévy processes

17.

Pricing, Hedging and Assessing Risk in a General Lévy Context

Bankers, Markets & Investors, No. 131, July-August, 2014: 30-42
Number of pages: 23 Posted: 28 Sep 2013 Last Revised: 09 Jul 2014
Abdou Kélani and Francois Quittard-Pinon
CEFRA, EMLYON Business School and EMLYON Business School
Downloads 76 (376,702)

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Hedging strategy, Pricing embedded option, Lévy processes, FFT

18.

Market Value of Life Insurance Contracts Under Stochastic Interest Rates and Default Risk

Insurance: Mathematics and Economics, Vol. 36, No. 3, 2005
Number of pages: 23 Posted: 08 Feb 2017
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 38 (516,061)
Citation 3

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Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Fortet’s Equation

19.

Pricing and Hedging Defaultable Participating Contracts with Regime Switching and Jump Risk

Decisions in Economics and Finance Vol. 43, N°1, p. 303–339, 2020
Number of pages: 35 Posted: 16 Dec 2019 Last Revised: 02 Dec 2020
Olivier Le Courtois, Francois Quittard-Pinon and Xiaoshan Su
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control, EMLYON Business School and Beihang University (BUAA)
Downloads 34 (536,046)
Citation 1

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Participating life insurance, Credit risk, Regime switching, Jump-diffusion, Matrix Wiener-Hopf factorization

20.

A Study of Mutual Insurance for Bank Deposits

Geneva Risk and Insurance Review, Vol. 30, No. 2, 2005
Number of pages: 20 Posted: 08 Feb 2017
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 10 (693,983)

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21.

The Valuation of Interest Rate Digital Options and Range Notes Revisited

Posted: 21 Oct 1998
Patrick Navatte and Francois Quittard-Pinon
Université de Rennes I and EMLYON Business School

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