IDEI Researcher
Member of the Toulouse School of Economics (TSE)
Professor in Mathematics, University Toulouse I

Contacts

Secretary

Research Interests

Mathematical Finance
Corporate Finance
Learning

Professional experiences

Current position

Education

Grants and awards

Work in progress

Articles in working paper series

• "Risk Attitude, Beliefs Updating and the Information Content of Trades: An Experiment", IDEI Working Paper, n. 552, May 2009, revised May 2012.

  (with Christophe Bisière and Stefano Lovo)

  [ Under revision Management Science (PDF file) ]

Mimeos

• Multiple Lenders, Strategic Default and the Role of Debt Covenants, October 2010.

  (with Andrea Attar, Catherine Casamatta and Arnold Chassagnon)

  [ Full text (PDF file, 344 Kb) ]

• A Structural Econometric Investigation of the Agency Theory of Financial Structure, 1999.

  (with Bruno Biais and Christophe Bisière)

  [ Full text (PDF file, 155 Kb) ]

Forthcoming

Articles in refereed journals

• "Rethinking Dynamic Capital Structure Models with Roll-Over Debt", Mathematical Finance, online first june 2012. doi:10.1111/j.1467-9965.2012.00532.x.

  (with Stéphane Villeneuve)

  [Forthcoming]

  [ Full text (PDF file, 389 Kb) ]

Publications

Articles in refereed journals

• "Free Cash Flow, Issuance Costs, and Stock Prices", The Journal of Finance, vol. 66, n. 5, October 2011, p. 1501-1544. doi:10.1111/j.1540-6261.2011.01680.x.

  (with Thomas Mariotti, Jean-Charles Rochet and Stéphane Villeneuve)

• "Investment Timing Under Incomplete Information: Erratum", Mathematics of Operations Research, vol. 34, n. 1, February 2009, p. 255-256.

  (with Thomas Mariotti and Stéphane Villeneuve)

• "Switching to a Poor Business Activity: Optimal Capital Structure, Agency Costs and Convenant Rules", Annals of Finance, vol. 3, n. 3, 2007, p. 389-409.

  (with Bertrand Djembissi)
• "Optimal Dividend Policy and Growth Option", Finance and Stochastics, vol. 11, 2007, p. 3-27.

  (with Stéphane Villeneuve)

  [ Full text (PDF file) ]

• "A Note on Risk Aversion and Herd Behavior in Financial Markets", The Geneva Risk and Insurance Review, vol. 31, n. 1, July 2006, p. 35-42.

  (with Stefano Lovo)

• "Irreversible Investment in Alternative Projects", Economic Theory, vol. 28, n. 2, Springer Berlin / Heidelberg, June 2006, p. 425-448. doi:10.1007/s00199-005-0629-2.

  (with Thomas Mariotti and Stéphane Villeneuve)

  [ Final Version_Working Paper (PDF file, 273 Kb) ]

• "Informational Cascades with Endogenous Prices - The Role of Risk Aversion", Journal of Mathematical Economics, vol. 42, n. 1, 2006, p. 109-120.

  (with Stefano Lovo)

  [ Full text (PDF file) ]

• "Investment Timing under Incomplete Information", Mathematics of Operations Research, vol. 30, n. 2, May 2005, p. 472-500. doi:10.1287/moor.1040.0132.

  (with Thomas Mariotti and Stéphane Villeneuve)

• "Investment Timing and Learning Externalities", Journal of Economic Theory, vol. 118, n. 1, September 2004, p. 80-102.

  (with Thomas Mariotti)

  [ Final Version_Working Paper (PDF file, 275 Kb) ]

• "The Three Pillars of Basel II: Optimizing the Mix", Journal of Financial Intermediation, vol. 13, n. 2, April 2004, p. 132-155.

  (with Jean-Charles Rochet and Benoît Roger)

• "Excessive Continuation and Dynamic Agency Costs of Debt", European Economic Review, vol. 46, Elsevier, 2002, p. 1623-1644.

  (with Antoine Faure-Grimaud)

• "Bankruptcy Costs, Ex Post Renegotiation and Gambling for Resurrection", Finance, December 2000.

  (with Antoine Faure-Grimaud)

• "A Martingale Characterization of Equilibrium Asset Price Processes", Economic Theory, vol. 15, n. 1, Springer Berlin / Heidelberg, 2000, p. 207-213. doi:10.1007/s001990050007.

  (with Ali Lazrak)

• "Short Sales Constraints, Liquidity and Price Discovery: an Empirical Analysis on the Paris Bourse", European Financial Management, vol. 5, n. 3, November 1999, p. 395-409. doi:10.1111/1468-036X.00101.

  (with Bruno Biais and Christophe Bisière)

• "A variational approach for pricing options and corporate bonds", Economic Theory, vol. 9, n. 3, Springer Berlin / Heidelberg, October 1997, p. 557-569. doi:10.1007/BF01213856.

  (with Jean-Charles Rochet)

• "A P.D.E. approach to Asian options: analytical and numerical evidence", Journal of Banking and Finance, vol. 21, n. 5, May 1997, p. 613-640. doi:10.1016/S0378-4266(96)00057-X.

  (with Bénédicte Alziary Chassat and Pierre-François Koehl)

• "Integrating the risk and term structures of interest rates", The European Journal of Finance, vol. 2, n. 3, 1996, p. 219-238. doi:10.1080/13518479600000006.

• "Valorisation de Produits Obligataires dans un Modèle d'Equilibre Général en Temps Discret", Annales d'Économie et de Statistique, n. 31, Institut national de la statistique et des études économiques, Paris, July-September 1993, p. 73-101.

  [ Article ©Journal (PDF file) ]

• "Une formule variationnelle pour les obligations du secteur privé", Finance, vol. 14, n. 2, 1993, p. 61-77.