Pascal François
|
Associate Professor of
Finance at HEC Montréal Director, IFSID
(Montreal Institute of Structured Products and Derivatives) Research Fellow at CIRPEE Co-editor of Finance Email: pascal.francois [at] hec.ca |
Selected publications
Strategic Analysis of
Risk-shifting Incentives with Convertible Debt
Quarterly
Journal of Finance (2011) with Georges Hübner and Nicolas Papageorgiou.
Closed-Form Solutions to
Stochastic Process Switching Problems
Journal
of Mathematical Economics (2008) with Erwan Morellec.
The Agency Structure of
Loan Syndicates
The
Financial Review (2007) with Franck Missonier-Piera.
A Dynamic Programming
Approach to Price Installment Options
European
Journal of Operational Research (2006) with
Hatem Ben Ameur and Michèle Breton.
Capital Structure and
Asset Prices: Some Effects of Bankruptcy Procedures
Journal
of Business (2004) with Erwan Morellec.
Credit Derivatives with
Multiple Debt Issues
Journal
of Banking and Finance (2004) with
Georges Hübner.
Downloadable papers at SSRN
The Immunization Performance of Traditional and
Stochastic Durations: A Mean-Variance Analysis, with Franck Moraux.
Credit Spread Changes within Switching Regimes, with
Georges Dionne and Olfa Maalaoui.
Detecting Regime Shifts in Corporate Credit Spreads,
with Georges Dionne and Olfa Maalaoui.
Resolution of Financial Distress
under Chapter 11, with Amira Annabi
and Michèle Breton.
Game Theoretic Analysis of Negotiations under
Bankruptcy, with Amira Annabi
and Michèle Breton.
A Portfolio Approach to Venture
Capital Financing, with Georges Hübner.
Currency Total Return Swaps: Valuation and Risk Factor
Analysis, with Romain Cuchet
and Georges Hübner.