Pascal François                                              

Professor of Finance at HEC Montréal

Director, IFSID (Montreal Institute of Structured Finance and Derivatives)

Research Fellow at CIRPEE

Co-editor of Finance

Email: pascal.francois[at]hec.ca
Tel: +1 514 340-7743
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Refereed publications

Optimal Hedging When the Underlying Asset Follows a Regime-Switching Markov Process

European Journal of Operational Research (forthcoming) with Geneviève Gauthier and Frédéric Godin.

 

Detecting Regime Shifts in Credit Spreads
Journal of Financial and Quantitative Analysis (forthcoming) with Olfa Maalaoui Chun and Georges Dionne.

 

Convertible Debt and Shareholder Incentives

Journal of Corporate Finance (2014) with Christian Dorion, Gunnar Grass and Alexandre Jeanneret.

 

Currency Total Return Swaps: Valuation and Risk Factor Analysis

Quantitative Finance (2013) with Romain Cuchet and Georges Hübner.

 

Resolution of Financial Distress under Chapter 11

Journal of Economic Dynamics & Control (2012) with Amira Annabi and Michèle Breton.

 

Game Theoretic Analysis of Negotiations under Bankruptcy

European Journal of Operational Research (2012) with Amira Annabi and Michèle Breton.

 

A Structural Balance Sheet Model of Sovereign Credit Risk

Finance (2011) with Georges Hübner and Jean-Roch Sibille.

 

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.

 

Tax Loss Carry-Forwards and Optimal Leverage

Applied Financial Economics (2006).

 

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

Heterogeneous Beliefs and the Choice between Private Restructuring and Formal Bankruptcy, with Alon Raviv.

The Immunization Performance of Traditional and Stochastic Durations: A Mean-Variance Analysis, with Franck Moraux.

Credit Spread Changes within Switching Regimes, with Olfa Maalaoui Chun and Georges Dionne.

A Portfolio Approach to Venture Capital Financing, with Georges Hübner.