Julien Hugonnier

Professor of Finance
Swiss Finance Institute Professor
CEPR Research fellow

Swiss Finance Institute

Ecole Polytechnique Fédérale de Lausanne
Quartier UNIL Chamberonne
Extranef 212
CH–1015 Lausanne

[email protected]



Optimal fund menus

with Jaksa Cvitanic. February 2019.


Heterogeneity in decentralized asset markets

with Benjamin Lester and Pierre-Olivier Weill, Revised: August 2019.


Asset pricing with source dependent risk-aversion

In preparation.


Frictional intermediation in over-the-counter markets (Online appendix)

with Benjamin Lester and Pierre-Oliver Weill, Forthcoming: Review of Economic Studies, June 2019.


Bank capital,liquid reserves, and insolvency risk (Online appendix)

with Erwan Morellec, Journal of Financial Economics 125(2):266–285, 2017.


Capital supply uncertainty, cash holdings and investment (Online appendix)

with Semyon Malamud and Erwan Morellec, Review of Financial Studies 28(2):391–445, 2015.


Credit market frictions and capital structure dynamics (Online appendix)

with Semyon Malamud and Erwan Morellec, Journal of Economic Theory 157:1130–1158, 2015.


Asset pricing with arbitrage activity

with Rodolfo Prieto, Journal of Financial Economics 115(2):411–428, 2015.


Event risk, contingent claims, and the temporal resolution of uncertainty

with Pierre Collin Dufresne, Mathematics and Financial Economics 8(1):29–69, 2014.


Health and (other) asset holdings

with Florian Pelgrin and Pascal Saint Amour. Review of Economic Studies 80(2):663–710, 2013.


Incomplete information, idiosyncratic volatility and stock returns

with Tony Berrada. Journal of Banking and Finance 37(2):448–462, 2012.


Rational asset pricing bubbles and portfolio constraints (Slides)

Journal of Economic Theory 147(6):2260–2302, 2012.


Endogenous completeness of diffusion driven equilibrium markets (Technical appendix)

with Semyon Malamud and Eugene Trubowitz, Econometrica 80(3):1249–1270, 2012.


Mutual fund competition in the presence of dynamic flows

with Michèle Breton and Tarek Masmoudi, Automatica 46:1176–1185, 2010.


Mutual fund portfolio choice in the presence of dynamic flows

with Ron Kaniel, Mathematical Finance 20(2):187–227, 2010.


Pricing and hedging in the presence of extraneous risk

with Pierre Collin-Dufresne, Stochastic Processes and Applications 117(6):742–765, 2007.


Corporate control and real investment in incomplete markets

with Erwan Morellec, Journal of Economic Dynamics and Control 31(5):1781–1800, 2007.


Heterogenous preferences and equilibrium trading volume

with Tony Berrada and Marcel Rindisbacher, Journal of Financial Economics 83:719–750, 2007.


On the utility-based pricing of contingent claims in incomplete markets

with Dmitry Kramkov and Walter Schachermayer, Mathematical Finance 15(2):203–212, 2005.


A general formula for valuing defaultable securities

with Pierre Collin-Dufresne and Robert Goldstein, Econometrica 72(5):1377–1409, 2004.


Optimal investment with random endowments in incomplete markets

with Dmitry Kramkov, Annals of Applied Probability 14(2):845–864, 2004.


The Feynman-Kac formula and pricing occupation time derivatives

International Journal of Theoretical and Applied Finance 2(2):153–178, 1999.

Foundations in Financial Economics
(Ba5, Fall)
. with Professors Collin Dufresne and Fahlenbrach The aim of this course is to expose bachelor students to some of the main areas in financial economics. Students will obtain both practical insights through real-world examples and understand how one can model the main economic trade-offs. The course will be organized around six themes: The time value of money and capital budgeting, the risk/return tradeoff and portfolio choice, Derivatives pricing, Capital structure, Agency relations, and Trading by insiders.

Derivatives (Master in Financial Engineering, Spring). This course provides a detailed treatment of standard models for the valuation and hedging of derivatives products such as European options, American options, forward and futures contracts, and exotics. The course will be divided into two parts with the first part covering discrete time models and the second covering continuous time models.

Dynamic Asset Pricing (EDFI, Spring). This course provides an advanced introduction to the methods and results of dynamic asset pricing in continuous time. Topics include no-arbitrage restrictions on assets prices, portfolio and consumption choice problems, complete and incomplete markets equilibrium models with heterogenous agents, dynamic learning, portfolio optimization under constraints, and non time additive preferences.