Prigent Jean-Luc

Professeur UCP
Membre permanent

Contact

Bureau: A105
Mail: Jean-Luc.Prigent@u-cergy.fr
Tel: +33 1 34 25 61 72

Adresse:
Université de Cergy-Pontoise - THEMA - 33, boulevard du Port
Cergy Pontoise Cedex
France

Specialité

Gestion de portefeuille, évaluation des actifs financiers, gestion des risques.

Articles

  • On the optimality of funding and hiring/firing according to stochastic demand : the role of growth and shutdown options Prigent Jean-Luc, N. Letifi , Economic modelling, p.410-422, 2014
  • Portfolio insurance : Gap risk under conditional multiples Prigent Jean-Luc, H. Ben Ameur , European journal of operational research, p.238-253, 2014
  • A dynamic autoregressive expectile for time-invariant portfolio protection strategies Prigent Jean-Luc, B. Maillet et B. Hamidi , Journal of economic dynamics and control, p.1-29, 2014
  • Analysis and comparison of leveraged ETFs and CPPI-type leveraged strategies Prigent Jean-Luc, Philippe Bertrand , Finance, 34 , p.73-116, 2013
  • Optimal portfolio positioning under ambiguity Prigent Jean-Luc, Hachmi Ben Ameur , Economic modelling, 34 , p.89-97, 2013
  • Maximization of performance measures for mixture models Prigent Jean-Luc, R. Hentati , Statistics and Decisions, 28 , p.63-80, 2011
  • Omega performance measure and portfolio insurance Prigent Jean-Luc, P. Bertrand , Journal of banking and finance, 35 , p.1811-1823, 2011
  • Kappa performance measures with Johnson distributions Prigent Jean-Luc, N. Naguez , International journal of business, 2011
  • Ownership structure and stock market liquidity : evidence from Tunisia Prigent Jean-Luc, Boujelbene N., Bouri A. , International Journal of Managerial and Financial Accounting, 3(1) , p.91-109, 2011
  • CPPI method with a conditional floor Prigent Jean-Luc, H. Ben Ameur , International journal of business, 2011
  • VaR and Omega measures for hedge funds portfolios Prigent Jean-Luc, R. Hentati , Bankers, Markets and Investors, 110 , p.51-63, 2011
  • Dynamic versus static optimization of hedge fund portfolios : the relevance of performance measures Prigent Jean-Luc, R. Hentati, A. Kaffel , International journal of business, 15(1) , p.1-17, 2010
  • CPPI effectiveness under transaction costs Prigent Jean-Luc, F. Mkaouar , International journal of business, 15(3) , p.243-253, 2010
  • Behaviour towards risk in structured portfolio management Prigent Jean-Luc, H. Ben Ameur , International Journal of Economics and Finance, 2(5) , p.91-102, 2010
  • La directive MiFID et le positionnement optimal des OPCVM Prigent Jean-Luc, A. de Palma , Revue du Financier, 178 , p.57-67, 2010
  • International portfolio optimization with higher moments Prigent Jean-Luc, M. Mhiri , International Journal of Economics and Finance, 2(5) , p.157-169, 2010
  • A note on risk aversion, prudence and portfolio insurance Prigent Jean-Luc, P. Bertrand , Geneva risk and insurance review, 35 , p.81-92, 2010
  • Standardized versus customized portfolio : a compensating variation approach Prigent Jean-Luc, De Palma A. , Annals of operations research, 165(1) , p.161-185, 2009
  • Optimal Time to Sell in Real Estate Portfolio Management Barthélémy Fabrice, Journal of real estate finance and economics, 38 (1), p.59-87, 2009
  • Utilitarianism and fairness in portfolio positioning Prigent Jean-Luc, De Palma A. , Journal of banking and finance, 32 , p.1648-1660, 2008
  • Hedging global environment risks : An option based portfolio insurance Prigent Jean-Luc, De Palma A. , Automatica, 44 (6), p.1519-1531, 2008
  • Firm’s value under investment irreversibility, stochastic demand and general production function Prigent Jean-Luc, Bouasker O. , International journal of business, 13(4) , p.315-330, 2008
  • Optimal portfolios with guarantee at maturity : computation and comparison Prigent Jean-Luc, Tahar F. , International journal of business, 11 (2), p.171-185, 2006
  • Portfolio insurance strategies : OBPI versus CPPI Prigent Jean-Luc, Bertrand P. , Finance, 26 (1), p.5-32, 2005
  • Portfolio management with safety criteria in complete financial markets Prigent Jean-Luc, Toumi S. , International journal of business, 10 (3), p.233-250, 2005
  • Option pricing with discrete rebalancing Prigent Jean-Luc, O. Renault , O. Scaillet , Journal of empirical finance, 11 , p.133-161, 2004
  • Evaluation of financial structured products : an application of the extreme value theory Prigent Jean-Luc, Bertrand P. , International Journal of Finance, 15 , 2004
  • Portfolio insurance strategies : a comparison of standard methods when the volatility of the stock is stochastic Prigent Jean-Luc, P. Bertrand , International journal of business, 8 , p.461-472, 2003
  • Portfolio insurance : the extreme value approach to the CPPI method Prigent Jean-Luc, P. Bertrand , Finance, 23 , p.69-86, 2002
  • Optimisation de portefeuille sous contrainte de variance de la tracking-error Prigent Jean-Luc, P. Bertrand, R. Sobotka , Banque et Marchés, 13 , p.1826-1836, 2002
  • Pricing standard and exotic options in the presence of a finite mixture of Gaussian distributions Prigent Jean-Luc, M. Bellalah , International Journal of Finance, 13(3) , p.1974-2000, 2002
  • An empirical estimation in credit spread indices Prigent Jean-Luc, O. Renault, O. Scaillet , Journal of risk, 3 , p.27-55, 2001
  • Skew without Skewness : asymmetric smiles, information costs and stochastic volatility Prigent Jean-Luc, M. Bellalah , International Journal of Finance, 13(2) , p.1826-1836, 2001
  • Assurance du portefeuille : analyse et extension de la méthode du coussin Prigent Jean-Luc, Banque et marchés, 51 , p.33-39, 2001
  • A general subordinated stochastic process for the derivatives pricing Prigent Jean-Luc, J.P. Lesne , International journal of theoretical and applied finance, 4 , p.121-146, 2001
  • Option pricing with a general marked point process Prigent Jean-Luc, Mathematics of operations research, 26 , p.50-66, 2001
  • Gestion de portefeuille avec garantie : l’allocation optimale en actifs dérivés Prigent Jean-Luc, P. Bertrand, J.P. Lesne , Finance, 22 , p.7-35, 2001
  • Convergence of discrete time options pricing models under stochastic rates Prigent Jean-Luc, J.P. Lesne, O. Scaillet , Finance and stochastics, 4 , p.81-93, 2000
  • Pricing with a vertical liquidity premium Prigent Jean-Luc, M. Bellalah , Fineco, 9 , p.109-118, 1999
  • Lookback and barriers options : a comparison between Black-Scholes and ACB Pricing Prigent Jean-Luc, O. Renault, O. Scaillet , Finance, 20 , p.143-152, 1999
  • L’évaluation des options sur indices avec une volatilité composite Prigent Jean-Luc, M. Bellalah , Banque et marchés, 39 , p.28-35, 1999
  • Incomplete markets : convergence of options values under the minimal martingale measure Prigent Jean-Luc, Advances in Applied Probability, 31 , p.1058-1077, 1999
  • A note on the Valuation of an Exotic Timing Option Bellalah Mondher, M. Bellalah , Journal of futures markets, 17 , p.483-487, 1997

Documents de travail

  • Regret theory and portfolio management Prigent Jean-Luc, Mim?o THEMA, 2007
  • Weak convergence with transaction costs Prigent Jean-Luc, Mim?o THEMA, 2007
  • Structure equations and option pricing Prigent Jean-Luc, Probability Theory and Related Fields, Mim?o THEMA, 2006
  • Optimal portfolio positioning Prigent Jean-Luc, De Palma A. , THEMA Working Papers, 2003-24, 2003
  • Optimal portfolio : towards an operational decision support system Prigent Jean-Luc, De Palma A. , THEMA Working Papers, 2003-25, 2003
  • Weak Convergence of Hedging Strategies of Contingent Claims Prigent Jean-Luc, FAME Research Paper Series, rp39, 2002
  • Option Pricing with Discrete Rebalancing Prigent Jean-Luc, Renault O. , FAME Research Paper Series, rp55, 2002
  • An Empirical Estimation in Credit Spread Indices Prigent Jean-Luc, Renault O. , THEMA Working Papers, 2000-51, 2000
  • Gestion de portefeuille avec garantie : l’allocation optimale en actifs derives Prigent Jean-Luc, Bertrand P., Lesne J.-P. , G.R.E.Q.A.M., 00a03, 2000
  • Strategies optimales d’allocation de portefeuilles internationaux avec contraintes Barthélémy Fabrice, Prigent Jean-Luc, Mokrane M. , THEMA Working Papers, 2000-32, 2000
  • An Autoregressive Conditional Binomial Option Pricing Model Prigent Jean-Luc, Renault O. , Financial Markets Group, dp364, 2000
  • Weak Convergence of Hedging Strategies of Contingent Claims Prigent Jean-Luc, THEMA Working Papers, 2000-50, 2000
  • Portfolio Insurance : The extreme Value of the CCPI Method Prigent Jean-Luc, Bertrand P. , THEMA Working Papers, 2000-49, 2000
  • Optimal portfolio under insurance constraints on the horizon wealth Prigent Jean-Luc, THEMA Working Papers, 99-47, 1999
  • An autoregressive conditional binomial option pricing model under stochastic rates Prigent Jean-Luc, Renault O. , THEMA Working Papers, 99-40, 1999
  • Optimality of portfolio insurance The extended CPPI method Prigent Jean-Luc, THEMA Working Papers, 99-48, 1999
  • Option pricing with discrete rebalancing Prigent Jean-Luc, Renault O. , THEMA Working Papers, 99-41, 1999
  • Incomplete Markets : Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case Prigent Jean-Luc, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., 9735, 1997
  • Convergence of Discrete Time Options Pricing Models under Stochastic Rates Prigent Jean-Luc, Lesne J.-P. , Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., 9734, 1997
  • Option Pricing with a General Market Point Process Prigent Jean-Luc, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., 9736, 1997
  • A general subordinated stochastic process for the derivatives pricing Prigent Jean-Luc, Lesne J.-P. , THEMA Working Papers, 96-29, 1996
  • Implied risk neutral probability measures on options markets : The L2 approach Prigent Jean-Luc, Magnien F., Trannoy A. , THEMA Working Papers, 96-30, 1996
  • Incomplete Markets : A Remark on the Convergence of the Minimal Martingale Measure and Application to the Derivative Assets Pricing Prigent Jean-Luc, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., 9526, 1995
  • Pricing of Contingent Claims from Discrete to Continuous Time Models : On the Robustness of the Black and Scholes Formula Prigent Jean-Luc, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., 9525, 1995
  • The private provision of public good in the case of satiation points : The case of a quasi-linear economy Prigent Jean-Luc, Trannoy A., Garalp B., Richelle Y. , CORE Discussion Papers, 1992034, 1992

Contribution à un livre

  • Estimation of non Gaussian returns : The hedge funds case Prigent Jean-Luc, Naguez, Naceur , Recent Developments in Alternative Finance: Empirical Assessments and Economic Implications, International Symposia in Economic Theory and Econometrics, Vol., Emerald Press, 2012
  • Copula theory applied to hedge funds dependence structure determination Prigent Jean-Luc, R. Hentati , In Nonlinear Modeling of Economic and Financial Time Series, Series title: International Symposia in Economic Theory and Econometrics, F. Jawadi and W. Barnett eds, Emerald , 2011
  • Long-term investment with stochastic interest and inflation rates : Incompleteness and compensating variation Prigent Jean-Luc, Mkaouar Farid , 6th International Finance Conference on Financial Crisis and Governance, Cambridge: Cambridge Scholars Publishing, 2011
  • Gestion de Portefeuille : Analyse Quantitative et Gestion Structurée (2ed) Prigent Jean-Luc, Bertrand, Philippe , Paris: Economica, 2011
  • A Risk management approach for porfolio insurance strategies Prigent Jean-Luc, B. Hamidi, B. Maillet , Proceedings International Financial Research Forum, Economica, Paris, 2009
  • Mesure de performance Oméga : applications en gestion alternative et garantie Prigent Jean-Luc, P. Bertrand , In Finance d'Entreprise et Finance de Marché : Complémentarité et Nouvelles Avancées (Ed. J.-M. Sahut), Editions Hermes, 2007
  • Option hedging strategies : quantile versus quadratic-risk minimization Prigent Jean-Luc, S. Toumi , In Wilmott (Editions Wiley), 2006
  • Evaluation des actifs financiers en présence d’une volatilité stochastique : mélange fini ou infini de gaussiennes ? Prigent Jean-Luc, In Finance Contemporaine, Analyse, Evaluation et Applications, Economica, 2002
  • Assurance de portefeuille : le cas des mélanges finis gaussiens Prigent Jean-Luc, P. Bertrand , In Finance Contemporaine, Analyse, Evaluation et Applications, Economica, 2002
  • Le coussin financier, chapitre 33 In Skopos Prigent Jean-Luc, Recueil pour l'Agrégation de mathématiques, Editions Springer, 2001
  • Stratégies optimales d’allocation de portefeuilles internationaux avec contraintes Prigent Jean-Luc, M. Mahdi , In Gestion des Risques dans un Cadre International, Economica, 2000
  • Smile asymétriques et coûts d’information implicite : évidences empiriques sur le Monep Prigent Jean-Luc, In Gestion des Risques dans un Cadre International, Economica, 2000
  • Note de lecture pour la revue Finance sur l’ouvrage de Brigo-Mercurio : Interest rate models : theory and practice Prigent Jean-Luc, Editions Springer, -0001

Livres

  • Risk Management and Value : Valuation and Asset Pricing World Scientific, 2008
  • Portfolio Optimization and Performance Analysis Chapman & Hall, 2007
  • Gestion de Portefeuille : Analyse Quantitative et Gestion Structurée Bertrand P. , Economica, 2006
  • Weak Convergence of Financial Markets Springer, Berlin, 2003