François Quittard Pinon

François Quittard-Pinon is a specialist in financial modeling. He develops methods for asset valuation, pricing, hedging and assessment of risk of derivatives, particularly for interest rate products. A part of his work is devoted to credit risk. His recent research focuses on application of financial theory to life insurance. He has published several books and many articles in scientific journals such as Insurance Mathematics and Econommics, The Geneva Review on Risk and Insurance, Journal of Economic Dynamics and Control, Journal of Derivatives, Finance. He headed the laboratory of actuarial and financial sciences of Isfa (Université Lyon 1) and is now President of the French Finance Association. He is also the Director of the Center For Financial Risks Analysis ( CEFRA).

EDUCATION

• Studies in applied mathematics at University Pierre & Marie Curie (Paris VI).
• Bachelor, Master and PhD. He obtained a Doctorat d’Etat (Highest degree delivered by French universities known to-day as HdR), from University Lyon 1.

EXPERIENCE

Teaching, Research and Administration in several universities : Ecole Normale Supérieure de Cachan, Paris VI university, Paris IX university, Aix-Marseille III University, Lyon 1 University.

Head of laboratory, Head of department, Project manager.

Member of the National Council of Universities (2008-2012).

EXPERTISE

Pricing and hedging derivatives products particularly for interest rate contracts.

Application of quantitative methods of finance in life insurance.

Modelling of credit risk.

COURSES TAUGHT

• Portfolio management
• Interest rate markets
• Financial decision making
• Courses taught in the specialized master Quantitative Finance (Finance de Marché) and Firm in MSc.
  

RESEARCH INTEREST

• Financial modeling
• Debt markets and their products
• Life insurance products : Equity Index Annuities, Variable Annuities
• Financial Theory
• Option theory and its applications

PUBLICATIONS

ACADEMIC ARTICLES (37)

‑ Quittard-Pinon, François, Kelani, Abdou. 2018. Life Insurance with Guarantees.Bankers Markets and Investors, 150: 21-31 p.

‑ Kelani, Abdou, QUITTARD-PINON, François. 2015. Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective.Journal of Risk and Insurance , FORTH

‑ Kelani, Abdou, Quittard-Pinon, François. 2014. Pricing, Hedging and Assessing Risk in a General Lévy Context.Bankers, Markets and Investors, 131: 30-42 P.

‑ QUITTARD-PINON, François, Kelani, Abdou. 2013. Pricing Equity Index Annuities with Surrender Options in Four Models.Asia-Pacific Journal of Risk and Insurance, 7 (2): 105-142 P.

‑ Quittard-Pinon, François, Randrianarivony, Rivo. 2011. Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts.Geneva Risk and Insurance Review, 36 (1): 51-73 P.

‑ Quittard-Pinon, François, Randrianarivony, Rivo. 2010. Exchange options when one underlying price can jump.Finance, 31 (3): 33-53P.

‑ Bernard, Carole, Le Courtois, Olivier, , Quittard-Pinon, François. 2010. Protection of a company issuing a certain class of participating policies in a complete market framework.North American Actuarial Journal, 14 (1): 131-149 P.

‑ Quittard-Pinon, François. 2008. Présentation et analyse critique du livre de M. Milevsky "the Calculus of retirement income", Cambridge University Press.Finance, 29: 4

‑ Le Courtois, Olivier, Quittard-Pinon, François. 2008. The optimal capital structure of the firm with stable Lévy assets returns.Decisions in Economics and Finance, 31 (1): 51-72 P.

‑ Quittard-Pinon, François, Randrianarivony, Rivo. 2008. Valuing options in jump diffusion models using generalized Fourier analysis.Banque et Marchés, 97

‑ Quittard-Pinon, François, Randrianarivony, Rivo. 2008. How to price efficiently European options in some geometric Lévy processes models?.International Journal of Business, 13 (4): 301-314 P.

‑ Randrianarivony, Rivo, Quittard-Pinon, François. 2008. Calibrage d'options pour trois modèles mixtes diffusions et sauts. .Finance, 29(2): 28 P.

‑ LE COURTOIS, Olivier, QUITTARD-PINON, François. 2008. Fair Valuation of Participating Life Insurance Contracts with Jump Risk.Geneva Risk and Insurance Review, 33 (2): 106-136 P.

‑ Bernard, Carole, Le Courtois, Olivier, , Quittard-Pinon, François. 2008. Pricing derivatives with barriers in a stochastic interest rate environment .Journal of Economic Dynamics and Control, 32 (9): 2903-2938 P.

‑ MACOVSCHI, Stefan, Quittard-Pinon, François. 2006. On the Pricing of Power and Other Polynomial Options.Journal of Derivatives, 13 (4): 61-71 P.

‑ Le Courtois, Olivier, Quittard-Pinon, François. 2006. Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model .Asia Pacific Financial Markets, 13 (1): 11-39 P.

‑ Bernard, Carole, Le Courtois, Olivier, , Quittard-Pinon, François. 2006. Development and pricing of a new participating contract .North American Actuarial Journal, 10 (4): 179-195 P.

‑ Bernard, Carole, Le Courtois, Olivier, , Quittard-Pinon, François. 2005. A new procedure for pricing parisian options.Journal of Derivatives, 12 (4): 45-54 P.

‑ Bernard, Carole, Le Courtois, Olivier, , Quittard-Pinon, François. 2005. Market value of life insurance contracts under stochastic interest rates and default risk.Insurance: Mathematics and Economics , 36 (3): 499-516 P.

‑ Bernard, Carole, LE COURTOIS, Olivier, , QUITTARD-PINON, François. 2005. A Study of Mutual Insurance for Bank Deposits.Geneva Risk and Insurance Review, 30 (2): 129-146 P.

‑ Bernard, Carole, LE COURTOIS, Olivier, , QUITTARD-PINON, François. 2005. Évaluation en Fair Value de Contrats Participatifs.Finance, 26 (1): 73-107 P.

‑ Le Courtois, Olivier, Quittard-Pinon, François. 2004. Evaluation Numérique des Options Parisiennes.Banque et Marchés, 69: 30-37 P.

‑ Quittard-Pinon, François, CHRETIEN, Laurent. 2004. Pricing formulae for exotic caps.Finance, 25 (2): 27-47P.

‑ Le Courtois, Olivier, Quittard-Pinon, François. 2004. Measure Changes in Finance.Finance India, 18(1): 14

‑ Le Courtois, Olivier, Quittard-Pinon, François. 2004. Changes of probability measure in finance and insurance: A synthesis.Finance, 25: 95-120 P.

‑ Quittard-Pinon, François. 2003. De l'évaluation des actifs contingents dans les approches martingales.Bulletin Français d'Actuariat, 6 (10): 59-77 P.

‑ CHRETIEN, Laurent, Quittard-Pinon, François. 2001. Evaluation et couverture d'un BMTN indexé sur deux actions avec une STTI stochastique.Banque et Marchés, 52

‑ CHRETIEN, Laurent, Quittard-Pinon, François. 2001. Pricing Barrier Options in a Stochastic Interest Rate Environment.The International Journal of Finance, 13: 1772-1793 P.

‑ Poncet, Patrice, Quittard-Pinon, François. 2000. Pricing and Hedging Asian Options on Interest Rates.Banque et Marchés, 47

‑ Quittard-Pinon, François. 1999. Sensibilité des options asiatiques sur taux d'intérêt.Bulletin Français d'Actuariat, 3(5): 29-54 P.

‑ Navatte, Patrick, Quittard-Pinon, François. 1999. The Valuation of Interest Rate Digital Options and Range Notes Revisited.European Financial Management, 5 (3): 425-440 P.

‑ Navatte, Patrick, Quittard-Pinon, François. 1998. L' évaluation d'obligations "corridor" sur taux d'intérêt.Banque et Marchés, 32: 15-20 P.

‑ Navatte, Patrick, Quittard-Pinon, François. 1997. Options digitales et titres couloirs sur taux d'intérêt.Journal de la Société de Statistique de Paris, 138 (2): 41-62 P.

‑ Quittard-Pinon, François. 1995. Formules fermées pour caps, floors et options asiatiques sur taux d'intérêt.Journal de la Societe de Statistique de Paris, 136 (4): 39-56 P.

‑ QUITTARD-PINON, François. 1995. Le concept de duration en temps continu et son application à la gestion du risque de taux d'intérêt, IIème partie.Bulletin de la finance et de l'assurance,

‑ QUITTARD-PINON, François, Poncet, Patrice. 1994. Produits dérivés de taux.La Revue du Financier,

‑ Quittard-Pinon, François, SIKORAV, Jacques. 1992. Finance et processus de diffusion.Journal de la Societe de Statistique de Paris, 133 (4): 85-112 P. BOOKS (6) ‑ Quittard-Pinon, François, Le Grand, François, , Rolando, Thierry. 2012. La gestion du risque de taux d'intérêt.: Economica 417 P.

‑ Quittard-Pinon, François, Rolando, Thierry, , Le Grand, François. 2012. La gestion du risque de taux d'intérêt. Paris: Economica 471 p.

‑ Quittard-Pinon, François. 2003. Marchés des capitaux et théorie financière. 3è ed..: Economica 555 P.

‑ Quittard-Pinon, François. 2003. Marchés des capitaux et théorie financière. Paris: Economica 555 p.

‑ Quittard-Pinon, François. 2002. Mathématiques financières. Colombelles: Éd. EMS, Management & société 277 p.

‑ Quittard-Pinon, François. 2001. Mathématiques financières.: EMS 276 P.