## Publications by themes:Extreme value theoryRisk management Asset management Market micro-structure ## Most quoted publications:Google Scholar |
## Publications by date:Recent publicationsAll publications ## Other publications:Press articles & interviews |

Complexity in financial markets

Published in *Complexité et Organisations*i> edited by Edgar Morin and Laurent Bibard, Eyrolles, 2018.

Extreme movements in Bitcoin prices: A study based on extreme value theory

Co-written with Shashwat Gangwal (Indian Institute of Technology)*ESSEC Working Paper*, 2017.

Extreme events in finance: a handbook of extreme value theory and its applications

With contributors

*Wiley Editions* (2016).

Tail relation between return and volume in the US stock market: An analysis based on extreme value theory

Co-written with Giovanni Pagliardi (ESSEC Business School)*Economics Letters*, 2016, N°145, pp 252-254.

Wealth management: keys and tools (in French)

With contributors

Edited by ESSEC Publishing (3^{rd} edition forthcoming in 2017).

SimTrade: a new approach to financial markets

Forthcoming (2017), SimTrade Editions.

Tail relation between return and volume in the US stock market: An analysis based on extreme value theory

Co-written with Giovanni Pagliardi (ESSEC Business School)*Economics Letters*, 2016, N°145, pp 252-254.

The choice of the distribution of asset prices : how extreme value theory can help?

*Journal of Banking and Finance*, 2005, N°29, pp 1017-1035.

Extreme events in finance

Special issue of the review *Finance*, 2002.

Stock market crashes : some quantitative results based on extreme value theory

*Derivatives Use, Trading & Regulation*, 2001, N°7, pp 197-205.

Extreme correlation of international equity markets

Co-written with Bruno Solnik (HEC)

*Journal of Finance*, 2001, N°56, pp 651-678.

Stress testing : application of extreme value theory to foreign exchange markets

Publihed in “*Advances in International Finance*” edited by
Ilhan Meric and Gulser Meric, The Pergamon Press, Elsevier Science, 2001.

Optimal margin level in futures markets : a method based on extreme price movements

*Journal of Futures Markets*, 1999, N°19, pp 127-159.

The asymptotic distribution of extreme stock market returns

*Journal of Business*, 1996, N°63, pp 383-408.

Minimal returns and the breakdown of the price-volume relation

Co-written with Pierluigi Balduzzi (NYU) and Hedi Kallal (Salomon Brothers)

*Economics Letters*, 1996, N°50, pp 265-269.

Winning in the best and worst of times : boom and crash options

*Proceedings of the Chicago Board of Trade conférence on “Futures and Options”*, Tilburg, The Netherlands, 1996.

The margin-volatility relationship : a test based on extreme price movements

*Proceedings of the conference on “The Assessment of Financial Markets Regulation*”, Oxford, The United Kingdom, 1994.

Booms and crashes : Application of extreme value theory to the U.S. stock market

*Working paper*, Institute of Finance and Accounting, London Business School, N°179-93, 1993.

Volatility and extreme movements in the stock market

*Thesis*, HEC, 1993.

Quantifying the operational risk in investment fund valuation

Co-written with Gautier Martin (HSBC CCF)

*Risk*, 2003, N°16, pp 15-17.

Beyond the VaR

*Journal of Derivatives*, 2001, N°8, pp 36-48.

From VaR to stress testing : the extreme value approach

*Journal of Banking and Finance*, 2000, N°24, pp 1097-1130.

Optimal margin level in futures markets : a method based on extreme price movements

*Journal of Futures Markets*, 1999, N°19, pp 127-159.

Term-guaranteed fund management : the option method vs the cushion method

Co-written with Vincent Lacoste (ESSEC)

*Proceedings of the French Finance Association (AFFI) meetings*, Lyon, France, 2003.

Extreme correlation of international equity markets

Co-written with Bruno Solnik (HEC)

*Journal of Finance*, 2001, N°56, pp 651-678.

Portfolio insurance and market crashes

*Journal of Asset Management*, 2001, N°2, pp 136-161.

Is the correlation in international equity returns constant : 1960-1990?

Co-written with Bruno Solnik (HEC)

*Journal of International Money and Finance*, 1995, N°14, pp 3-26.

Winning in the best and worst of times : boom and crash options

*Proceedings of the Chicago Board of Trade conference on “Futures and Options”*, Tilburg, The Netherlands, 1996.

Optimal margin level in futures markets : a method based on extreme price movements

*Journal of Futures Markets*, 1999, N°19, pp 127-159.

The threshold effect in expected volatility : a model based on asymmetric information

*Review of Financial Studies*, 1997, N°10, pp 837-869.

Professor François Longin tracks down extreme events in finance (interview by Florian Philippe)

*ESSEC*, January 23rd 2017.

Do gender stereotypes influence your financial decisions? (interview by Tom Gamble)

*ESSEC Knowledge*, November 22nd 2016.

When financial bubbles burst (interview by Tom Gamble)

*ESSEC Knowledge*, November 15th 2016.

Ethics in the financial trading sector (part 2) : transparency and communication (interview of Giovanni Pagilardi by Tom Gamble)

*Council on Business & Society*, January 25th 2016.

Ethics in the financial trading sector (part 1) : transparency and communication (interview of Giovanni Pagilardi by Tom Gamble)

*Council on Business & Society*, January 20th 2016.

Turbulence - When the bubble bursts

*ESSEC Knowledge Reflets #2*, 2016.

Tail relation between return and volume in the US stock market: An analysis based on extreme value theory

Co-written with Giovanni Pagliardi (ESSEC Business School)*Economics Letters*, 2016, N°145, pp 252-254.

The choice of the distribution of asset prices: how extreme value theory can help?

*Journal of Banking and Finance*, 2005, N°29, pp 1017-1035.

Quantifying the operational risk in investment fund valuation

Co-written with Gautier Martin (HSBC CCF)

*Risk*, 2003, N°16, pp 15-17.

Extreme events in finance

Special issue of the review *Finance*, 2002.

Extreme correlation of international equity markets

Co-written with Bruno Solnik (HEC)

*Journal of Finance*, 2001, N°56, pp 651-678.

Beyond the VaR

*Journal of Derivatives*, 2001, N°8, pp 36-48.

Portfolio insurance and market crashes

*Journal of Asset Management*, 2001, N°2, pp 136-161.

Stock market crashes: some quantitative results based on extreme value theory

*Derivatives Use, Trading & Regulation*, 2001, N°7, pp 197-205.

Stress testing: application of extreme value theory to foreign exchange markets

Publihed in “*Advances in International Finance*” edited by
Ilhan Meric and Gulser Meric, The Pergamon Press, Elsevier Science, 2001.

From VaR to stress testing : the extreme value approach

*Journal of Banking and Finance*, 2000, N°24, pp 1097-1130.

*Journal of Futures Markets*, 1999, N°19, pp 127-159.

The threshold effect in expected volatility : a model based on asymmetric information

*Review of Financial Studies*, 1997, N°10, pp 837-869.

The asymptotic distribution of extreme stock market returns

*Journal of Business*, 1996, N°63, pp 383-408.

Minimal returns and the breakdown of the price-volume relation

Co-written with Pierluigi Balduzzi (NYU) and Hedi Kallal (Salomon Brothers)

*Economics Letters*, 1996, N°50, pp 265-269.

Winning in the best and worst of times : boom and crash options

*Proceedings of the Chicago Board of Trade conference on “Futures and Options”*, Tilburg, The Netherlands, 1996.

Is the correlation in international equity returns constant : 1960-1990?

Co-written with Bruno Solnik (HEC)

*Journal of International Money and Finance*, 1995, N°14, pp 3-26.

The margin-volatility relationship : a test based on extreme price movements

*Proceedings of the conference on “The Assessment of Financial Markets Regulation*”, Oxford, The United Kingdom, 1994.

Winning in the best and worst of times : boom and crash options

*Proceedings of the Chicago Board of Trade conference on “Futures and Options”*, Tilburg, The Netherlands, 1996.

Volatility and extreme movements in the stock market

*Thesis*, HEC, 1993.

Co-written with Bruno Solnik (HEC)

*Journal of Finance*, 2001, N°56, pp 651-678.

Is the correlation in international equity returns constant : 1960-1990?

Co-written with Bruno Solnik (HEC)

*Journal of International Money and Finance*, 1995, N°14, pp 3-26.

From VaR to stress testing : the extreme value approach

*Journal of Banking and Finance*, 2000, N°24, pp 1097-1130.

The asymptotic distribution of extreme stock market returns

*Journal of Business*, 1996, N°63, pp 383-408.

*Journal of Futures Markets*, 1999, N°19, pp 127-159.

The choice of the distribution of asset prices : how extreme value theory can help?

*Journal of Banking and Finance*, 2005, N°29, pp 1017-1035.

Beyond the VaR

*Journal of Derivatives*, 2001, N°8, pp 36-48.

The threshold effect in expected volatility : a model based on asymmetric information

*Review of Financial Studies*, 1997, N°10, pp 837-869.