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Julien Hugonnier
SFI Senior Chair
Associate Professor of Finance
Julien Hugonnier is Associate Professor of Finance at the Ecole Polytechnique Fédérale de Lausanne and the head of its Master in Financial Engineering program. He joined SFI in 2006 and has held an SFI Senior Chair since 2012. Prior to joining the Ecole Polytechnique Fédérale de Lausanne, he held positions at Carnegie Mellon University, HEC Montreal, and the University of Lausanne. Prof. Hugonnier is a regular speaker at finance conferences worldwide and serves on the editorial boards of various academic journals in the areas of mathematical finance and financial economics.
Research Interests:
His main research area is theoretical asset pricing.
Recent Research:
In recent work, Prof. Hugonnier and his coauthors contribute to the literature on over-the-counter financial markets by developing a search and bargaining model of an asset market in which investors value assets in an arbitrary, heterogeneous manner. The model yields a complete, closed-form characterization of the unique equilibrium both in and out of the steady state. Relying on this characterization, the researchers show that, consistent with prominent examples of over-the-counter markets, their model exhibits a core-periphery structure and features non-trivial intermediation chains whose dynamics can be determined in closed form. In particular, they show that the joint distribution of the characteristics of an intermediation implied by the model makes it possible to replicate many of the empirical regularities found in micro-level data coming from over-the-counter markets such as the corporate bond market, the asset-backed securities market, or the municipal bond market.