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SIX Pierre

Habilitation à Diriger des Recherches,

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Finance
Habilitation à Diriger des Recherches,

Pierre Six est professeur de finance à NEOMA après avoir obtenu son doctorat à l’université Paris 1 Panthéon-Sorbonne en 2009 et son habilitation à diriger les recherches à l’université Paris-Dauphine en 2017. Il enseigne la gestion des risques, en particulier les risques de matières premières et de marché. Ses domaines de recherche concernent à l’origine les matières premières et l’allocation d’actifs. Il se diversifie maintenant dans d’autres domaines de la finance. Ses recherches ont été publiées, entre autres, dans : European Journal of Operational Research, International Review of Law and Economics, Quantitative Finance. Il a obtenu le prix du meilleur article dans la catégorie « produits dérivés » à la conférence annuelle de l’Eastern Finance Association en 2010. Il a occupé de nombreuses fonctions administratives au sein de l’école et du département finance.

Domaines de spécialisation

  • Matières premières
  • Processus en temps continu
  • Produits dérivés

Récentes contributions académiques

  • AHN, J.-H., H. MUHAJIR MAULANA, P. SIX, "Macro-Financial Determinants of Default Probability Using Copula: A Case Study of Indonesian Banks", Bulletin of Monetary Economics and Banking, 2023, vol. 25, no. 4, pp. 597-622
    DOI : 10.21098/bemp.v25i4.1748
  • SIX, P., S. OUZAN, "Under-hedging in the oil market: an explanation based on regret theory", 2023
  • SIX, P., S. ATTAOUI, "Fundamentals of commodity sharpe ratios", 2023

Article

  • AHN, J.-H., H. MUHAJIR MAULANA, P. SIX, "Macro-Financial Determinants of Default Probability Using Copula: A Case Study of Indonesian Banks", Bulletin of Monetary Economics and Banking, 2023, vol. 25, no. 4, pp. 597-622
    DOI : 10.21098/bemp.v25i4.1748
  • ATTAOUI, S., W. CAO, P. SIX, "Capital Structure and the Optimal Payment Methods in Acquisitions", International Review of Law and Economics, Juin 2021, vol. 66
    DOI : 10.1016/j.irle.2021.105986
  • AHN, J.-H., P.SIX, "A study of first generation commodity indices : Indices based on financial diversification", Finance Research Letters, Septembre 2019, vol. 30, pp. 194-200
    DOI : 10.1016/j.frl.2018.09.013
  • MELLIOS , C., P. SIX, A. N. LAI , "Dynamic Speculation and Hedging in Commodity Futures Markets with a Stochastic Convenience Yield ", European Journal of Operational Research, Avril 2016, vol. 250, no. 2, pp. 493-504
    DOI : 10.1016/j.ejor.2015.10.045
  • SIX, P., S.ATTAOUI, "The Impact of Different Risk Aversions on The Bond-Stock Mix: A Note", Finance, Septembre 2016, vol. 36, no. 3, pp. 85-111
  • SIX, P., J.FOUQUAU, "A comparison of the convenience yield and interest-adjusted basis", Finance Research Letters, Août 2015, vol. 14, pp. 142-149
    DOI : 10.1016/j.frl.2015.05.005
  • ATTAOUI, S., V.LACOSTE, P.SIX, "A Partial Equilibrium Model of the Convenience Yield Risk Premium of Storable Commodities", Bankers, Markets & Investors (ex-Banque & Marchés), Mai 2014, vol. 130, pp. 24-40
  • SIX, P., "Strategic commodity allocation", Quantitative Finance, Septembre 2014, vol. 15, no. 1, pp. 131-150
    DOI : 10.1080/14697688.2014.951386
  • SIX, P., "On the shape of risk aversion and asset allocation", International Journal of Theoretical and Applied Finance, Décembre 2014, vol. 17, no. 8, pp. 1450054-1 à 1450054-27
  • SIX, P., S.ATTAOUI, "Hedging demand and the certainty equivalent" of wealth", Economics Bulletin, Août 2014, no. 3, pp. 1742-1750
  • SIX, P., C.MELLIOS, "The Traditional Hedging Model Revisited With A Non-Observable Convenience Yield", Financial Review, Novembre 2011, no. 46, pp. 569-593
  • SIX, P., C.MELLIOS, "Calendar spreads in commodity future markets, risk premium and the convenience yield", Bankers, Markets & Investors (ex-Banque & Marchés), Mai 2011, no. 112, pp. 16-33
  • ATTAOUI, S., C.MELLIOS, P.SIX, "Calendar Spreads in Commodity Futures Markets, Risk Premium and the Convenience Yield", Bankers, Markets & Investors (ex-Banque & Marchés), Mai 2011, no. 112, pp. 16-33
  • SIX, P., "Interest rate risk hedging demand under a Gaussian framework", Journal of Financial Transformation, Mars 2010, no. 28, pp. 103-107
  • SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ", Finance, Décembre 2010, vol. 31, no. 2, pp. 93-118

Chapitre d'ouvrage

  • SIX, P., "Strategic commodity allocation " dans Commodities., M. A. H. Dempster and Ke Tang Ed., Chapman & Hall/CRC Press, pp. 703, 2015
  • SIX, P., S.ATTAOUI, "A Jump–Diffusion Nominal Short Rate Model" dans Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges., Wehn C. S., Hoppe C. & Gregoriou G. N. Eds, Academic Press, 2012

Academic conferences

  • SIX, P., S. OUZAN, "Under-hedging in the oil market: an explanation based on regret theory", 2023
  • SIX, P., S. ATTAOUI, "Fundamentals of commodity sharpe ratios", 2023
  • SIX, P., M. CHIBANE, "investment as a source of income", 2022
  • SIX, P., "Wealth Elasticity of Risk Aversion and Asset Allocation" dans 32nd International Conference of the French Finance Association, 2015, Cergy, France
  • SIX, P., "Wealth Elasticity of Risk Aversion and Portfolio Management" dans Paris Financial Management Conference 2014, IPAG Business School, 2014, France
  • SIX, P., S.ATTAOUI, "Hedging demand for bequest motives" dans 30th International French Finance Conference, EM Lyon Business School, 2013, France
  • SIX, P., J.FOUQUAU, S.ATTAOUI, "Convenience yield and risk adjusted basis" dans Conference on Energy Finance (EF), 2013, Allemagne
  • SIX, P., "On The Shape Of Risk Aversion And Asset Allocation" dans AFFI, 2012 Spring Conference, 2012, France
  • SIX, P., "The Bond stock mix: a new insight" dans AFFI, 2011 Spring Conference, 2011, France
  • SIX, P., "A Jump-Diffusion Nominal Short Rate Model" dans AFFI 8th International Paris Finance Meeting, 2008, France
  • SIX, P., "Commodity derivatives pricing with an endogenous convenience yield market price of risk" dans AFFI, 2008 Spring Conference, 2008, France
  • SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ" dans AFFI, 2007 Spring Conference, 2007, France
  • SIX, P., C.MELLIOS, "Traditional Hedging Model revisited with a non observable stochastic convenience yield" dans AFFI, 2006 Spring Conference, 2006, France
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans AFFI, Conférence internationale Paris décembre 2005, 2005, France

Communication dans une conférence sans actes

  • AHN, J.-H., P.SIX, "Investing in commodity: why duplicating inventories?" dans International Conference on Energy, Finance and the Macroeconomy, 2017, Montpellier, France
  • AHN, J.-H., P.SIX, "Investing in commodity: Why duplicating inventories?" dans 2017 Commodity Markets Winter Workshop, 2017, Lillehammer, Norvège
  • AHN, J.-H., P.SIX, "Investing in Commodity: Why Duplicating Inventories" dans Commodity Markets Conference, 2016, Hannovre, Allemagne
  • AHN, J.-H., P.SIX, "Investing in commodities: why duplicating inventories" dans Energy and Commodity Finance Conference, 2016, Paris, France co-auteurs présentés
  • AHN, J.-H., P.SIX, "Investing in commodities: why duplicating inventories?" dans Commodity Markets Conference, 2016, Hannover, Allemagne
  • SIX, P., "Correlation as a Pricing Factor for oil Derivatives" dans 10th Energy and Finance Conference on "Energy Finance - Challenges and Opportunities", 2015, London, Royaume-Uni
  • SIX, P., "Correlation as a Pricing Factor for oil Derivatives" dans 5th INREC Conference - International Ruhr Energy Conference, 2015, Essen, Allemagne
  • FOUQUAU, J., P.SIX, "Convenience yield and adjusted basis stylized facts" dans 2nd International Symposium on Energy and Finance, 2014, Paris, France
  • SIX, P., "On The Shape of Risk Aversion and Asset Allocation" dans Workshop in Honour of Professor William T. Ziemba, 2013, France
  • SIX, P., "Correlation as a pricing factor for oil derivatives" dans The 51st Meeting of the Euro Working Group on Commodities and Financial Modelling (EWGCFM), 2013, Royaume-Uni
  • SIX, P., J.FOUQUAU, "Convenience yield and adjusted basis stylized facts" dans The 51st Meeting of the Euro Working Group on Commodities and Financial Modelling (EWGCFM), 2013, Royaume-Uni
  • SIX, P., "On the shape of risk aversion and asset allocation" dans Eastern Finance Association Annual Meeting, 2012, États-Unis
  • SIX, P., "Tactical Commodity Allocation and The Theory of Storage" dans Eastern Finance Association Annual Meeting, 2012, États-Unis
  • SIX, P., "Correlation as a pricing factor for oil derivatives" dans Conference on Energy Finance (EF), 2012, Norvège
  • SIX, P., "A partial equilibrium for the convenience yield risk premium" dans ESE Energy and Finance Conference, 2012, Pays-Bas
  • LACOSTE, V., S.ATTAOUI, P.SIX, "A partial equilibrium for the convenience yield risk premium" dans ESE Energy & Finance conference, 2011, Rotterdam, Pays-Bas co-auteurs présentés
  • SIX, P., "A partial equilibrium for the convenience yield risk premium" dans Eastern Finance Association Annual Meeting, 2011, États-Unis
  • SIX, P., "The Bond-stock mix: a new insight" dans 50th Annual Meeting of the Southwestern Finance Association (SWFA), 2011, États-Unis
  • SIX, P., "On the shape of risk aversion and asset allocation" Seminar du CEFRA (Center for financial risk analysis). 2011, France
  • SIX, P., "A partial equilibrium for the convenience yield risk premium" dans 50th Annual Meeting of the Southwestern Finance Association (SWFA), 2011, États-Unis
  • SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ" dans Eastern Finance Association Annual Meeting, 2010, États-Unis
  • SIX, P., C.MELLIOS, "The Traditional Hedging Model revisited with a non observable convenience yield" dans Brown-bag pole responsible finance, Rouen Business School, 2010, Rouen, France
  • SIX, P., "The Bond-stock Mix: a new insight" dans EFMA, 2010 Annual Meeting (European Financial Management Association), 2010, Danemark
  • SIX, P., "The Bond-Stock mix: a new insight" dans Eastern Finance Association Annual Meeting, 2010, États-Unis
  • SIX, P., "Traditional Hedging Model revistited with a non observable convenience yield" dans Eastern Finance Association Annual Meeting, 2010, États-Unis
  • SIX, P., C.MELLIOS, "Traditional Hedging Model revistited with a non observable convenience yield" dans 22nd Annual Australasian Finance and Banking Conference (AFBC), 2009, Australie
  • SIX, P., "Commodity derivatives pricing with an endogenous convenience yield market price of risk" dans EFM Symposium on Risk Management In Financial Institutions, 2009, France
  • SIX, P., "A Jump-Diffusion Nominal Short Rate Model" dans Quantitative Methods in Finance Conference, 2009, Australie
  • SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ" dans FMA European Conference (Financial Management Association), 2008, Tchèque, République
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans EFMA, Annual Meeting (European Financial Management Association), 2008, Grèce
  • SIX, P., "Commodity derivatives pricing with an endogenous convenience yield market price of risk" dans 11th Symposium on Finance, Banking and Insurance, 2008, Allemagne
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans EFM Symposium on Risk and Asset Management, 2008, France
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" Colloque doctoral inter universitaire en Finance. 2007, France
  • SIX, P., C.MELLIOS, "Quelle stratégie de couverture pour une entreprise sur les marchés à terme de matières premières ?" Cinquième Journée de collaboration scientifique entre les Ecoles Doctorales en Gestion de l'Université Libre de Bruxelles et de l'Université Paris 1-Panthéon-Sorbonne. 2007, Belgique
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans 30th Anniversary of the Journal of Banking and Finance Conference, 2006, Chine
  • SIX, P., C.MELLIOS, "Traditional Hedging Model revisited with a non observable stochastic convenience yield" dans 18ème Congrès du réseau des IAE, 2006, France
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans Northern Finance Association - NFA, 2006, Canada
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" dans Midwest Finance Association Annual Meeting, 2006, États-Unis

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