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SIX Pierre

HDR (Authorization to supervise research)

Pierre Six is a Full Professor of Finance at NEOMA. He obtained his PhD from University Paris 1 and his Habilitation à diriger les recherches from University Paris-Dauphine. He teaches risk management; commodity risk and market risk, in particular. His areas of research primarily relate to commodities and asset allocation. He now diversifies his research in various fields. He has published, among other journals, in the European Journal of Operational Research, the International Review of Law and Economics and Quantitative Finance. He achieved the most outstanding paper award for “derivatives” at the annual conference of the Eastern Finance Association in 2010. He serves various administrative position at NEOMA; in particular in the finance department.

Areas of research

  • Commodities
  • Continuous time processes
  • Derivative products

Recent academic contributions

  • CHIBANE, M., P. SIX, "Dynamic Asset Allocation and Consumption with the Indirect Utility Function.", Finance Research Letters, May 2024, pp. 105542
    DOI : 10.1016/j.frl.2024.105542
  • 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. ATTAOUI, "Fundamentals of commodity sharpe ratios", 2023

Article

  • CHIBANE, M., P. SIX, "Dynamic Asset Allocation and Consumption with the Indirect Utility Function.", Finance Research Letters, May 2024, pp. 105542
    DOI : 10.1016/j.frl.2024.105542
  • 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, June 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, September 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, April 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, September 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, August 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), May 2014, vol. 130, pp. 24-40
  • SIX, P., "Strategic commodity allocation", Quantitative Finance, September 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, December 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, August 2014, no. 3, pp. 1742-1750
  • SIX, P., C.MELLIOS, "The Traditional Hedging Model Revisited With A Non-Observable Convenience Yield", Financial Review, November 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), May 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), May 2011, no. 112, pp. 16-33
  • SIX, P., "Interest rate risk hedging demand under a Gaussian framework", Journal of Financial Transformation, March 2010, no. 28, pp. 103-107
  • SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ", Finance, December 2010, vol. 31, no. 2, pp. 93-118

Book chapter

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

Participation at an academic or professional conference

  • AHN, J.-H., P.SIX, "Investing in commodity: why duplicating inventories?" in International Conference on Energy, Finance and the Macroeconomy, 2017, Montpellier, France
  • AHN, J.-H., P.SIX, "Investing in commodity: Why duplicating inventories?" in 2017 Commodity Markets Winter Workshop, 2017, Lillehammer, Norway
  • AHN, J.-H., P.SIX, "Investing in Commodity: Why Duplicating Inventories" in Commodity Markets Conference, 2016, Hannovre, Germany
  • AHN, J.-H., P.SIX, "Investing in commodities: why duplicating inventories" in Energy and Commodity Finance Conference, 2016, Paris, France Coauthorspresented
  • AHN, J.-H., P.SIX, "Investing in commodities: why duplicating inventories?" in Commodity Markets Conference, 2016, Hannover, Germany
  • SIX, P., "Correlation as a Pricing Factor for oil Derivatives" in 10th Energy and Finance Conference on "Energy Finance - Challenges and Opportunities", 2015, London, United Kingdom
  • SIX, P., "Correlation as a Pricing Factor for oil Derivatives" in 5th INREC Conference - International Ruhr Energy Conference, 2015, Essen, Germany
  • FOUQUAU, J., P.SIX, "Convenience yield and adjusted basis stylized facts" in 2nd International Symposium on Energy and Finance, 2014, Paris, France
  • SIX, P., "On The Shape of Risk Aversion and Asset Allocation" in Workshop in Honour of Professor William T. Ziemba, 2013, France
  • SIX, P., "Correlation as a pricing factor for oil derivatives" in The 51st Meeting of the Euro Working Group on Commodities and Financial Modelling (EWGCFM), 2013, United Kingdom
  • SIX, P., J.FOUQUAU, "Convenience yield and adjusted basis stylized facts" in The 51st Meeting of the Euro Working Group on Commodities and Financial Modelling (EWGCFM), 2013, United Kingdom
  • SIX, P., "On the shape of risk aversion and asset allocation" in Eastern Finance Association Annual Meeting, 2012, United States
  • SIX, P., "Tactical Commodity Allocation and The Theory of Storage" in Eastern Finance Association Annual Meeting, 2012, United States
  • SIX, P., "Correlation as a pricing factor for oil derivatives" in Conference on Energy Finance (EF), 2012, Norway
  • SIX, P., "A partial equilibrium for the convenience yield risk premium" in ESE Energy and Finance Conference, 2012, Netherlands
  • LACOSTE, V., S.ATTAOUI, P.SIX, "A partial equilibrium for the convenience yield risk premium" in ESE Energy & Finance conference, 2011, Rotterdam, Netherlands Coauthorspresented
  • SIX, P., "A partial equilibrium for the convenience yield risk premium" in Eastern Finance Association Annual Meeting, 2011, United States
  • SIX, P., "The Bond-stock mix: a new insight" in 50th Annual Meeting of the Southwestern Finance Association (SWFA), 2011, United States
  • 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" in 50th Annual Meeting of the Southwestern Finance Association (SWFA), 2011, United States
  • SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ" in Eastern Finance Association Annual Meeting, 2010, United States
  • SIX, P., C.MELLIOS, "The Traditional Hedging Model revisited with a non observable convenience yield" in Brown-bag pole responsible finance, Rouen Business School, 2010, Rouen, France
  • SIX, P., "The Bond-stock Mix: a new insight" in EFMA, 2010 Annual Meeting (European Financial Management Association), 2010, Denmark
  • SIX, P., "The Bond-Stock mix: a new insight" in Eastern Finance Association Annual Meeting, 2010, United States
  • SIX, P., "Traditional Hedging Model revistited with a non observable convenience yield" in Eastern Finance Association Annual Meeting, 2010, United States
  • SIX, P., C.MELLIOS, "Traditional Hedging Model revistited with a non observable convenience yield" in 22nd Annual Australasian Finance and Banking Conference (AFBC), 2009, Australia
  • SIX, P., "Commodity derivatives pricing with an endogenous convenience yield market price of risk" in EFM Symposium on Risk Management In Financial Institutions, 2009, France
  • SIX, P., "A Jump-Diffusion Nominal Short Rate Model" in Quantitative Methods in Finance Conference, 2009, Australia
  • SIX, P., "Dynamic strategies when consumption and wealth risk aversions differ" in FMA European Conference (Financial Management Association), 2008, Czech Republic
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" in EFMA, Annual Meeting (European Financial Management Association), 2008, Greece
  • SIX, P., "Commodity derivatives pricing with an endogenous convenience yield market price of risk" in 11th Symposium on Finance, Banking and Insurance, 2008, Germany
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" in 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, Belgium
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" in 30th Anniversary of the Journal of Banking and Finance Conference, 2006, China
  • SIX, P., C.MELLIOS, "Traditional Hedging Model revisited with a non observable stochastic convenience yield" in 18ème Congrès du réseau des IAE, 2006, France
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" in Northern Finance Association - NFA, 2006, Canada
  • SIX, P., C.MELLIOS, "Optimal dynamic hedging in commodity futures markets with a stochastic convenience yield" in Midwest Finance Association Annual Meeting, 2006, United States