SIX
SIX Pierre
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.
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
10.1016/j.ejor.2015.10.045
SIX, P., "Strategic commodity allocation", Quantitative Finance, Septembre 2014, vol. 15, no. 1, pp. 131-150
10.1080/14697688.2014.951386
SIX, P., "Interest rate risk hedging demand under a Gaussian framework", Journal of Financial Transformation, Mars 2010, no. 28, pp. 103-107
SIX, P., L. SCHNEIDER, B. TAVIN, "Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models" ASMF Seminar, University of Amsterdam. 2024, Amsterdam, Pays-Bas
OUZAN, S., P. SIX, "Under-hedging in the oil market : an explanation based on regret theory" NEOMA Business School-Finance Research Seminar. 2022, Paris, France
SIX, P., W. CAO, X. DUAN, S. C. LINN, "New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions" Finance Research Seminar-NEOMA Business School. 2021, Paris, France
SIX, P., "On the shape of risk aversion and asset allocation" Seminar du CEFRA (Center for financial risk analysis). 2011, 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
SCHNEIDER, L., B. TAVIN, P. SIX, "Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models" dans 8th Commodity Markets Winter Workshop, 2025, Zell am See, Autriche co-auteurs présentés
SIX, P., M. DE BOURMONT, W. CAO, F. LARMANDE, J. VERNY, "A few ratios do not tell the whole story: financial statements informativeness evolution and bankruptcy prediction" dans American Accounting Association annual conference, 2025, Chicago, États-Unis
SIX, P., W. CAO, X. DUAN, S. C. LINN, "New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions" dans New Directions in Commodities Research Symposium, 2025, Denver, États-Unis co-auteurs présentés
DE BOURMONT, M., W. CAO, F. LARMANDE, P. SIX, J. VERNY, "Have financial statements become less informative? Yes, and no…Evidence from the ability of a new accounting model to predict bankruptcy" dans 2024 French Accounting Association Annual Conference, 2024, Dijon, France co-auteurs présentés
SCHNEIDER, L., B. TAVIN, P. SIX, "Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models" dans 33rd European Conference on Operational Research, 2024, Copenhagen, Danemark co-auteurs présentés
CAO, W., X. DUAN, P. SIX, S. C. LINN, "New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions" dans Commodity Energy Markets Annual Conference, Boston University Questrom School of Business, 2024, Boston, États-Unis
SIX, P., S. ATTAOUI, "Fundamentals of Sharpe ratios in storable commodity markets" dans Commodity Energy Markets Annual Conference, Budapest University of Technology and Economics, 2023, Hongrie
SIX, P., S. OUZAN, "Under-hedging in the oil market: an explanation based on regret theory" dans 6th Commodity Winter Workshop, 2023, Skeikampen, Norvège
SIX, P., S. ATTAOUI, "Fundamentals of Sharpe ratios in storable commodity markets" dans NCCC-134: Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, 2023, Saint Louis, États-Unis
SIX, P., M. DE BOURMONT, W. CAO, F. LARMANDE, J. VERNY, "Bankruptcy prediction: a persistent model of cash flows based on Beaver’s theory of the reservoir" dans 2023 International Conference in Finance, Banking and Accounting, 2023, 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 International Conference on Energy, Finance and the Macroeconomy, 2017, Montpellier, France
AHN, J.-H., P.SIX, "Investing in commodities: why duplicating inventories?" dans Commodity Markets Conference, 2016, Hannover, 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 Commodity: Why Duplicating Inventories" dans Commodity Markets Conference, 2016, Hannovre, 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., 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., "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., "Correlation as a pricing factor for oil derivatives" dans Conference on Energy Finance (EF), 2012, Norvège
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., "A partial equilibrium for the convenience yield risk premium" dans ESE Energy and Finance Conference, 2012, Pays-Bas
SIX, P., "A partial equilibrium for the convenience yield risk premium" dans Eastern Finance Association Annual Meeting, 2011, États-Unis
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., "The Bond-stock mix: a new insight" dans 50th Annual Meeting of the Southwestern Finance Association (SWFA), 2011, États-Unis
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., "Dynamic strategies when consumption and wealth risk aversions differ" dans Eastern Finance Association Annual Meeting, 2010, États-Unis
SIX, P., "The Bond-stock Mix: a new insight" dans EFMA, 2010 Annual Meeting (European Financial Management Association), 2010, Danemark
SIX, P., "Traditional Hedging Model revistited with a non observable convenience yield" dans Eastern Finance Association Annual Meeting, 2010, États-Unis
SIX, P., "The Bond-Stock mix: a new insight" 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., "A Jump-Diffusion Nominal Short Rate Model" dans Quantitative Methods in Finance Conference, 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., 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 11th Symposium on Finance, Banking and Insurance, 2008, Allemagne
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 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" dans EFMA, Annual Meeting (European Financial Management Association), 2008, Grèce
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, "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
SIX, P., C.MELLIOS, "Traditional Hedging Model revisited with a non observable stochastic convenience yield" dans 18ème Congrès du réseau des IAE, 2006, France
CAO, W., P.SIX, S.ATTAOUI - "Capital structure and the optimal payment methods in acquisitions" - 2020, Lyon, France
LARMANDE, F., M. DE BOURMONT, W. CAO, P. SIX, J. VERNY, "A few ratios do not tell the whole story: financial statements informativeness evolution and bankruptcy prediction" dans Annual conference of the European Accounting Association, 2025
SIX, P., S. ATTAOUI, "Fundamentals of Sharpe ratios in storable commodity markets" dans SSRN, 2023
SIX, P., M. CHIBANE, "Investment as a source of income" dans Inter-business-school Seminar, EM Lyon, 2022, Lyon
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., J.FOUQUAU, S.ATTAOUI, "Convenience yield and risk adjusted basis" dans Conference on Energy Finance (EF), 2013, Allemagne
SIX, P., S.ATTAOUI, "Hedging demand for bequest motives" dans 30th International French Finance Conference, EM Lyon Business School, 2013, France
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
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
OUZAN, S., P. SIX, "The Demand for Hedging of Oil Producers: A Tale of Risk and Regret", European Journal of Operational Research, Février 2025, vol. 321, no. 1, pp. 330-343
DOI : https://doi.org/10.1016/j.ejor.2024.09.036
CHIBANE, M., P. SIX, "Dynamic Asset Allocation and Consumption with the Indirect Utility Function.", Finance Research Letters, Juillet 2024, vol. 65, 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 : https://doi.org/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
SIX, P., "Strategic commodity allocation", Quantitative Finance, Septembre 2014, vol. 15, no. 1, pp. 131-150
DOI : 10.1080/14697688.2014.951386
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., "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