Jean-David FERMANIAN
Grade : Administrateur hors classe (ENSAE)
Bureau: E39
Timbre: J120
Lieu: (MK1)
Labo: LFA
Téléphone : 0141176538
Mail : jean-david.fermanian[arrowbase]ensae.fr
Research Interests | [haut] | |
Financial econometrics, dependence modelling, risk management, credit derivatives
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Biography | ||
Education | [haut] | |
Habilitation à Diriger les Recherches (2009)
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Jobs | [haut] | |
Professor of Finance and Statistics, ENSAE (2009-) | ||
Publications | [haut] | |
Publications in Statistics and financial econometrics
Publications in Economics
"La durée du travail à temps complet", with M-P. Baésa, Insee Première 545 (1997)
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Teaching | [haut] | |
Courses at ENSAE :· Estimation and an introduction to the theory of tests (2nd year),· Duration Models (3rd year): pdf version, or ps version.· Nonlinear Econometrics (3rd year)- Introduction to Risk Management (3rd year)- Copulas and Applications in Finance (3rd year)- Credit Derivatives (3rd year) | ||
Work in progress | [haut] | |
"Dynamic asset correlations based on vines" (2015), with Benjamin Poignard."Agents' behavior on Multi-Dealer-to-Client bond trading platforms" (2015), with Olivier Guéant and Arnaud Rachez."Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series" (2017), with A. Bücher and I. Kojadinovic.
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