Jean-David FERMANIAN
Grade : Administrateur hors classe (ENSAE)
Mail : jean-david.fermanian[arrowbase]ensae.fr
Research Interests | [haut] | |
Financial econometrics, dependence modelling, risk management, credit derivatives, financial applications of machine learning
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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, financial econometrics and finance
Publications in Economics
Other publications
My thesis"Contributions à l'Analyse Nonparamétrique des Fonctions de Hasard sur Données Multivariées et Censurées",Thesis, 1998.
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Teaching | [haut] | |
Past and current 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)- Machine learning for finance (3rd year)
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Work in progress | [haut] | |
"Agents' behavior on Multi-Dealer-to-Client bond trading platforms" with O. Guéant and A. Rachez (2015)."Estimation of copulas via Maximum Mean Discrepancy", with P. Alquier, B. Cherief-Abdelatif, A. Derumigny (2020) arXiv:2010.00408"Identifiability and estimation of meta-elliptical copula generators", with A. Derumigny (2021) arXiv:2106.12367"Testing for equality between conditional copulas given discretized conditioning events", with A. Derumigny and A. Min (2021) arXiv:2008.09498
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"Le centre de la Recherche en Économie et Statistique ne peut être tenu responsable pénalement des infractions aux lois que pourrait contenir cette page personnelle qui est sous la responsabilité de son auteur." |