Research Interests | [haut] |
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Financial Econometrics, Asset Pricing, Dynamic Term Structure Models
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Biography |
Education | [haut] |
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2006 - Paris Dauphine University (France)
Ph. D. in Applied Mathematics
Supervisor : Alain Monfort
Thesis : Discrete Time Factor Models for Asset Pricing
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2003 - University Ca’ Foscari of Venice (Italy)
Ph. D. in Economics
Supervisor : Monica Billio
Thesis : Discrete Time Pricing Models with Latent Variables
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2002 - Paris Dauphine University (France)
Master in Mathematics Applied to Economics and Finance (DEA MASE)
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Publications | [haut] |
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”Regime Switching and Bond Pricing” (Christian Gourieroux, Alain Monfort and Jean-Paul Renne, The Journal of Financial Econometrics, 2014, Vol. 12, No. 2, 237-277 (Invited Lecture, SoFiE, Oxford, June 20th, 2012)).
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"No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth" (with Caroline Jardet and Alain Monfort, The Journal of Banking and Finance, 2013, Vol. 37, 389-402)
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"Asset Pricing with Second-Order Esscher Transforms" (with Alain Monfort, The Journal of Banking and Finance, 2012, Vol. 36, 1678-1687)
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"Econometric Asset Pricing Modelling" (with Henri Bertholon and Alain Monfort, Journal of Financial Econometrics, 2008, Vol. 6, No. 4, 407-458)
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“Switching VARMA Term Structure Models” (with Alain Monfort, Journal of Financial Econometrics, 2007, Vol. 5, No. 1)
WORKING PAPERS
Online Appendix (REVISED MARCH 2012) available here.
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Teaching | [haut] |
ESSEC BUSINESS SCHOOL
MSTF
Fall 2015
Fixed Income and Credit Risk
Syllabus available here
TOULOUSE SCHOOL OF ECONOMICS
Master 2 - Financial Markets and Intermediaries
Spring 2014
Financial Econometrics
Syllabus available here (updated)
Lecture 1
Basic Concepts in No-Arbitrage Asset Pricing (useful for Lectures 2 and 3)
Lecture 2 (updated)
Lecture 3 (updated)
Lecture 4 (updated)
UNIVERSITY OF LAUSANNE
Faculté des Hautes Etudes Commerciales (HEC)
Master of Science in Finance - Fall 2009 - Fall 2010 - Fall 2011 - Fall 2012
Fixed Income and Credit Risk (Assistant: Roberto Marfè)
Syllabus available here
Course Website
ST. GALLEN UNIVERSITY
Ph.D. Programme in Economics and Finance (PEF) - Spring 2011
No-Arbitrage Discrete-Time Asset Pricing
Syllabus available here
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Other | [haut] |
MY OTHER WEBPAGES
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Banque de France ( link )
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SSRN ( link )
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IDEAS Repec ( link )
OTHER AFFILIATIONS
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Econometric Society, American Finance Association (AFA), Western Finance Association (WFA), Euro Area Business Cycle Network (EABCN), The Society for Financial Econometrics (SoFiE).
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