Elise Gourier
Thesis
| Thesis Title: | Affine and Quadratic Models for Volatility and Interest Rates Markets |
| Thesis Advisor: | Prof. Markus Leippold |
| Year of Graduation: | 2013 |
Next Employment
Queen Mary University of London
Research Papers
- Damir Filipovic, Elise Gourier and Loriano Mancini: Quadratic Variance Swap Models, 2013, Swiss Finance Institute Research Paper No. 13-06
- Chris Bardgett, Elise Gourier and Markus Leippold: Inferring Volatility Dynamics and Risk Premia from the S and P 500 and VIX Markets, 2013, Swiss Finance Institute Research Paper No. 13-40
Publications
- Donato Abbate, Elise Gourier and Walter Farkas: Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice, 2009, Journal of Operational Risk