Phone: +44 20 7882 8049
Office hours: Wednesdays 15:30 - 17:30
Elise Gourier is a Lecturer in Finance at Queen Mary University of London.
Her research lies at the intersection of empirical asset pricing, financial econometrics and mathematical modelling. In her work, Elise has developed parametric models which, once estimated using market data, were applied to infer dynamic optimal portfolio strategies, to compare features of different market and to analyse the behaviour of risk premia.
Before joining Queen Mary University of London, Elise worked as a postdoctoral fellow at Princeton University. She got her PhD from the Swiss Finance Institute at the University of Zurich.
One external student: Pascal Marco Caversaccio (University of Zurich)
Quadratic Variance Swap Models, with Damir Filipovic and Loriano Mancini. Forthcoming in the Journal of Financial Economics.
Valuation of options on discretely sampled variance: A general analytic approximation, with Gabriel Drimus and Walter Farkas, 2014. Forthcoming in the Journal of Computational Finance
Quantification of Operational Risk using Extreme-Value Theory and Copulas : From Theory to Practice, with Donato Abbate and Walter Farkas. Journal of Operational Risk, 4(3), Fall 2009.