Elise Gourier

ESSEC Business School

Assistant Professor

3 avenue Bernard Hirsch

Cergy-Pontoise, 95021

France

http://www.elisegourier.com

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 11,422

in Total Papers Citations

58

CROSSREF CITATIONS

61

Scholarly Papers (6)

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Swiss Finance Institute Research Paper No. 13-40
Number of pages: 75 Posted: 26 Jul 2013 Last Revised: 22 Dec 2016
Chris Bardgett, Elise Gourier and Markus Leippold
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich
Downloads 1,019 (35,417)
Citation 31

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S&P 500 and VIX joint modeling, option pricing, particle

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 04 Jun 2016 Last Revised: 18 Jan 2021
Chris Bardgett, Elise Gourier and Markus Leippold
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich
Downloads 210 (231,701)
Citation 27

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S&P 500 and VIX joint modeling, volatility dynamics, particle filter, variance risk premium

2.

Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice

Journal of Operational Risk, 3 (2009), 1--24.
Number of pages: 30 Posted: 15 Jul 2008 Last Revised: 27 Nov 2013
Donato Abbate, Elise Gourier and Walter Farkas
Deloitte AG, Risk and Performance Management Group, ESSEC Business School and University of Zurich - Department of Banking and Finance
Downloads 1,180 (29,113)
Citation 9

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Extreme Value Theory, Copula Theory, Value-at-Risk, Sub-additivity, Coherence

3.

Quadratic Variance Swap Models

Journal of Financial Economics, Forthcoming
Number of pages: 77 Posted: 23 Mar 2013 Last Revised: 20 Dec 2014
Damir Filipović, Elise Gourier and Loriano Mancini
Ecole Polytechnique Fédérale de Lausanne, ESSEC Business School and Università della Svizzera italiana (USI Lugano)
Downloads 1,020 (35,879)
Citation 5

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stochastic volatility, variance swap, quadratic term structure, quadratic jump-diffusion, dynamic optimal portfolio

4.
Downloads 589 (75,145)

Capital Commitment

Netspar Discussion Paper No. 06/2014-035
Number of pages: 78 Posted: 02 Sep 2014 Last Revised: 12 Jan 2022
ESSEC Business School, University of Oxford - Said Business School and University of Washington
Downloads 586 (74,712)

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Capital commitment, private equity, commitment risk, liquidity premium

Capital Commitment

CEPR Discussion Paper No. DP16910
Number of pages: 81 Posted: 14 Feb 2022
ESSEC Business School, University of Oxford - Said Business School and University of Washington
Downloads 3 (1,002,311)
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Capital commitment, commitment risk, liquidity premium, private equity

Valuation of Options on Discretely Sampled Variance: A General Analytic Approximation

The Journal of Computational Finance, Forthcoming
Number of pages: 33 Posted: 04 Nov 2010 Last Revised: 10 Aug 2014
Gabriel G. Drimus, Walter Farkas and Elise Gourier
Institute of Banking and Finance, University of Zürich, University of Zurich - Department of Banking and Finance and ESSEC Business School
Downloads 514 (87,707)
Citation 3

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options on realized variance, variance swaps, stochastic volatility, Monte Carlo

Valuation of Options on Discretely Sampled Variance: A General Analytic Approximation

Journal of Computational Finance, Vol. 20, No. 2, 2016
Number of pages: 28 Posted: 14 Jun 2016
Gabriel G. Drimus, Walter Farkas and Elise Gourier
Institute of Banking and Finance, University of Zürich, University of Zurich - Department of Banking and Finance and ESSEC Business School
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options on realized variance, variance swaps, stochastic volatility, discrete sampling, numerical pricing methods

6.

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing

Journal of Banking and Finance, 77, 249-268, (2017), Swiss Finance Institute Research Paper No. 15-54
Number of pages: 41 Posted: 25 Oct 2015 Last Revised: 16 Oct 2020
University of Zurich - Department of Banking and Finance, ESSEC Business School, University of Zurich - Department of Banking and Finance and Bucharest University of Economic Studies, Department of Money and Banking
Downloads 440 (106,831)
Citation 2

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Commodities, Cointegration, Futures, Option Pricing, Spread Options, Spark Spread, Crack Spread