Elise Gourier

ESSEC Business School

Assistant Professor

3 avenue Bernard Hirsch

Cergy-Pontoise, 95021

France

http://www.elisegourier.com

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SCHOLARLY PAPERS

5

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3,787

SSRN CITATIONS

23

CROSSREF CITATIONS

61

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Scholarly Papers (5)

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1.

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

Downloads 1,030 ( 22,834)

Citation 33

2

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 - Department of Banking and Finance

Downloads 889 (27,827)

Citation 14

Abstract:

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: 02 Feb 2017

Chris Bardgett, Elise Gourier and Markus Leippold

University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich - Department of Banking and Finance

Downloads 141 (223,697)

Citation 21

Abstract:

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 986 (24,353)

Citation 8

Abstract:

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 USI Lugano - Institute of Finance

Downloads 937 (26,178)

Citation 4

Abstract:

4.

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

Downloads 462 ( 66,994)

Citation 5

2

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 462 (66,328)

Citation 3

Abstract:

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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Abstract:

5.

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

Journal of Banking and Finance, Forthcoming, Swiss Finance Institute Research Paper No. 15-54

Number of pages: 41 Posted: 25 Oct 2015 Last Revised: 26 Jan 2017

Walter Farkas, Elise Gourier, Robert Huitema and Ciprian Necula

University of Zurich - Department of Banking and Finance, ESSEC Business School, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance

Downloads 372 (86,640)

Citation 1

Abstract:

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