Master’s Degree in Mathematics, Mention Très Bien University Pierre et Marie Curie
Master’s Degree in Atomic and Nuclear Physics, Mention Très Bien University Pierre et Marie Curie
Doctoral education
Agrégation de Mathématiques
Doctorate in Mathematics (Probability Theory), Mention Très Honorable avec les Félicitations du Jury, University Pierre et Marie Curie
“Contribution à l’Etude des Convergences Stochastiques des Mesures Aléatoires”
Doctorate in Finance, Mention Très Honorable avec les Félicitations du Jury Université Panthéon-Sorbonne
“Une Approche Probabiliste de la Structure par Termes des Taux d’Intérêt”
Habilitation à diriger des Recherches en Finance, University Panthéon-Sorbonne
Agrégation des Universités en Sciences de Gestion
Positions held
2006–present, Professor of Mathematical Finance, Birkbeck, University of London - Director, Commodity Finance Centre
2011–present, Research Professor at Johns Hopkins University
1996–2006, Professor of Finance at the University Paris Dauphine - Director of DESS 203
1993–1996, Professor of Finance at ESSEC Graduate Business School, Chair of the Finance Department
Summer 1993, Visiting Researcher at ETH, Zurich
1988–1992, Head of Research, Caisse des Dépôts, Paris
Editorial activities
Associate Editor, Journal of Energy Markets
Associate Editor, Journal of Financial Services Research
Associate Editor, Journal of Alternative Investments
Was previously on the editorial board of the Journal of Banking and Finance, Geneva Papers on Insurance, Mathematical Finance, and Applied Mathematical Finance
Books
“Agricultural Finance: From Crops to Land, Water and Infrastructure”, January 2015, Wiley Finance
“Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy”, July 2008, Wiley Finance
“Commodities and Commodity Derivatives: Pricing and Modeling Agricultural, Metals and Energy”, January 2005, Wiley Finance
Co-editor of “Selected Publications from the Bachelier World Congress, Paris 2000”, Springer Verlag, 2001
“Weather and Insurance Derivatives” Publisher: RISK Books, 1999
Publications
“On Rarity Premium and Ownership Yield in Art” (with T. Velez), 2015, Journal of Alternative Investments
“Revisiting Uncertainty and Price Forecast Indicators in Corn and Wheat Markets” (with P. Vergel), 2015, Journal of Agricultural Extension and Rural Development
Live Cattle as a New Frontier in Commodity Markets (with P. Vergel), 2015, Journal of Agriculture and Sustainability
“Investing in Fertilizer Mining Companies in Times of Food Scarcity” (with P. Vergel), 2014, Resources Policy
“On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market” (with G. Baroneadesi and J. Theal), 2014, International Journal of Financial Engineering and Risk Management
“Mispricing and Trading Profits in ETNs” (with L. Thukral et al.), 2014, Journal of Investing
“A Daily Trading Strategy in the ETN Space” (with L.Thukral et al.), Summer 2013, Journal of Trading
“Theory of Storage, Inventory and Volatility in the LME Base Metals” (with W.O. Smith), 2013, Resources Policy
“Are ETNs realizing their potential? An empirical investigation of ETNs vs. other exchange traded products in the precious metals space” (with L. Thukral), 2012, Journal of Index Investing
“Commercial Real Estate Inventory and Theory of Storage” (with R. Tunaru), 2012, Journal of Futures Markets
“Seasonality in Cocoa Spot and Forward Markets: Empirical Evidence” (with S. Sarfo), 2012, Journal of Agricultural Extension and Rural Development
“Shipping Markets and Freight Rates: An Analysis of the Baltic Dry Index” (with W.O. Smith), 2012, Journal of Alternative Investments
“Price Volatility in Storable Commodity Markets: Speculation or Scarcity?”, 2011, Swiss Derivatives Review
“Distortion Risk Measures for Hedge Funds”, (with C. Kharoubi), 2011, Journal of Risk Management for Financial Institutions
“Commodities and Numéraire” (with Y. Shih), 2010, Encyclopedia of Quantitative Finance, Wiley Publisher.
“Realized Variance Options and Convex Orders” (with P. Carr, D. Madan and M. Yor), 2010, Quantitative Finance
“On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market”, 2009, Swiss Finance Institute Research Paper
“On Pricing Risky Loans and Collateralized Fund Obligations” (with E. Eberlein and D. Madan), 2009, Journal of Credit Risk
“Forward Curves, Scarcity and Price Volatility in Oil and Natural Gas Markets” (with S. Ohana), 2009, Energy Economics
“Modelling Electricity Prices with Forward Looking Capacity Constraints” (with A. Cartea and M. Figueroa), 2009, Applied Mathematical Finance
“Modeling Commodity Prices under the CEV model” (with Y. Shih), Winter 2009, Journal of Alternative Investments
“WTI crude oil Futures in portfolio diversification : The time-to-maturity effect” (with C. Kharoubi), 2008, Journal of Banking and Finance
“Valuation of default-sensitive claims under imperfect information” (with D. Coculescu and M. Jeanblanc), 2008, Finance and Stochastics
“Correlations and the Pricing of Risks” (with M. Atlan, D. Madan and M. Yor), 2008, Annals of Finance
“A lattice-based Method for the Pricing of Energy Derivatives in the Threshold Model” (with S. Kourouvakalis), 2008, Applied Mathematical Finance
“Seasonal and Stochastic Features in Commodity Forward Curves” (with S. Borovkova), 2008, Review of Derivative Research
“Time Consistency in Managing Commodity Portfolio: A Dynamic Risk Measure Approach”, (with S. Ohana), 2008, Journal of Banking and Finance
“Water as a Next Commodity” (with A. Kanyinda), 2007; Journal of Alternative Investments
“Mean Reversion versus Random Walk in Oil and Natural Gas Prices”, 2007, Advances in Mathematical Finance, Birkhäuser Boston
“Correlations and the Pricing of Risks” (with M. Atlan, D. Madan and M. Yor), 2007, Annals of Finance
“Self Decomposition and Option Pricing (with P. Carr, D. Madan and M. Yor), 2007, Mathematical Finance
“Analysis and Modelling of Electricity Futures Prices” (with S. Borovkova), 2006, Studies in Nonlinear Dynamics & Econometrics
“Stochastic Clock and Financial Markets”, 2006, Actes du Colloque de l’Académie des Sciences, février 2005
“Understanding the Fine Structure of Electricity Prices” (with A. Roncoroni), 2006, Journal of Business
“Risk in Returns: A Pure Jump Perspective” (with D. Madan), 2005, in Exotic Option Pricing and Advanced Lévy Models, Wiley
“Energy Commodity Prices: Is Mean-Reversion Dead?”, 2005, Journal of Alternative Investments
“From Measure Changes to Time Changes in Asset Pricing”, 2005, Journal of Banking and Finance
“Pricing Options on Realized Variance”, (with P. Carr, D. Madan and M. Yor), 2005, Finance and Stochastics
“Soybean inventory and forward curves dynamics” (with V. Nguyen), 2005, Management Science
“From Local Volatility to Local Lévy Models” (with P. Carr, D. Madan and M. Yor), 2004, Quantitative Finance
“Pricing in Incomplete Markets: From Absence of Good Deals to Acceptable Risk” (with D. Madan), 2004, in Risk Measures for the 21st Century, Wiley
“Hedge Funds: A Copula Approach for Risk Management” (with C. Kharoubi), 2004, in Risk Measures for the 21st Century, Wiley
“Stochastic Volatility for Lévy Processes” (with P. Carr, D. Madan and M. Yor), 2003, Mathematical Finance
“Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification” (with C. Kharoubi), 2003, Journal of Risk
“Le Financement des Risques Catastrophiques”, 2003, Risques
“Pure Jump Lévy Processes for Asset Price Modelling”, 2002, Journal of Banking and Finance
“The Fine Structure of Asset Returns : An Empirical Investigation” (with P. Carr, D. Madan and M. Yor), 2002, Journal of Business
“Stochastic Volatility, Jumps and Hidden Time Changes” (with D. Madan and M. Yor), 2002, Finance and Stochastics
“Time Changes, Laplace Transforms and Path-Dependent Options”, 2001, Computational Economics
“Forward and Futures Contracts on Non-Storable Commodities: The Case of Electricity” (with O. Vasicek), 2001, RISK
“Les Options à Sous-Jacent Exotique : Le Cas des Dérivés Climatiques”, 2001, Banque & Marchés, Juillet-Août
“Spot and Derivatives Trading in Deregulated European Electricity Markets “, 2001, Revue Economies et Sociétés
“Pricing and Hedging in Incomplete Markets” (with P. Carr and D. Madan), 2001, Journal of Financial Economics
“Functionals of Brownian Motion in Finance and Insurance”, 2001, Chapter of the book Exponentials of Brownian Motion and Related Processes, Springer,
“Time Changes for Lévy Processes” (with D. Madan and M. Yor), 2001, Mathematical Finance
“The Bermuda Triangle: Electricity, Weather and Insurance Derivatives”, 2000, Journal of Alternative Investments
“On the Role of State Variables in Interest Rate Models” (with N. El Karoui and V. Lacoste), 2000, Applied Stochastic Models in Business and Industry
“From Bachelier and Lundberg to Insurance and Weather Derivatives”, 2000, Mathematical Physics Studies, Kluwer Publishers
“Asset Prices are Brownian Motion: only in Business Time” (with D. Madan and M. Yor), 2000, Chapter of the book Quantitative Analysis in Financial Markets, World Scientific Publishing Company
“Order Flow, Transaction Clock and Normality of Asset Returns” (with T. Ané), 2000, The Journal of Finance
“Fundamentals of Electricity Derivatives”, 1999, Chapter of the book “Energy Modelling and the Management of Uncertainty”, RISK Books
“Stochastic Volatility and Transaction Time: An Activity-Based Volatility Estimator”, 1999, The Journal of Risk, Vol. 2, N° 1, (with T. Ané)
“Learning about Risk: Some Lessons from Insurance”, 1998, European Finance Review
“Pricing Power Derivatives”, 1998, RISK, October, (with A. Eydeland)
“De Bachelier à Black-Scholes-Merton”, 1998, Gazette des Mathématiciens (Janurary) and Bulletin Français d’Actuariat, April
“On the Behavior of the Long Term Rate in a No Arbitrage Framework”, 1998, Review of Derivatives Research, (with N. El Karoui, A. Frachot)
“Risques Catastrophiques, Risque d’Assurance et Marchés Financiers”, 1997, Annales des Ponts et Chaussées, 84
“Stochastic Time Changes and Catastrophe Option Pricing”, 1997, Insurance: Mathematics and Economics, 542, (with M. Yor)
“Portfolio Optimization and Contingent Claim Pricing With Differential Information”, 1997, Stochastics and Stochastics Reports, Vol. 60, (with R. Elliott and B. Korkie)
“Some Combinations of Asian, Parisian and Barrier Options”, 1997, Mathematics of Derivative Securities, ed. by Dempster and Pliska, Cambridge University Press, (with M. Chesney, M. Jeanblanc, M. Yor)
“No Arbitrage Between Economies and Correlation Risk Management”, 1997, Computional Economics, 10, (with R. Souveton)
“Insurance, Risk Securitization and Derivatives”, 1997, Bank of Tokyo, Mitsubishi Risk Directory
“Pricing and Hedging Double-Barrier Options: a Probabilistic Approach”, 1996, Mathematical Finance, Vol. 6/4, (with M. Yor)
Reprinted in the book “Currency Derivatives”, editor David DeRosa
“Stochastic Subordination”, 1996, RISK, September, (with T. Ané)
“Insurance Risk Securitization and CAT Insurance Derivatives”, 1996, Financial Derivatives and Risk Management, September
“Les Instruments Dérivés pour l’Industrie d’Assurance”, 1996, Analyse Financière, Mars
“La Gestion Actif-Passif dans les Compagnies d’Assurance : l’Exemple de l’Option de Rachat Anticipé”, septembre 1995, Transactions of the 25th Annual Colloquium of the International Association of Actuaries, (with M.O. Albizzati, F.M. Durand)
“Changes of Numéraire, Changes of Probability Measures and Option Pricing” June 1995, Journal of Applied Probablity. (with N. El Karoui, J.C. Rochet)
Reprinted in the book “From Vasicek and Beyond”, editor Lane Hughston
“Domino Effect: Inverting the Laplace Transform”, 1995, RISK, April. (with A. Eydeland)
Reprinted in the book “Over the Rainbow”, 1995, editor Robert Jarrow
“Pricing Catastrophe Futures Contracts and Call Spreads: An Arbitrage Approach”, March 1995, Journal of Fixed Income (with D. Cummins)
Reprinted in the book “The Strategic Dynamics of the Insurance Industry”, 1996, editors E. Altman and I. Vanderhoof
“Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies”, 1994, Journal of Risk and Insurance. Vol. 13, N°2, (with M.O. Albizzati)
“CAT Calls”, 1994, RISK, Vol. 7, N°9
Reprinted in the book “Over the Rainbow”, 1995, editor Robert Jarrow
“An Asian Option Approach to the Valuation of Insurance Futures Contracts”, 1994, Review of Futures Markets, Vol. 13, N°2. (with D. Cummins)
“A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps”, 1994, Advances in Options and Futures Research. (with N. El Karoui)
“Valuation of the Roll-Over Option in Guaranted Insurance Contracts”, 1994, AFIR Colloquium Proceedings (with M. Vareilles)
“Bessel Processes, Asian Options and Perpetuities”, 1993, Mathematical Finance, (with M. Yor)
“The French Notional Futures Contract in Risk/Return Management”, International Review of Financial Analysis, 1993, Vol 23, N°1. (with T. Schneeweis)
“Risky Pension Benefits in an Overlapping Generations Model”, 1992, with Y. Balasko, University of Geneva Working Paper
“La prise en compte de la pratique des marchés dans la modélisation probabiliste en finance”, 1992, Journal de la Société Statistique de France, N° 4
“Portfolio Insurance and Synthetic Securities”, 1992, Applied Stochastic Models and Data Analysis
“Processus de Bessel, Options Asiatiques et Fonctions confluentes hypergéométriques”, 1992, Note aux Comptes Rendus de l’Académie des Sciences (with M. Yor)
“The Effectiveness of the CAC 40 Futures Contract”, Chapter of the book “Global Portfolio Diversification”, 1991, (with T. Schneeweis)
“A Stochastic Approach to the Pricing of Floating Rate Notes”, 1991, RISK, Vol.4 (with N. El Karoui)
“Trading/Non Trading Time Effects in the French Futures Markets”, 1991, Journal of Accounting, Auditing and Finance (with T. Schneeweis)
“Une analyse générale du risque de taux : une approche approfondie” décembre, 1990, Analyse Financière n°83. (with T. d’Archimbaud, R. Portait)
“Une Analyse par Arbitrage des Instruments à Taux Variable et à Taux Révisable”, 1990, AFIR Colloquium Proceedings (with T. d’Archimbaud and R. Portait)
“Problèmes conceptuels dans l’évaluation des outils ALM pour les institutions financières”, avril 1990, La Synthèse Financière
“Une analyse générale du risque de taux : une approche simplifiée”, mars 1990, Analyse Financière n° 80. (with T. d’Archimbaud, R. Portait)
“A Framework for Interest Risk Analysis and Portfolio Management”, 1989, American Stock Exchange Colloquium Proceedings. (with R. Portait)
“L’Importance de la Probabilité Forward Neutre dans une Approche Stochastique des Taux d’Intérêt”, 1989, ESSEC Working Paper (Univ. Panthéon Sorbonne PhD Dissert)
“Interest Rate Risk Management : Beyond Duration and Convexity”, 1988, Caisse des Dépôts Technical Report
“Modélisation probabiliste de la structure par termes des taux d’intérêt”, 1988, Annales de l’Institut Henri Poincaré