Academic Vita

Graduate education

• Ecole Normale Supérieure (Section Mathematics)
• 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
• “Alternative Approaches to Weather Derivative Valuation” (with M.P Leonardi), 2005, Managerial Finance
• “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