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Elise Gourier
Elise Gourier
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Title
Cited by
Cited by
Year
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
C Bardgett, E Gourier, M Leippold
Journal of Financial Economics 131 (3), 593-618, 2019
1832019
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
C Bardgett, E Gourier, M Leippold
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2296826, 2013
183*2013
Quadratic variance swap models
D Filipović, E Gourier, L Mancini
Journal of Financial Economics 119 (1), 44-68, 2016
1132016
Operational risk quantification using extreme value theory and copulas: from theory to practice
D Abbate, E Gourier, W Farkas
Journal of Operational Risk 3, 2009
862009
Operational risk quantification using extreme value theory and copulas: from theory to practice
D Abbate, E Gourier, W Farkas
Journal of Operational Risk 3, 2009
862009
Pricing of idiosyncratic equity and variance risks
E Gourier
Unpublished manuscript, ESSEC Business School, 2016
302016
A two-factor cointegrated commodity price model with an application to spread option pricing
W Farkas, E Gourier, R Huitema, C Necula
Journal of Banking & Finance 77, 249-268, 2017
202017
Valuation of Options on Discretely Sampled Variance: A General Analytic Approximation
G Drimus, W Farkas, E Gourier
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1700151, 2015
122015
Capital commitment
E Gourier, L Phalippou, M Westerfield
Centre for Economic Policy Research, 2022
82022
How alternative are private markets?
WN Goetzmann, E Gourier, L Phalippou
Proceedings of Paris December 2019 Finance Meeting EUROFIDAI-ESSEC, 2018
72018
A Greenwashing Index
E Gourier, H Mathurin
Available at SSRN 4715053, 2024
2024
Online Appendix Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
C Bardgett, E Gourier, M Leippold
2018
A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
C Necula, E Gourier, R Huitema, W Farkas
Swiss Finance Institute Research Paper Series, 2016
2016
The Impact of Cointegration on Commodity Spread Options
W Farkas, E Gourier, R Huitema, C Necula
Innovations in Derivatives Markets: Fixed Income Modeling, Valuation …, 2016
2016
Libor Market Model: How to account for the Crisis?
E Gourier
Affine and Quadratic Models for Volatility and Interest Rates Markets, 127, 2013
2013
Affine and quadratic models for volatility and interest rates markets
E Gourier
University of Zurich, 2013
2013
Les aléas de l’évaluation des risques
W Farkas, E Gourier
Le Temps Media, 2010
2010
Zukunft liegt in der Vergangenheit
W Farkas, E Gourier
Axel Springer Schweiz, 2009
2009
The Journal of Operational Risk Volume 4/Number 3, Fall 2009
E Gourier, W Farkas, D Abbate
2009
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Articles 1–19