Florian IELPO

Mail: florian.ielpo[@]ensae.org
http://ielpo.ensae.net
My SSRN webpage: here
My IDEAS webpage: here

Professional Activities

Dec. 2010 - Sept. 2011: Lombard Odier Investment Management. Strategist.
Oct. 2008 - Nov. 2010: Pictet & Cie. Econometrician for Fixed Income Securities.
May 2005 - Sept. 2008: Dexia SA. Quantitative Strategy for Fixed Income Securities.

Education

Research fellow, Sorbonne University, Paris, France. 2010 onward.
PhD in Financial Econometrics, University Paris 1 Sorbonne.
School of Statistics and Economic Administration (ENSAE), Paris, M.A. in statistics (Major: finance).
Member of the French Institute of Actuaries.
Ecole Normale Supérieure de Cachan, French "Grande Ecole". M.A. in Economics and M.A. in Business.
French "agrégation d'économie et gestion". Ranked 4th.

Publications

Equity, Credit and the Business Cycle. Forthcoming in Applied Financial Economics. (SSRN)

Forecasting the European Credit Cycle using Macroeconomic Variables. Forthcoming in the Journal of Forecasting. (SSRN)

Hedging (Co)Variance Risk with Variance Swaps, with J. da Fonseca and M. Grasselli. Forthcoming in the International Journal of Theoretical & Applied Finance. WP version (SSRN).

Option pricing under GARCH models with Generalized Hyperbolic innovations, with D. Guégan and Ch. ChorroForthcoming in Quantitative Finance. WP part #1 and WP part #2, IDEAS. WP version (SSRN).  

Mean-reversion Properties of Implied Volatilities, previously "Smiled Dynamics of the Smile", with G. Simon. Forthcoming in the European Journal of Finance. WP version, SSRN.

Martingalized Historical approach for Option Pricing, with D.Guégan and Ch. Chorro. Financial Research Letters, vol. 7(1), pages 24-28, 2010. WP version (IDEAS).

Further Evidence on the Impact of News on the Interest Rates, with D. Guégan. Frontiers in Finance and Economics, vol. 6(2), pages 1-45, October 2009.WP version (SSRN).

Understanding the importance of the timing and the size of the variations the Fed's target rate, with D.Guégan, the ICFAI University Journal of Monetary Economics, vol. 7(3-4), pages 44-72, August 2009. WP version (SSRN).

Risk Aversion and Institutional Information Disclosure on the European Carbon Market: a Case-Study of the 2006 Compliance Event, with Julien Chevallier and Ludovic Mercier. Energy Policy, vol. 37(1), pages 15-28, January. WP version (SSRN). 

Flexible Time Series Models for Subjective Distribution Estimation with Monetary Policy in View, with Dominique Guegan. Brussels Economic Review. vol. 51(1), pages 74-104, SPRING 2008. WP version (IDEAS).

Yield curve reaction to macroeconomic news in Europe : disentangling the US in influence, with Marie Brière. in Stavarek, Daniel and Stanislav Poloucek (eds). 2008. Consequences of the European Monetary Integration on Financial Markets. Newcastle: Cambridge Scholars Publishing. WP version (SSRN).

Working Papers

Estimating the Wishart Affine Stochastic Correlation (WASC) model using the Empirical Characteristic Function, with J. da Fonseca and M. Grasselli. (SSRN).

Do Jumps Help in Forecasting the Density of Returns?, with J. Chevallier and B. Sévi. (SSRN).

Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes, with Ch. Chorro and D. Guégan. (SSRN)

Forward Rates, Monetary Policy and the Business Cycle (SSRN)

Option Pricing with Discrete Time Jump Processes, with D. Guégan and H. Lalaharison (SSRN)

NEW: The Number of  Regimes Across Asset Returns: Identification and Economic Value, with M. Gatumel. (SSRN)

Teaching

MMMEF - Paris I Sorbonne (here) : Simulation and Asset Pricing. Slides (PDF) and Computer class notes (PDF).  Project to complete 2010 (PDF). Project to complete 2011 updated (PDF, Data).

Master IEF - Université Paris-Dauphine (here) :  Investment Strategy and Macroeconomics. 

Master IEF - Université Paris-Dauphine (here) :  Commodity finance. DataOther

Past teaching

Ecole Supérieure d'Ingénieur Léonard de Vinci (here)
    Financial Econometrics : booklet (PDF) in french.
    Introduction to Fixed Income Securities : booklet (PDF) in french.
    Asset Liabilities Management : slides (PDF) in french.

Ecole Nationale de la Statistique et de l'Administration Economique (here) : Financial Econometrics (Computer classes).

Master IEF - Université Paris-Dauphine (here) : Quantitative Asset Allocation (PDF).

Padova university. Portfolio Management. PDF 

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