Florian IELPO

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

Professional Activities

Oct. 2008 - onward: Pictet & Cie. Econometrician for Fixed Income Securities.
May 2005 - Sept. 2008: Dexia SA. Quantitative Strategy for Fixed Income Securities.

Education

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 Buisiness.
French "agrégation d'économie et gestion". Ranked 4th.

Publications

Further Evidence on the Impact of News on the Interest Rates, with D. Guégan. Forthcoming in Frontiers in Finance and Economics. WP version (SSRN).

Understanding the importance of the timing and the size of the variations the Fed's target rate, with Dominique Guégan, Forthcoming in the ICFAI Journal of Monetary Economics (Aug. 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. Forthcoming in Energy Policy. 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) SPRING 2008. WP version (IDEAS).

Yield curve reaction to macroeconomic news in Europe : disentangling the US in influence, with Marie Brière. Forthcoming 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

Hedging (Co)Variance Risk with Variance Swaps, with J. da Fonseca and M. Grasselli. (SSRN).

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

Option pricing under GARCH models with Generalized Hyperbolic innovations, with D. Guégan and Ch. Chorro (IDEAS and IDEAS).

Smiled Dynamics of the Smile, with G. Simon (SSRN).

Further Evidence on the Impact of News on the Interest Rates, with D. Guégan (SSRN).

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).

MMMEF - Paris I Sorbonne (here) : Simulation and Asset Pricing. Slides (PDF) and Computer class notes (PDF).

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