Mail: florian.ielpo[@]ensae.org
http://ielpo.ensae.net
My
SSRN webpage: here
My
IDEAS webpage: here
Oct. 2008 - onward: Pictet & Cie. Econometrician for
Fixed Income Securities.
May 2005 - Sept. 2008: Dexia SA.
Quantitative Strategy for Fixed Income Securities.
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.
Martingalized Historical approach for Option Pricing, with D.Guégan and Ch. Chorro. Forthcoming in Financial Research Letters. 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).
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).
MMMEF - Paris I Sorbonne (here)
: Simulation and Asset Pricing. Slides (PDF)
and Computer class notes (PDF).
Dataset (CSV). Project to
complete (PDF)
Padova university.
Portfolio Management. PDF XLS
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
ACE - Université Paris-Dauphine (here)
: Quantitative Asset Allocation (PDF).
