Mail: florian.ielpo[@]ensae.org
http://ielpo.ensae.net
My
SSRN webpage: here
My
IDEAS webpage: here
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.
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.
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. Chorro. Forthcoming 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).
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)
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. Data. Other
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