Executive Head of Research - Professor in Financial Economics
Below are some of the links I passed through during my internet research surfing time (come mainly from my papers and their reference lists, and from www.systemic-risk-hub.org, www.performance-metrics.eu, www.extreme-risk.ca and others...). Have a look...
Acharya, Viral V. Adrian, Tobias Aitken, Michael Altman, Edward I. Amini, Hamed Anand, Kartik Andreev, Andriy Anufriev, Mikhail Aoki, Kosuke Arner, Douglas Avgouleas, Emilios Barone-Adesi, Giovanni Bateman, Hazel Berkowitz, Jeremy Bernard, Carole Bianchi, Robert Bielecki, Tomasz R. Billio, Monica Blasques, Francisco Bodie, Zvi Borovkova, Svetlana A. Boucher, Christophe M. Boyarchenko, Nina Brechmann, Christian E. Breton, Régis Brownlees, Christian T. Brunnermeier, Markus K. Buss, Adrian Cai, Jian Campi, Luciano Cao, Zhili Capellini, Rob Caporin, Massimiliano Capponi, Agostino Carmona, René Casarin, Roberto Castro, Carlos A. Cheridito, Patrick Christoffersen, Peter Clerc, Laurent Colletaz, Gilbert Collin-Dufresne, Pierre Cont, Rama Corbett, Jennifer Corsi, Fulvio Corvasce, Giuseppe Crook, Jonathan Dacorogna, Michel M. Daníelsson, Jón Darolles, Serge Das, Sanjiv Davis, Philip E.
de Bandt, Olivier Derviz, Alexis Donald, Scott Duan, Jin-Chuan Duarte, Fernando Duffie, Darrell Dumas, Bernard Dungey, Mardi Eisenbach, Thomas M. Eisenberg, Larry Emm, Ekaterina E. Engle, Robert Escanciano, Juan C. Faia, Ester Farmer, Doyne J. Flood, Mark D. Fouque, Jean-Pierre Fraisse, Henri Freixas, Xavier Friedman, Jeffrey Gabbi, Giampaolo Gagliardini, Patrick Gai, Prasanna Gallegati, Mauro Gauthier, Céline Getmansky Sherman, Mila Giesecke, Kay Giglio, Stefano Glasserman, Paul Gleeson, James P. Gnabo, Jean-Yves Gofman, Michael Gossner, Olivier Gouriéroux, Christian Grasselli, Matheus R. Hackett, Adam Haldane, Andrew G. Hansen, Lars P. Harris, Jeffrey H. Hartmann, Philipp Hartmann-Wendels, T. Haubrich, Joseph G. Hautsch, Nikolaus Heam, Jean-Cyprien Helbing, Dirk Hurd, Thomas R. Hurlin, Christophe Idier, Julien Ince, Ufuk Iori, Giulia Iwanicz-Drozdowska, M. Javed, Farrukh
Jeanblanc, Monique Jin, Xisong Jobst, Andreas Jondeau, Eric Kelly, Bryan T. King, Stephen Kodres, Laura Koopman, Siem Jan Krahnen, Jan Pieter Kratz, Marie Kraus, Wladimir Krishnamurthy, Arvind Laeven, Luc Laurent, Sébastien Lautier, Delphine Lehar, Alfred Lillo, Fabrizio Linetsky, Vadim Lo, Andrew W. Lucas, André Maillet, Bertrand B. Manganelli, Simone Mantegna, Rosario N. Manzo, Gerardo Melnik, Sergey Mendicino, Caterina Menkveld, Albert J. Merton, Robert C. Mésonnier, Jean-Stéphane Monfort, Alain Moyen, Stéphane Nikolov, Kalin Nirei, Makoto Noe, Thomas Novotny, Jan Norden, Lars Nualart, Eulalia Olmo, José Olsen, Richard Pagano, Michael S. Pedersen, Lasse H. Pelizzon, Loriana Peltonen, Tuomas A. Pelster, Matthias Peña, Juan Ignacio Pérignon, Christophe Peydró, José-Luis Philippon, Thomas Podobnik, Boris Poledna, Sebastian Porter, James Puy, Damien
Ratnovski, Lev Renault, Eric Renne, Jean-Paul Rey, Hélène Richardson, Matthew Rijken, Herbert Rochet, Jean Charles Rockinger, Michael Rodríguez Moreno, María Roggi, Oliviero Sabzevari, Hassan Saunders, Anthony Savona, Roberto Scaillet, Olivier Schaumburg, Julia Scheinkman, José A. Scheule, Harry Schienle, Melanie Schwaab, Bernd Sedunov, John Siriwardane, Emil Smeekes, Stephan Smith, Roy C. Sousa, Ricardo M. Spargoli, Fabrizio Steffen, Sascha Stein, Roger Stracca, Livio Suarez, Javier Sulem, Agnès Sushko, Vladyslav Tahbaz-Salehi, Alireza Taylor, John B. Tedeschi, Gabriele Thesmar, David Thurner, Stefan Tokpavi, Sessi Tong, Hui Uppal, Raman Urga, Giovanni Van Lelyveld, Iman Van Oordt, Maarten Vardoulakis, Alexandros Vilkov, Grigory Vives, Xavier Vuillemey, Guillaume Weiß, Gregor N. F. Zhang, Xin Zhou, Chen Zigrand, Jean-Pierre
Central Banks and Regulatory Institutions
American Econ. Review Comp. S. & Data Anal. Econometric Theory Econometrica Economics Letters Eur. J. of Finance Eur. J. of Oper. Research Geneva Risk & Insur. Rev. Intl. J. of Forecasting Intl. Rev. of Econ. & Fin.
J. of Applied Econometrics J. of Applied Economics J. of Banking & Finance J. of Business & Eco. Stat. J. of Derivatives J. of Econometrics J. of Eco. Behavior & Org. J. of Eco. Dyn. & Control J. of Empirical Finance J. of Finance
J. of Fin. Economics J. of Fin. & Quant. Analysis J. of Fin. Econometrics J. of Fin. Intermediation J. of Forecasting J. of MCB J. of Portfolio Management J. of Risk J. of Risk & Insurance J. of Risk Model Validation
J. of Risk and Uncertainty Management Science Mathematical Finance Nature N. A. J. of Econ. & Fin. Quantitative Finance Review of Finance Review of Financial Studies Review of Intl. Economics Risk Analysis
Data Integrators, Fund Plateforms and Miscellaneous
General Non-governmental Organizations
Massive Open Online Courses (MOOCs)
Part one provides an introduction to various classes of derivative securities and it explains how to price them using "risk-neutral pricing". In the follow-up to this course (FE & RM Part II) it is considered portfolio optimization, risk management and more advanced examples of derivatives pricing including, for example, real options and energy derivatives.
Part two follows on from FE & RM Part I. In this part it is considered portfolio optimization, risk management and some advanced examples of derivatives pricing that draw from structured credit, real options and energy derivatives. The course will also cast a critical eye on how financial models are used in practice.
Introduction to the Black-Scholes-Merton model and other mathematical models for pricing financial derivatives and hedging risk in financial markets.
What is credit risk? Why is it so important, in modern economies, to correctly deal with it? This course combines theory with practice to answer these questions. It offers an introduction to credit risk modelling and hedging.
This course introduces the core theory of modern financial economics and financial management, with a focus on capital markets and investments. Topics include functions of capital markets, asset valuation, fixed-income securities, common stocks, diversification and portfolio selection, among others.
Introduction to risk management and behavioral finance principles to understand the functioning of securities, insurance, and banking industries. This Yale College course, taught on campus twice per week for 75 minutes, was recorded for Open Yale Courses in Spring 2011.
This course provides a brief introduction to game theory. The main goal is to understand the basic ideas behind the key concepts in game theory, such as equilibrium, rationality, and cooperation. A number of applications in economics and politics will be discussed.
This course focuses in mathematical and statistical tools and techniques used in quantitative and computational finance. The course uses the open source R statistical programming language to analyze financial data, estimate statistical models, and construct optimized portfolios.