Working papers
A Greenwashing Index, with Hélène Mathurin. EFA 2025
Data: Greenwashing Index from Jan 1987 until June 2025 here.
Option-Implied Risk Premia with Intertemporal Hedging, with Fousseni Chabi-Yo and Hugues Langlois. Eurofidai 2025
The Cost of ESG Uncertainty, with Menglong Na. SoFiE 2025. Coming soon!
Recipient of the 2025 Inquire Europe grant.
Private Market Fund Factors, with Will Goetzmann and Ludovic Phalippou.
Recipient of the Jack Treynor Prize, sponsored by the Q-Group (The Institute for Quantitative Research in Finance).
Recipient of the 2019 ICPM (International Centre for Pension Management) Research Award.
Main publications and forthcoming papers
Capital Commitment, with Ludovic Phalippou and Mark Westerfield, 2024, Journal of Finance, 79(5), 3407-3457.
Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets, with Chris Bardgett and Markus Leippold, 2019, Journal of Financial Economics, 131(3), 593-618.
Quadratic Variance Swap Models, with Damir Filipovic and Loriano Mancini, 2016, Journal of Financial Economics, 119(1), 44-68.
Other publications
A two-factor cointegrated commodity price model with an application to spread option pricing, with Walter Farkas, Robert Huitema and Ciprian Necula, 2017, Journal of Banking and Finance, 77, 249-268.
Valuation of options on discretely sampled variance: A general analytic approximation, with Gabriel Drimus and Walter Warkas, 2016, Journal of Computational Finance, 20(2), 39–66.
Quantification of Operational Risk using Extreme-Value Theory and Copulas : From Theory to Practice, with Donato Abbate and Walter Farkas, 2009, Journal of Operational Risk, 4(3).
Permanent working papers
Pricing of Idiosyncratic Equity and Variance Risks, with Alexander Kontoghiorghes. AFA 2016, EFA 2016.
A Greenwashing Index, with Hélène Mathurin. EFA 2025
Data: Greenwashing Index from Jan 1987 until June 2025 here.
Option-Implied Risk Premia with Intertemporal Hedging, with Fousseni Chabi-Yo and Hugues Langlois. Eurofidai 2025
The Cost of ESG Uncertainty, with Menglong Na. SoFiE 2025. Coming soon!
Recipient of the 2025 Inquire Europe grant.
Private Market Fund Factors, with Will Goetzmann and Ludovic Phalippou.
Recipient of the Jack Treynor Prize, sponsored by the Q-Group (The Institute for Quantitative Research in Finance).
Recipient of the 2019 ICPM (International Centre for Pension Management) Research Award.
Main publications and forthcoming papers
Capital Commitment, with Ludovic Phalippou and Mark Westerfield, 2024, Journal of Finance, 79(5), 3407-3457.
Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets, with Chris Bardgett and Markus Leippold, 2019, Journal of Financial Economics, 131(3), 593-618.
Quadratic Variance Swap Models, with Damir Filipovic and Loriano Mancini, 2016, Journal of Financial Economics, 119(1), 44-68.
Other publications
A two-factor cointegrated commodity price model with an application to spread option pricing, with Walter Farkas, Robert Huitema and Ciprian Necula, 2017, Journal of Banking and Finance, 77, 249-268.
Valuation of options on discretely sampled variance: A general analytic approximation, with Gabriel Drimus and Walter Warkas, 2016, Journal of Computational Finance, 20(2), 39–66.
Quantification of Operational Risk using Extreme-Value Theory and Copulas : From Theory to Practice, with Donato Abbate and Walter Farkas, 2009, Journal of Operational Risk, 4(3).
Permanent working papers
Pricing of Idiosyncratic Equity and Variance Risks, with Alexander Kontoghiorghes. AFA 2016, EFA 2016.