Essec\Faculty\Model\Profile {#2233
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0 => Essec\Faculty\Model\CareerItem {#2242
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1 => Essec\Faculty\Model\CareerItem {#2243
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2 => Essec\Faculty\Model\CareerItem {#2244
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3 => Essec\Faculty\Model\CareerItem {#2245
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0 => Essec\Faculty\Model\Diplome {#2235
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"fr" => "<p>Elise Gourier graduated with a PhD in Finance from the Swiss Finance Institute at the University of Zurich, in 2013. She spent two years as a postdoctoral researcher at the University of Princeton, and was then appointed as Assistant Professor at Queen Mary University of London. She is also a Research Affiliate at the CEPR. Elise's research interests include theoretical and empirical Asset Pricing, and Financial Econometrics. She is currently working on several projects that aim to better understand returns of publicly listed indices and stocks, and private equity funds. Elise has published in top academic journals in finance, presented at major finance conferences and has been teaching asset pricing and financial economics. She has supervised theses at the Master and PhD levels.</p><p> </p>"
"en" => "<p>Elise Gourier graduated with a PhD in Finance from the Swiss Finance Institute at the University of Zurich, in 2013. She spent two years as a postdoctoral researcher at the University of Princeton, and was then appointed as Assistant Professor at Queen Mary University of London. She is also a Research Affiliate at the CEPR. Elise's research interests include theoretical and empirical Asset Pricing, and Financial Econometrics. She is currently working on several projects that aim to better understand returns of publicly listed indices and stocks, and private equity funds. Elise has published in top academic journals in finance, presented at major finance conferences and has been teaching asset pricing and financial economics. She has supervised theses at the Master and PhD levels.</p>"
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0 => Essec\Faculty\Model\Distinction {#2246
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1 => Essec\Faculty\Model\Distinction {#2247
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"fr" => "Jack Treynor Prize par le Q-Group (The Institute for Quantitative Research in Finance) pour l'article « How Alternative are Private Markets? »"
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2 => Essec\Faculty\Model\Distinction {#2248
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0 => Essec\Faculty\Model\TeachingItem {#2241
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1 => Essec\Faculty\Model\TeachingItem {#2232
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2 => Essec\Faculty\Model\TeachingItem {#2236
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3 => Essec\Faculty\Model\TeachingItem {#2234
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4 => Essec\Faculty\Model\TeachingItem {#2238
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5 => Essec\Faculty\Model\TeachingItem {#2239
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6 => Essec\Faculty\Model\TeachingItem {#2240
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0 => Essec\Faculty\Model\ExtraActivity {#2237
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0 => Essec\Faculty\Model\These {#2249
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1 => Essec\Faculty\Model\These {#2250
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2 => Essec\Faculty\Model\These {#2251
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3 => Essec\Faculty\Model\These {#2252
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0 => Essec\Faculty\Model\Contribution {#2254
#_index: "academ_contributions"
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"slug" => "inferring-volatility-dynamics-and-risk-premia-from-the-sp500-and-vix-markets"
"yearMonth" => "2019-03"
"year" => "2019"
"title" => "Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets"
"description" => "BARDGETT, C., GOURIER, E. et LEIPPOLD, M. (2019). Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets. <i>Journal of Financial Economics</i>, 131(3), pp. 593-618."
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0 => array:3 [
"name" => "GOURIER Elise"
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1 => "Volatility dynamics"
2 => "Particle filter"
3 => "Variance risk premium"
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"abstract" => array:2 [
"fr" => "Nous estimons un modèle affine utilisant des données de rendements des indices S&P 500 et VIX ainsi que des options sur ces indices. Nous analysons la contribution des options sur le VIX à la performance du modèle."
"en" => "We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index returns and option prices and analyze the contribution of VIX options to the model’s in- and out-of-sample performance. We find that they contain valuable information on the risk-neutral conditional distributions of volatility at different time horizons, which is not spanned by the S&P 500 market. This information allows enhanced estimation of the variance risk premium. We gain new insights on the term structure of the variance risk premium, present a trading strategy exploiting these insights, and show how to improve S&P 500 return forecasts."
]
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1 => Essec\Faculty\Model\Contribution {#2256
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"slug" => "a-greenwashing-index"
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"title" => "A Greenwashing Index"
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2 => Essec\Faculty\Model\Contribution {#2258
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"slug" => "a-greenwashing-index"
"yearMonth" => "2022-12"
"year" => "2022"
"title" => "A Greenwashing Index"
"description" => "GOURIER, E. et IUNG MATHURIN, H. (2022). A Greenwashing Index. Dans: 16th International Conference Computational and Financial Econometrics 2022. London."
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3 => Essec\Faculty\Model\Contribution {#2255
#_index: "academ_contributions"
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"slug" => "capital-commitment"
"yearMonth" => "2023-01"
"year" => "2023"
"title" => "Capital Commitment"
"description" => "GOURIER, E., PHALIPPOU, L. et WESTERFIELD, M. (2023). Capital Commitment. Dans: 2023 American Finance Association (AFA) Annual Meeting. Nouvelle-Orleans."
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1 => array:1 [
"name" => "PHALIPPOU L"
]
2 => array:1 [
"name" => "WESTERFIELD M"
]
]
"ouvrage" => "2023 American Finance Association (AFA) Annual Meeting"
"keywords" => []
"updatedAt" => "2023-11-29 15:55:15"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
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]
"type" => array:2 [
"fr" => "Communications dans une conférence"
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"fr" => null
"en" => null
]
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"fr" => null
"en" => null
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"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-22T06:21:45.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 7.1298723
+"parent": null
}
4 => Essec\Faculty\Model\Contribution {#2259
#_index: "academ_contributions"
#_id: "14364"
#_source: array:18 [
"id" => "14364"
"slug" => "a-greenwashing-index"
"yearMonth" => "2023-10"
"year" => "2023"
"title" => "A Greenwashing Index"
"description" => "GOURIER, E. et IUNG-MATHURIN, H. (2023). A Greenwashing Index. Dans: 5th International Workshop in Financial Econometrics 2023. Santo André (Bahia)."
"authors" => array:2 [
0 => array:3 [
"name" => "GOURIER Elise"
"bid" => "B00751169"
"slug" => "gourier-elise"
]
1 => array:1 [
"name" => "IUNG-MATHURIN H"
]
]
"ouvrage" => "5th International Workshop in Financial Econometrics 2023"
"keywords" => []
"updatedAt" => "2023-12-05 12:04:34"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-22T06:21:45.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 7.1298723
+"parent": null
}
5 => Essec\Faculty\Model\Contribution {#2253
#_index: "academ_contributions"
#_id: "14407"
#_source: array:18 [
"id" => "14407"
"slug" => "capital-commitment"
"yearMonth" => "2023-05"
"year" => "2023"
"title" => "Capital Commitment"
"description" => "GOURIER, E., PHALIPPOU, L. et WESTERFEILD, M. (2023). Capital Commitment. Dans: 2023 Toulouse Financial Econometrics Conference. Toulouse."
"authors" => array:3 [
0 => array:3 [
"name" => "GOURIER Elise"
"bid" => "B00751169"
"slug" => "gourier-elise"
]
1 => array:1 [
"name" => "PHALIPPOU L"
]
2 => array:1 [
"name" => "WESTERFEILD M"
]
]
"ouvrage" => "2023 Toulouse Financial Econometrics Conference"
"keywords" => []
"updatedAt" => "2023-09-27 01:00:43"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => ""
"volume" => ""
"number" => ""
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => ""
"en" => ""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-22T06:21:45.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 7.1298723
+"parent": null
}
6 => Essec\Faculty\Model\Contribution {#2257
#_index: "academ_contributions"
#_id: "10652"
#_source: array:18 [
"id" => "10652"
"slug" => "quadratic-variance-swap-models"
"yearMonth" => "2016-01"
"year" => "2016"
"title" => "Quadratic Variance Swap Models"
"description" => "FILIPOVIC, D., GOURIER, E. et MANCINI, L. (2016). Quadratic Variance Swap Models. <i>Journal of Financial Economics</i>, 119(1), pp. 44-68."
"authors" => array:3 [
0 => array:3 [
"name" => "GOURIER Elise"
"bid" => "B00751169"
"slug" => "gourier-elise"
]
1 => array:1 [
"name" => "FILIPOVIC Damir"
]
2 => array:1 [
"name" => "MANCINI Loriano"
]
]
"ouvrage" => ""
"keywords" => array:1 [
0 => "Stochastic volatility -Variance swap -Quadratic term structure -Quadratic jump-diffusion -Dynamic optimal portfolio"
]
"updatedAt" => "2021-07-13 14:31:40"
"publicationUrl" => "https://www.sciencedirect.com/science/article/pii/S0304405X15001543"
"publicationInfo" => array:3 [
"pages" => "44-68"
"volume" => "119"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Nous introduisons une nouvelle classe de modèles quadratiques pour la variance. Les swaps de variance sont des fonctions quadratiques de la variable d'état disponibles en formule fermée, facilitant amplement l'analyse empirique. De nombreux tests montrent que cette modélisation donne de très bons résultats et représente les données sur les swaps de variance de façon précise. Nous résolvons un problème d'optimisation de portefeuille incluant des swaps de variance, une option sur l'index, l'index et le bond."
"en" => "We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly facilitating empirical analysis. Various goodness-of-fit tests show that quadratic models fit variance swaps on the S&P 500 remarkably well, and outperform affine models. We solve a dynamic optimal portfolio problem in variance swaps, index option, stock index and bond. An empirical analysis uncovers robust features of the optimal investment strategy."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-22T06:21:45.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 7.1298723
+"parent": null
}
7 => Essec\Faculty\Model\Contribution {#2260
#_index: "academ_contributions"
#_id: "10660"
#_source: array:18 [
"id" => "10660"
"slug" => "valuation-of-options-on-discretely-sampled-variance-a-general-analytic-approximation"
"yearMonth" => "2016-12"
"year" => "2016"
"title" => "Valuation of options on discretely sampled variance: A general analytic approximation"
"description" => "DRIMUS, G., FARKAS, W. et GOURIER, E. (2016). Valuation of options on discretely sampled variance: A general analytic approximation. <i>Journal of Computational Finance</i>, 20(2), pp. 39-66."
"authors" => array:3 [
0 => array:3 [
"name" => "GOURIER Elise"
"bid" => "B00751169"
"slug" => "gourier-elise"
]
1 => array:1 [
"name" => "DRIMUS Gabriel"
]
2 => array:1 [
"name" => "FARKAS Walter"
]
]
"ouvrage" => ""
"keywords" => array:2 [
0 => "realized variance"
1 => "discretization frequency"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.risk.net/journal-of-computational-finance/2457210/valuation-of-options-on-discretely-sampled-variance-a-general-analytic-approximation"
"publicationInfo" => array:3 [
"pages" => "39-66"
"volume" => "20"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "La valeur des options sur la variance réalisée est impactée de façon significative par l'échantillonnage discret de la variance réalisée. Cette valeur peut être beaucoup plus élevée que la valeur d'options sur la variance continue. Nous analysons l'effet de la discrétisation et proposons une correction à appliquer afin d'obtenir la valeur d'options sur la variance discrète à partir de la valeur d'options sur la variance continue."
"en" => "The values of options on realized variance are significantly impacted by the discrete sampling of realized variance and may be substantially higher than the values of options on continuously sampled variance. Under general stochastic volatility dynamics, we analyze the discretization effect and obtain an analytical correction term to be applied to the value of options on continuously sampled variance. The result allows for a straightforward implementation in many of the standard stochastic volatility models proposed in the literature. Finally, we compare the performance of different numerical methods for pricing options on discretely sampled variance and give recommendations based on the option's characteristics."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-22T06:21:45.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 7.1298723
+"parent": null
}
8 => Essec\Faculty\Model\Contribution {#2261
#_index: "academ_contributions"
#_id: "10662"
#_source: array:18 [
"id" => "10662"
"slug" => "a-two-factor-cointegrated-commodity-price-model-with-an-application-to-spread-option-pricing"
"yearMonth" => "2017-04"
"year" => "2017"
"title" => "A two-factor cointegrated commodity price model with an application to spread option pricing"
"description" => "FARKAS, W., GOURIER, E., HUITEMA, R. et NECULA, C. (2017). A two-factor cointegrated commodity price model with an application to spread option pricing. <i>Journal of Banking & Finance</i>, 77(C), pp. 249-268."
"authors" => array:4 [
0 => array:3 [
"name" => "GOURIER Elise"
"bid" => "B00751169"
"slug" => "gourier-elise"
]
1 => array:1 [
"name" => "FARKAS Walter"
]
2 => array:1 [
"name" => "HUITEMA Robert"
]
3 => array:1 [
"name" => "NECULA Ciprian"
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "cointegration"
1 => "commodities"
2 => "futures and options"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.sciencedirect.com/journal/journal-of-banking-and-finance/vol/77/suppl/C"
"publicationInfo" => array:3 [
"pages" => "249-268"
"volume" => "77"
"number" => "C"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
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"support_type" => array:2 [
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"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration component allows capturing well-known features of commodity prices, i.e., upward sloping (contango) and downward sloping (backwardation) term-structures, smaller volatilities for longer maturities and an upward sloping correlation term structure. The model is calibrated to futures price data of ten commodities. The results provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common commodity spreads (e.g., spark spread and crack spread) are thoroughly investigated."
"en" => "In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration component allows capturing well-known features of commodity prices, i.e., upward sloping (contango) and downward sloping (backwardation) term-structures, smaller volatilities for longer maturities and an upward sloping correlation term structure. The model is calibrated to futures price data of ten commodities. The results provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common commodity spreads (e.g., spark spread and crack spread) are thoroughly investigated."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-22T06:21:45.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 7.1298723
+"parent": null
}
9 => Essec\Faculty\Model\Contribution {#2262
#_index: "academ_contributions"
#_id: "15163"
#_source: array:18 [
"id" => "15163"
"slug" => "capital-commitment"
"yearMonth" => "2024-10"
"year" => "2024"
"title" => "Capital Commitment"
"description" => "GOURIER, E., PHALIPPOU, L. et WESTERFIELD, M.M. (2024). Capital Commitment. <i>Journal of Finance</i>, 79(5), pp. 3407-3457."
"authors" => array:3 [
0 => array:3 [
"name" => "GOURIER Elise"
"bid" => "B00751169"
"slug" => "gourier-elise"
]
1 => array:1 [
"name" => "PHALIPPOU Ludovic"
]
2 => array:1 [
"name" => "WESTERFIELD Mark M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2024-10-31 13:51:19"
"publicationUrl" => "https://doi.org/10.1111/jofi.13382"
"publicationInfo" => array:3 [
"pages" => "3407-3457"
"volume" => "79"
"number" => "5"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Twelve trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand. We show within a novel dynamic portfolio allocation model that ex-ante commitment has large effects on investors' portfolios and welfare, and we quantify those effects. Investors are underallocated to private market funds and are willing to pay a larger premium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty and limited tradability. Perhaps counterintuitively, commitment risk premiums increase with secondary market liquidity, and they do not disappear when investments are spread over many funds."
"en" => "Twelve trillion dollars are allocated to private market funds that require outside investors to commit to transferring capital on demand. We show within a novel dynamic portfolio allocation model that ex-ante commitment has large effects on investors' portfolios and welfare, and we quantify those effects. Investors are underallocated to private market funds and are willing to pay a larger premium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty and limited tradability. Perhaps counterintuitively, commitment risk premiums increase with secondary market liquidity, and they do not disappear when investments are spread over many funds."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-12-22T06:21:45.000Z"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 7.1298723
+"parent": null
}
]
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"docTitle" => "Elise GOURIER"
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