Dr. Elise Gourier
Elise Gourier is Assistant Professor in Finance at Queen Mary University of London, and a Research Affiliate in Financial Economics at the CEPR (Centre for Economic Policy Research). Her research interests include theoretical and empirical Asset Pricing, and Financial Econometrics.
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.
Quadratic Variance Swap Models, with Damir Filipovic and Loriano Mancini, 2016, Journal of Financial Economics, 119(1), 44-68.
Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets, with Chris Bardgett and Markus Leippold. Conditionally accepted in the Journal of Financial Economics.