Elise Gourier is a Lecturer in Finance at Queen Mary University of London.
Her research lies at the intersection of empirical asset pricing, financial econometrics and mathematical modelling. In her work, Elise has developed parametric models which, once estimated using market data, were applied to infer dynamic optimal portfolio strategies, to compare features of different market and to analyse the behaviour of risk premia.
Before joining Queen Mary University of London, Elise worked as a postdoctoral fellow at Princeton University. She got her PhD from the Swiss Finance Institute at the University of Zurich.
- Theoretical and empirical Asset Pricing
- Financial Econometrics
- Farkas W., Gourier E., Huitema R,. Necula C. (2017) "A two-factor cointegrated commodity price model with an application to spread option pricing", Journal of Banking and Finance.
- Filipovic D., Gourier E., Mancini L. (2016) "Quadratic Variance Swap Models", Journal of Financial Economics.
- Drimus G., Farkas W., Gourier E. (2014) "Valuation of options on discretely sampled variance: A general analytic approximation", Journal of Computational Finance.
- Abbate D., Farkas W., Gourier E. (2009) "Quantification of Operational Risk using Extreme-Value Theory and Copulas: From Theory to Practice", Journal of Operational Risk, 4(3).