Qualified Financial Advisor – regulated by the AMF (registered CIF under the n°D008202 – CNCIF)
Executive Head of Research – Senior Academic Reader

Topics

Quantitative Finance, Financial Econometrics, Financial Markets, Financial Crises, Volatility and Risk Management, Extremes, Asset Pricing, Portfolio Optimization, Asset Allocation, Performance Measurement, Hedge Fund, International Finance.

Affiliations

AAAdvisors-QCG (ABN AMRO), Variances, CES/CNRS – University of Paris-1 and Europlace Institute of Finance.

Publications

Peer-reviewed Articles

  1. Hurlin Ch., P. Kouontchou and B. Maillet, (2010), “Un MEDAF à plusieurs moment réalisés”, Brussels Economic Review, forthcoming 2010, 25 pages.
  2. Hamidi B., P. Kouontchou and B. Maillet, (2010), “L’approche DARE pour une mesure de risque diversifiée”, Revue Economique, forthcoming 2010, 10 pages.
  3. Maillet B., J.-Ph. Médecin and Th. Michel, (2010), “High Watermarks of Market Risks”, Journal of Mathematical Methods in Economics and Finance, forthcoming 2010, 21 pages.
  4. Merlin P., A. Sorjamaa, B. Maillet and A. Lendasse, (2010), “X-SOM and L-SOM: A Double Classification Approach for Missing Value Imputation”, Neurocomputing 73(7-9), 1103-1108.
  5. Sorjamaa A., P. Merlin, B. Maillet and A. Lendasse, (2009), “A Non-linear Approach for Completing Missing Values in Temporal Databases”, European Journal of Economic and Social System  2009(1), 99-117.
  6. Hamidi B., E. Jurczenko and B. Maillet, (2009), “A CAViaR Time-Varying Proportion Portfolio Insurance”, Bankers, Markets & Investors 102, September-October, 4-21.
  7. Kouontchou P. and B. Maillet, (2008), “Rose des vents, éventails et explosions d’étoiles sur le marché français”, Banque & Marchés 96, 42-62.
  8. Boucher Ch., B. Maillet and Th. Michel, (2008), “Do Misalignments Predict Aggregated Stock Market Volatility?”, Economics Letters 100(2), 317-320.
  9. Guinot Ch., B. Maillet and P. Rousset, (2006), “Understanding and Reducing Variability of SOM Neighborhood Structure”, Neural Networks 19(6-7), 838-846.
  10. Maillet B. and Th. Michel, (2005), “The Impact of the 9/11 Events on the American and French Stock Markets”, Review of International Economics 13(3), 597-611.
  11. Maillet B. and Th. Michel, (2005), “Technical Analysis Profitability when Exchange Rates are Pegged: A Note”, European Journal of Finance 11(6), 463-470.
  12. Jurczenko E., B. Maillet and B. Negréa, (2004), “A Note on Skewness and Kurtosis Adjusted Option Pricing Models under the Martingale Restriction”, Quantitative Finance 4(4), 479-488.
  13. Maillet B., M. Olteanu and J. Rynkiewicz, (2004), “Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)”, Revue d’Economie Politique 114(4), 489-506.
  14. Chauveau Th., S. Friederich, J. Héricourt, E. Jurczenko, C. Lubochinsky, B. Maillet, Ch. Moussu, B. Négrea and H. Raymond-Feingold, (2004), “La volatilité des marchés augmente-elle ?”, Revue d’Economie      Financière 74, 17-44. 
  15. Maillet B. and Th. Michel, (2003), “A Market Shock Index based on Multiscale Analysis”, Quantitative Finance 3(2), 88-97.
  16. Maillet B. and Th. Michel, (2002), “Quelle a été l'ampleur de la crise financière de Septembre 2001 ? Une mise en perspective”, Revue d’Economie Financière 67, 269-276.
  17. Capelle-Blancard G., E. Jurczenko and B. Maillet, (2001), “The Approximate Option Pricing Model: Performances and Dynamic Properties”, Journal of Multinational Financial Management 11(4-5), 427-443.
  18. Maillet B. and Th. Michel, (2000), “Further Insights on the Puzzle of Technical Analysis Profitability”, European Journal of Finance 6(2), 196-224.
  19. Maillet B. and H. Raymond, (1998), “Variabilité du risque systématique : une étude du bêta sur le marché français des actions”, Banque & Marchés 37, 16-29.
  20. Maillet B. and Th. Michel, (1998), “Une étude empirique de la performance de l'analyse technique sur le marché des changes”, Banque & Marchés 34, 12-22.
  21. Maillet B. and Th. Michel, (1997), “Mesure de temps, information et distribution des rendements intra-journaliers”, Journal de la Société Statistique de Paris 138(4), 89-120.

Book Chapters

  1. Hamidi B., B. Maillet and J.-L. Prigent, (2009), “A Risk Management Approach for Portfolio Insurance Strategies”, in Financial Risks, Gouriéroux-Jeanblanc (Eds), Economica, 117-132.
  2. Sorjamaa A., F. Corona, Y. Miche, P. Merlin, B. Maillet, E. Séverin and A. Lendasse, (2009), “Sparse Linear Combination of SOMs for Data Imputation: Application to Financial Database”, Lecture Notes in Computer Science 5629, Springer Verlag – Berlin, 290-297.
  3. Jurczenko E. and B. Maillet, (2006-d), “Introduction to Multi-moment Asset Allocation and Pricing Models”, in Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, 21-24.
  4. Jurczenko E. and B. Maillet, (2006-c), “Theoretical Foundations of Higher Moments when Pricing Assets”, in Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, Chapter 1, 1-36.
  5. Jurczenko E. and B. Maillet, (2006-b), “The 4-CAPM: between Asset Pricing and Asset Allocation”, in Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, Chapter 6, 113-164.
  6. Jurczenko E., B. Maillet and P. Merlin, (2006), “Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier”, in Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, Chapter 3, 51-66.
  7. Maillet B. and P. Merlin, (2005), “Completing Hedge Fund Missing Net Asset Values using Kohonen Maps and Constrained Randomization”, in Artificial Neural Networks: Formal Models and Their Applications, Duch et al. (Eds), Lecture Notes in Computer Science, Volume 3697,  Springer Verlag - Berlin, Part II, 923-928.
  8. Maillet B. and P. Rousset, (2003), “Classifying Hedge Funds using Kohonen Map”, in Connectionist Approaches in Economics and Management Sciences, Series in Advances in Computational Management Science, Vol. 6, Cottrell-Lesage (Eds), Kluwer Academic Publisher, 2003, 233-259.
  9. Jurczenko E. and B. Maillet, (2001), “The 3-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models in an Unified Framework”, in Developments in Forecast Combination and Portfolio Choice, Series in Financial Economics and Quantitative Analysis, Dunis-Moody-Timmermann (Eds), John Wiley & Sons – New-York, Chapter 13, 239-273.

Book Edition

  1. Jurczenko E. and B. Maillet, (2006-a), Multi-moment Asset Allocation and Pricing Models, Jurczenko-Maillet (Eds), John Wiley & Sons – New-York, 236 pages.

Works in Submission (under progress)

Preliminary versions are available on my Social Science Research Network webpage (search for Bertrand Maillet at):
http://papers.ssrn.com

  1. Bagnarosa G., C. Corrado and B. Maillet, (2008), “Multipoint Padé and Option Pricing (I): A New Closed-form Higher-order Moment Approximant Pricing Formula”, 29 pages - in Finance, second round (October 2008); Status: revise and resubmit (Spring 2010).
  2. Maillet B. and J.-Ph. Médecin, (2010), “Financial Crises, Extreme Volatilities and L-moment Estimations of Tail-indexes”, 65 pages - in Journal of Econometrics, first round (April 2010).
  3. Hamidi B., B. Maillet and J.-L. Prigent, (2010), “A Dynamic AutoRegressive Expectile for Time-Invariant Proportion Portfolio Strategies”, 50 pages - in Journal of Economics Dynamic and Control, first round (March 2010).
  4. Hamidi B., Ch. Hurlin, P. Kouontchou et B. Maillet, (2010), « Towards a Well-diversified Risk Measure : A DARE Approach », 50 pages - dans Journal of Financial Econometrics, premier tour (avril 2010).
  5. Maillet B. and P. Merlin, (2010), “Higher-order Moments and Efficient Portfolio Selection”, 64 pages - in Management Science, first round (April 2010).
  6. Maillet B. and P. Merlin, (2010), “Outliers Correction and Distributional Timing of Higher Moments for Robust Asset Allocations”, 60 pages - in Journal of Financial Econometrics, first round (April 2010).
  7. Boucher Ch., B. Maillet and P. Merlin, (2010), “Carte de styles et facteurs de risque”, 37 pages - dans Louvain Economic Review, first round (May 2010).
  8. Maillet B. and P. Merlin, (2010), “Time-series Completion and Scenarii Generation for Robust Asset Allocation and Risk Measurement”, 32 pages - in Journal of Alternative Investments, first round (May 2010).
  9. Kouontchou P., B. Maillet, I. Mathur and S. Friederich, (2010), “Measures and Intensity of the Compass Rose Phenomenon on the Euronext Market”, 6 pages - in Economics Letters, first round (2010).
  10. Kouontchou P., B. Maillet, I. Mathur and S. Friederich, (2010), “On the Impact of the Compass Rose Phenomenon on GARCH Estimations”, 6 pages - in Economics Letters, first round (2010).
  11. Boucher Ch., G. Jannin, B. Maillet and H. Raymond, (2010), “A Wavelet-heterogeneous Index of Market Shocks for Financial Crises”, 25 pages - in Management Science, first round (2010).
  12. Hurlin Ch., P. Kouontchou and B. Maillet, (2010), “A Extended Robust CAPM with Realized Higher-order Moments”, 35 pages - in Journal of Empirical Finance, first round (2010).

Unpublished Working Papers

  1. Hamidi B., B. Maillet et J.-L. Prigent, (2009), “A Risk Management Approach for Portfolio Insurance Strategies”, CES Working Paper, Avril 2009, 11 pages.
  2. Hamidi B., E. Jurczenko and B. Maillet, (2009), “D’un multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ?”, CES Working Paper, April 2009, 21 pages.
  3. Bagnarosa G., C. Corrado, E. Jurczenko and B. Maillet, (2008), “An Implicit Martingale Restriction in a Closed-form Higher-order Moment Option Pricing Formula based on Multipoint Padé Approximants”, ESCP Europe Working Paper, February 2008, 30 pages.
  4. Maillet B., M. Olteanu and J. Rynkiewicz, (2004), “Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)”, Preprint du SAMOS, Université de Paris-1, 21 pages.
  5. Jurczenko E. and B. Maillet, (2003), “The 4-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models in an Unified Framework”, Working Paper in Finance Series, ESCP Europe, 74 pages.
  6. Jurczenko E., B. Maillet and B. Négrea, (2002), “Revisited Multi-moment Approximate Option Pricing Models (Part 1)”, Discussion Paper of the LSE-FMG n°430, 84 pages.
  7. Jurczenko E., B. Maillet and B. Négrea, (2002), “Skewness and Kurtosis Implied by Option Prices: A Second Comment”, Discussion Paper of the LSE-FMG n°419, 32 pages.
  8. Maillet B. and Th. Michel, (2002), “How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with and Index of Market Shocks”, Discussion Paper of the LSE-FMG n°417, 14 pages.
  9. Capelle-Blancard G., E. Jurczenko and B. Maillet, (2001), “The Approximate Option Pricing Model: Empirical Performances and Simple Dynamic Properties”, Documents de Travail du TEAM, Université de   Paris-1, 36 pages.
  10. Capelle-Blancard G., E. Jurczenko and B. Maillet, (2001), “The Approximate Option Pricing Model: Empirical Performances on the French Market”, Documents de Travail du TEAM, Université de Paris-1, 55 pages.
  11. Chauveau Th. and B. Maillet, (1998), “Estimations de ‘bêtas flexibles’ : le cas du marché parisien”, Documents de Travail de la Caisse des Dépôts et Consignations n°1997-03/FI, 30 pages.
  12. Chauveau Th. and B. Maillet, (1998), “Deux nouvelles mesures de performance”, Documents de Travail de la Caisse des Dépôts et Consignations, n°1997-03/FI, 51 pages.

Other Works

  1. Chauveau Th., S. Friederich, J. Héricourt, E. Jurczenko, C. Lubochinsky, B. Maillet, Ch. Moussu, B. Négrea and H. Raymond-Feingold, (2004), “Réactions des autorités de marchés pendant et après les crises financières : causes, bilan et perspectives”, mimeo, 18 pages.
  2. Lubochinsky C. and B. Maillet, (2003), “Beaucoup de bruit autour de la volatilité”, in Recueil d’opinion sur la Volatilité, publication of the AFG-ASFFI, 12 pages.
  3. Chauveau Th., J. Héricourt, E. Jurczenko, C. Lubochinsky, B. Maillet, B. Négrea and H. Raymond-Feingold, (2003), “La volatilité des marchés augmente-elle ? Théorie et mise en perspective historique”, Discussion Paper of the NRF, 53 pages.
  4. Maillet B. and Th. Michel, (2002), “Mise en perspective des dernières turbulences de marché à l'aide d'un indice de crise”, Bulletin de la COB, 8 pages.
  5. Lubochinsky C. and B. Maillet, (2002), “Gestion alternative : un nouvel enjeu pour le marché français”, Recueil d’opinion sur la Gestion Alternative, publication of the AFG-ASFFI, 65-73.
  6. Jurczenko E., B. Négrea and B. Maillet, (2002), “Simplified Multi-moment Approximate Option Pricing Models”, Université de Paris-1, mimeo, 54 pages.
  7. Maillet B. and Th. Michel, (2001), “Quelle est la gravité de la crise financière de septembre 2001 ?”, Flash, CDC-IXIS Publication, 4 pages.
  8. Chauveau Th. and B. Maillet, (2001), “Performance: A Generalization of Traditional Measures”, Université de Paris-1, mimeo, 60 pages.
  9. Maillet B. and Th. Michel, (1998), “Volume Time-scale and Intra-day Returns Density”, Université de Paris-1, mimeo, 25 pages.

Works in Progress

  1. Bagnarosa G., Ch. Corrado and B. Maillet, (2010), “Multipoint Padé and Option Pricing (II): An Empirical Perspective of Market Expectations using a Hybrid Genetic Algorithm”, mimeo, 29 pages.
  2. Boucher Ch. and B. Maillet, (2010), “Expected Returns across Time-scales”, mimeo, 58 pages.
  3. Hamidi B., E. Jondeau and B. Maillet, (2010), “A Centile Regression Approach for Crisis Analysis”, mimeo, 26 pages.
  4. Hurlin Ch., P. Kouontchou and B. Maillet, (2010), “A Robust Conditional Realized Multi-moment Asset Pricing Model”, mimeo, 46 pages.
  5. Hamidi B., B. Maillet and P. Merlin, (2010), “A Robust Time-varying Style Analysis based on a Dynamic AutoRegressive Quantile Approach”, mimeo, 16 pages.
  6. Caporin M., G. Jannin, F. Lisi and B. Maillet, (2010), “A Survey on the Four Families of Performance Measures”, mimeo, 62 pages.
  7. Charpentier A., B. Maillet and J.-Ph. Médecin, (2010), “Some Reality Checks on Extreme High Frequency Volatilities”, mimeo, 10 pages.
  8. Charpentier A., B. Hamidi and B. Maillet, (2010), “A Dynamic Hidden Semi-Markov Chain Model for Conditional Expectiles”, mimeo, 6 pages.
  9. Friederich S., P. Kouontchou and B. Maillet, (2010), “Liquidity and Intensity of the Compass Rose in the European Stock Market”, mimeo, 25 pages.

Conference, Workshop and Seminar Presentations (since 2000)

1. TEAM seminar, University of Paris I Panthéon-Sorbonne (Paris, March 2000 - 1 paper).
2. Vth Spring Meeting of Young Economists (Oxford, March 2000 - 2 papers).
3. TEAM Seminar, University of Paris I Panthéon-Sorbonne (Paris, Mai 2000 - 1 paper).
4. VIIth International Conference in Forecasting Financial Markets (London, May 2000 - 2 papers).
5. XVIIth “Journées de Micro-économie Appliquée” (Québec, June 2000 - 1 paper).
6. XVIIth International Meeting of the GDR-CNRS Money and Finance (Lisbon, June 2000 - 2 papers, 1 discussion).
7. XVIIth AFFI International Conference in Finance (Paris, June 2000 - 1 paper).
8. Ist International Portuguese Finance Network Conference (Braga, July 2000 - 1 paper).
9. IXth European Financial Management Association Meetings (Athens, July 2000 - 1 paper).
10. IVth International Congress on Insurance, Mathematics and Economics (Barcelona, July 2000 - 2 papers).
11. ILth Conference of AFSE (Paris, September 2000 - 1 paper).
12. XIIIth Australasian Finance and Banking Conference (Sydney, December 2000 - 1 paper).
13. VIIIth International Conference in Forecasting Financial Markets (London, May 2001 - 4 papers).
14. XVIIIth “Journées de Micro-économie Appliquée” (Nancy, June 2001 - 1 chair, 1 discussion).
15. XVIIIth International Meeting of the GDR-CNRS Money and Finance (Pau, June 2001 - 1 chair, 1 discussion).
16. TEAM Seminar, University of Paris I Panthéon-Sorbonne (Paris, June 2001 - 1 paper).
17. XVIIIth AFFI International Conference in Finance (Namur, June 2001 - 1 paper).
18. Xth European Financial Management Association (Lugano, June 2001 - 2 papers).
19. VIIIth Multinational Finance Association Conference (Verona, June 2001 - 1 paper).
20. SIRIF Conference on Performance Measurement (Edinburgh, July 2001 - 1 paper).
21. VIIIth International Meeting of ACSEG (Rennes, November 2001 - 1 paper).
22. IIIrd Conference on Applications of Physics in Financial Analysis (London, December 2001 - 1 paper).
23. AFFI International Conference in Finance (Paris, December 2001 - 2 papers).
24. TEAM Seminar, University of Paris I Panthéon-Sorbonne (Paris, February 2002 - 1 paper).
25. Finance-sur-Seine Workshop (Paris, April 2002 - 1 paper).
26. GRIFI Conference on Financial Econometrics (Lille, May 2002 - 1 paper).
27. IXth International Conference in Forecasting Financial Markets (London, May 2002 - 1 paper).
28. XIXth “Journées de Micro-économie Appliquée” (Rennes, June 2002 - 1 chair, 1 paper).
29. XIIth Intern. Meeting of the GDR-CNRS International Economics and Finance (Bordeaux, June 2002 - 1 paper).
30. IXth Multinational Finance Association Conference (Paphos - Cyprus, July 2002 - 1 paper).
31. XIXth AFFI International Conference in Finance (Strasbourg, June 2002 - 1 chair, 1 discussion, 2 papers).
32. LVIIth European Meeting of the Econometric Society (Venice, August 2002 - 1 paper).
33. SIRIF Conference on Financial Econometrics (Edinburg, August 2002 - 1 paper).
34. INQUIRE UK Conference on Higher Moments (London, September 2002 - 1 paper).
35. IXth International Meeting of ACSEG (Boulogne, November 2002 - 1 paper).
36. AFFI International Conference in Finance (Paris, December 2002 - 1 paper).
37. Advances in Financial Econometrics, University of Paris-10 (Paris, January 2003- 1 paper).
38. Xth International Conference in Forecasting Financial Markets (Paris, June 2003 - 2 papers, 1 chair).
39. XXth “Journées de Micro-économie Appliquée” (Montpellier, June 2003 - 1 chair).
40. XXth AFFI International Conference in Finance (Lyon, June 2003 - 1 chair).
41. VIIth IME Conference (Lyon, June 2003 - 1 paper).
42. Xth International Meeting of ACSEG (Nantes, November 2003 - 1 paper).
43. AEA - Stock Market Conference (Paris, April 2004 - 1 paper, 1 chair).
44. International Conference of the Euro Working Group (Paris, May 2004 - 1 chair).
45. International ESANN Conference (Bruges, May 2004 - 1 paper).
46. XXIth “Journées de Micro-économie Appliquée” (Lille, June 2004 - 1 discussion, 1 chair).
47. XIth International Conference in Forecasting Financial Markets (Paris, June 2004 - 1 paper, 1 chair).
48.GRETA International Conference in Financial Econometrics (Venice, June 2005 - 1 paper).
49. XXIIth International Meeting of the GDR-CNRS Money-Finance (Strasbourg, June 2005 - 1 paper).
50. XXIth “Journées de Micro-économie Appliquée” (Hammamet, June 2005 - 1 chair).
51. XXIth AFFI International Conference in Finance (La Defense, June 2005 - 3 papers).
52. XXXIIth European Finance Association Conference (Moscow, June 2005 - 1 discussion).
53. International Conference on Natural Computation (Changsha, August 2005 - 1 paper).
54. Vth Workshop on SOM (Paris, September 2005 - 2 papers).
55. International Meeting of ICANN (Warsaw, September 2005 - 2 papers).
56. International Conference on Financial Forecasting (Loutraki, October 2005 - 2 papers).
57. XIIth International Meeting of ACSEG (Marseille, November 2005 - 2 papers).
58. Advances in Financial Econometrics, University of Paris-10 (Paris, December 2005 - 4 papers).
59. EC2 Insurance and Finance Conference (Istanbul, December 2005 - 2 papers).
60. International Conference on High Frequency Finance (Konstanz, May 2006 - 1 paper).
61. XXIIIth“Journées de Micro-économie Appliquée” (Nantes, June 2006 - 1 discussion, 1 chair, 4 papers).
62. XXII th AFFI International Conference in Finance (Poitiers, June 2006 - 1 Prize jury).
63. International ESANN Conference (Bruges, May 2007 - 2 papers).
64. XXII th AFFI International Conference in Finance (Bordeaux, June 2007 - 10 papers).
65. XXIth “Journées de Micro-économie Appliquée” (Fribourg, June 2007 - 2 papers).
66. Xth European Workshop on Efficiency and Productivity Analysis (Lille, June 2007 - 1 paper).
67. Vth International Financial Research Forum, Europlace Institute of Finance, (Paris, June 2007 - 1 paper).
68. LVIth Annual Congress, AFSE (Paris, September 2007 - 1 paper).
69. Advances in Financial Econometrics, University of Paris-10 (Paris, November 2007 -4 papers).
70. Intern. Conf. in Math. & Stat. Methods for Actuarial Sciences and Finance (Venice, March 2008 - 1 paper).
71. 1st EIF Financial Risks International Forum (Paris, March 2008 - 1 paper).
72. XXVth “Journées de Microéconomie Appliquée” (Saint-Denis de la Réunion, May 2008 - 2 papers, 3 discussions).
73. XXIII th AFFI International Conference in Finance (Lille, June 2008 - 1 paper, 1 chair).
74. LVIIth Annual Congress, AFSE (Paris, September 2008 - 1 paper).
75. Advances in Financial Econometrics, University of Paris-10 (Paris, November 2008 - 5 papers).
76. IVth Tinbergen Institute Conference (Rotterdam, March 2009 - 2 papers).
77. International ESANN09 Conference (Bruges, April 2009 - 3 papers).
78. XXIV th AFFI International Conference in Finance (Brest, May 2009 – 2 papers).
79. “New Challenges to Central Banking International Conference”, Louvain School of Management (Namur, June 2009 – 1 discussion).
80. XXVIth “Journées de Micro-économie Appliquée” (Dijon, June 2009 – 1 chaire).
81. II nd International Risk Management Conference (Venice, June 2009 – 2 papers).
82. XXVIth  International Meeting of the GDR-CNRS Money-Finance (Orléans, June 2009 – 1 paper, 1 chair).
83. LVIIIth Annual Congress, AFSE (Paris, September 2009 - 5 papers).
84. International Conference on Credit Risk, Financial Crises and the Macro-economy (Venice, September 2009 – 1 paper).
85. Advances in Financial Econometrics, University of Paris-10 (Paris, November 2009 –6 papers).
86. II nd Annual Conference on Hedge Funds (Paris, January 2010 – 1 paper).
87. III rd Financial Risks International Forum (Paris, March 2010 –3 papers).
88. XIVth Conference on Theories and Methods in Macroeconomics (Le Mans, March 2010 – 1 paper).
89. XVIIIth Annual Symposium, Society for Non-linear Dynamics and Econometrics (Novara, April 2010 – 1 paper).
90. XXV th AFFI International Conference in Finance (Saint-Malo, May 2010 – 3 papers).
91. XXVIIth “Journées de Micro-économie Appliquée” (Angers, June 2010 – 2 papers).
92. XLIIth Annual Conference of the Money Macro and Finance Research Group (Limassol, September 2010 – 1 paper).

Personal Invitations

  • University of HEC Lausanne (IBF), invited talk on “Market Turbulence”, March 2004.
  • University of Paris-10 (MODEM), invited talk on “Risk Measurement and Market Turbulence”, June 2004.
  • University of Cyprus (HERMES), invited talk on “Risk Measurement and Market Turbulence”, June 2004.
  • University of Bristol (Finance Dpt), invited talk on “Volatility and Turbulence”, November 2006.
  • University of Paris-10 (EconomiX), invited talk on “Asset Valuation”, April 2008.
  • EM-Lyon BS, invited talk on “Extreme Risks”, April 2009.
  • University of Ca’ Foscari (GRETA), invited talk on “Extreme Risks”, January 2010.
  • University of Ca’ Foscari (GRETA), invited talk on “Portfolio Selection”, April 2010.
  • University of Orléans (LEO), invited talk on “Outliers”, May 2010.
  • University of Bristol (Finance Dpt), invited talk on “Risk Measures”, Spring 2010 (tbs).
  • University of Paris-Nanterre (EconomiX), invited talk on “Risk Measures”, Spring 2010 (tbs).