Profilbild

Elise Gourier - Publications

Assistentin Prof. M. Leippold



Publications Supervised theses

Journal Articles (3)

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
In: Journal of Banking and Finance, Vol. 77, p. 249-268, April 2017.


Valuations of options on discretely sampled variance: A general analytic approximation
Gabriel Drimus, Erich Walter Farkas, Elise Gourier
In: Journal of Computational Finance, Vol. 20(2), p. 39-66, 2016.


Operational risk quantification using extreme value theory and copulas: from theory to practice
Elise Gourier, Donato Abbate, Erich Walter Farkas
In: The Journal of Operational Risk, Vol. 4 (No. 3), p. 1-24, 2009.


Book Chapters (1)

The Impact of Cointegration on Commodity Spread Options
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
Editor(s): Kathrin Glau, Zorana Grbac, Matthias Scherer, Rudi Zagst
In: Innovations in Derivatives Markets, Springer International Publishing, Cham, p. 421-435, 2016.


Dissertations (1)

Affine and quadratic models for volatility and interest rates markets
Elise Gourier
Supervisor(s): Markus Leippold, Josef Teichmann
University of Zurich, 2013.


Working Papers (2)

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Chris Bardgett, Elise Gourier, Markus Leippold
Swiss Finance Institute Research Paper, No. 13-40, 2015.


A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
Erich Walter Farkas, Elise Gourier, Robert Huitema, Ciprian Necula
SSRN, No. 2679218, 2015.


Master Theses (1)

Modeling operational risk using extreme-value theory and copulas
Elise Gourier
Supervisor(s): Erich Walter Farkas
University of Zurich, 2008.


Newspaper articles (3)

Les aléas de l’évaluation des risques
Erich Walter Farkas, Elise Gourier
Le Temps, 25 August 2010.


Produits structurés: Comment éviter une nouvelle crise financière
Erich Walter Farkas, Elise Gourier
Banque et Finance, 1 January 2010.


Zukunft liegt in der Vergangenheit
Erich Walter Farkas, Elise Gourier
Handelszeitung, 28 October 2009.