Member's Details
Fellows
Email
eric.jacquier@cirano.qc.ca
University
Boston University
617 353-8901
Function(s)
Ph.D., Finance and Statistics, University of Chicago
Visiting Professor of Finance
Questrom School of Business
Boston University
Interim Executive Director Mathematical Finance Programs
Domain(s) of interest
Quantitative Portfolio and Risk Management, Volatility and Risk, Bayesian and Monte Carlo Methods
Biography
Eric Jacquier is a Visiting Professor of Finance at Boston University. His MBA is from UCLA, and his Ph.D. in Finance and Statistics from the University of Chicago. Before BU, he taught at Chicago, Cornell, Wharton, Boston College, Montreal and MIT. He also consults and conducts executive...

List of scientific publications at CIRANO by Eric Jacquier

Code Publications
2014s-36 WP Cédric Okou et Éric Jacquier. Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs
2013s-14 WP Éric Jacquier et Cédric Okou. Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships
2009s-26 WP Éric Jacquier, Sheridan Titman et Atakan Yalçin. Predicting Systematic Risk: Implications from Growth Options
99s-26 WP Éric Jacquier, Nicholas G. Polson et Peter E. Rossi. Stochastic Volatility: Univariate and Multivariate Extensions
96s-12 WP Éric Jacquier et Robert Jarrow. Model Error in Contingent Claim Models Dynamic Evaluation
95s-18 WP Éric Jacquier, Nicholas G. Polson et Peter E. Rossi. Models and Priors for Multivariate Stochastic Volatility

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