Associate Professor of Finance

ESSEC Business School

3 Avenue Bernard Hirsch

CS 50105



Tel: (+33)134433647

Fax: (+33)134433212



  • Bayesian Estimation of Dynamic Asset Pricing Models with Informative Observations (with Junye Li), 2019, Journal of Econometrics, 209, 114-138 (WP Version)
  • Density-Tempered Marginalized Sequential Monte Carlo Samplers, (with Jin-Chuan Duan), 2015, Journal of Business and Economic Statistics, 33, 192-202 (WP version)
  • Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility, (with Jun Yu and Junye Li), 2015, Review of Financial Studies, 28, 876-912 (WP version)
  • Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises'' (with Jin-Chuan Duan), 2009, Journal of Econometrics, 150, 288-296 (WP version)
  • "Filtering Methods" In Handbook of Computational Finance Edited by Jin-Chuan Duan, James E. Gentle, Wolfgang Haerdle Berlin: Springer, 2011
  • A first look at the microstructure of CDS markets (with Laurence Lescourret), 2008 in Proceedings of the 1st International Financial Research Forum, edited by Monique Jeanblanc, Economica
  • "Maximum Likelihood'' (with Jin-Chuan Duan) 2004, Encyclopedia of Actuarial Science, 2004, eds. Jozef Teugels and Bjorn Sundt, Wiley, Volume 2, 1107-1115
Working Papers
    • IFSID (Montreal Institute of Structured Finance and Derivatives) award for the best paper on Derivatives presented at the 2015 Northern Finance Association (NFA) meeting
Old Working Papers