Academic vita
GRADUATE EDUCATION
- Ecole Normale Supérieure (Section Mathematics) - Master's Degree in Mathematics, Mention Très Bien
University Pierre et Marie Curie - Master's Degree in Atomic and Nuclear Physics, Mention Très Bien
University Pierre et Marie Curie
DOCTORAL EDUCATION
- Agrégation de Mathématiques - Doctorate in Mathematics (Probability Theory), Mention Très Honorable avec les Félicitations du Jury, University Pierre et Marie Curie
"Contribution à l’Etude des Convergences Stochastiques des Mesures Aléatoires" - Doctorate in Finance, Mention Très Honorable avec les Félicitations du Jury Université Panthéon-Sorbonne
"Une Approche Probabiliste de la Structure par Termes des Taux d’Intérêt" - Habilitation à diriger des Recherches en Finance, University Panthéon-Sorbonne - Agrégation des Universités en Sciences de Gestion
POSITIONS HELD
2006 - Professor of Mathematical Finance, Birkbeck, University of London Director, Commodity Finance Centre 1996- 2006 Professor of Finance at the University Paris Dauphine- Director of DESS 203
"Securities Markets, Commodities Markets and Risk Management" 1993 - 1996 Professor of Finance at ESSEC Graduate Business School,
Chair of the Finance Department Summer 1993 Visiting Researcher at ETH, Zurich 1988 - 1992 Head of Research, Caisse des Dépôts, Paris
EDITORIAL ACTIVITIES
Co- Chair of the French Chapter of the International Association of Financial Engineers Member of the Advisory Board, Journal of Banking and Finance Associate Editor, Journal of Energy Markets Associate Editor, Journal of Financial Services Research Associate Editor, Mathematical Finance Associate Editor, Geneva Papers on Insurance Associate Editor, Journal of Alternative Investments Associate Editor, Applied Mathematical Finance
BOOKS
"Risk Management in Commodity Markets : from Shipping to Agriculturals and Energy", July 2008, Wiley Finance "Commodities and Commodity Derivatives: Pricing and Modeling Agricultural, Metals and Energy", January 2005, Wiley Finance Co-editor of ''Selected Publications from the Bachelier World Congress, Paris 2000'', Springer Verlag, 2001 "Weather and Insurance Derivatives" Publisher: RISK Books, 1999
PUBLICATIONS
"Mispricing and Trading Profits in ETNs" (with L. Thukral et al.), forthcoming 2014, Journal of Investing "A Daily Trading Strategy in the ETN Space" (with L.Thukral et al.), forthcoming 2014, Journal of Trading "Theory of Storage, Inventory and Volatility in the LME Base Metals" (with W.O. Smith), 2013, Resources Policy "Are ETNs realizing their potential? An empirical investigation of ETNs vs. other exchange traded products in the precious metals space" (with L. Thukral), 2012, Journal of Index Investing “Commercial Real Estate Inventory and Theory of Storage” (with R. Tunaru), 2012, Journal of Futures Markets "Seasonality in Cocoa Spot and Forward Markets: Empirical Evidence" (with S. Sarfo), 2012, Journal of Agricultural Extension and Rural Development "Shipping Markets and Freight Rates: An Analysis of the Baltic Dry Index" (with W.O. Smith), 2012, Journal of Alternative Investments
"Price Volatility in Storable Commodity Markets: Speculation or Scarcity?", 2011, Swiss Derivatives Review "Distortion Risk Measures for Hedge Funds", (with C. Kharoubi), 2011, Journal of Risk Management for Financial Institutions "Commodities and Numéraire" (with Y. Shih), 2010, Encyclopedia of Quantitative Finance, Wiley Publisher. "Realized Variance Options and Convex Orders" (with P. Carr, D. Madan and M. Yor), 2010, Quantitative Finance "On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market", 2009, Swiss Finance Institute Research Paper "On Pricing Risky Loans and Collateralized Fund Obligations" (with E. Eberlein and D. Madan), 2009, Journal of Credit Risk "Forward Curves, Scarcity and Price Volatility in Oil and Natural Gas Markets" (with S. Ohana), 2009, Energy Economics "Modelling Electricity Prices with Forward Looking Capacity Constraints" (with A. Cartea and M. Figueroa), 2009, Applied Mathematical Finance
"Modeling Commodity Prices under the CEV model" (with Y. Shih), Winter 2009, Journal of Alternative Investments "WTI crude oil Futures in portfolio diversification : The time-to-maturity effect" (with C. Kharoubi), 2008, Journal of Banking and Finance "Valuation of default-sensitive claims under imperfect information" (with D. Coculescu and M. Jeanblanc), 2008, Finance and Stochastics "Correlations and the Pricing of Risks" (with M. Atlan, D. Madan and M. Yor), 2008, Annals of Finance "A lattice-based Method for the Pricing of Energy Derivatives in the Threshold Model" (with S. Kourouvakalis), 2008, Applied Mathematical Finance "Seasonal and Stochastic Features in Commodity Forward Curves" (with S. Borovkova), 2008, Review of Derivative Research "Time Consistency in Managing Commodity Portfolio: A Dynamic Risk Measure Approach", (with S. Ohana), 2008, Journal of Banking and Finance "Water as a Next Commodity" (with A. Kanyinda), 2007; Journal of Alternative Investments "Mean Reversion versus Random Walk in Oil and Natural Gas Prices", 2007, Advances in Mathematical Finance, Birkhäuser Boston "Correlations and the Pricing of Risks" (with M. Atlan, D. Madan and M. Yor), 2007, Annals of Finance "Self Decomposition and Option Pricing (with P. Carr, D. Madan and M. Yor), 2007, Mathematical Finance "Analysis and Modelling of Electricity Futures Prices" (with S. Borovkova), 2006, Studies in Nonlinear Dynamics & Econometrics "Stochastic Clock and Financial Markets", 2006, Actes du Colloque de l'Académie des Sciences, février 2005 "Understanding the Fine Structure of Electricity Prices" (with A. Roncoroni), 2006, Journal of Business "Risk in Returns: A Pure Jump Perspective" (with D. Madan), 2005, in Exotic Option Pricing and Advanced Lévy Models, Wiley "Energy Commodity Prices: Is Mean-Reversion Dead?", 2005, Journal of Alternative Investments "From Measure Changes to Time Changes in Asset Pricing", 2005, Journal of Banking and Finance "Pricing Options on Realized Variance", (with P. Carr, D. Madan and M. Yor), 2005, Finance and Stochastics "Soybean inventory and forward curves dynamics" (with V. Nguyen), 2005, Management Science "Alternative Approaches to Weather Derivative Valuation" (with M.P Leonardi), 2005, Managerial Finance "From Local Volatility to Local Lévy Models" (with P. Carr, D. Madan and M. Yor), 2004, Quantitative Finance "Pricing in Incomplete Markets: From Absence of Good Deals to Acceptable Risk" (with D. Madan), 2004, in Risk Measures for the 21st Century, Wiley "Hedge Funds: A Copula Approach for Risk Management" (with C. Kharoubi), 2004, in Risk Measures for the 21st Century, Wiley "Stochastic Volatility for Lévy Processes" (with P. Carr, D. Madan and M. Yor), 2003, Mathematical Finance "Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification" (with C. Kharoubi), 2003, Journal of Risk "Le Financement des Risques Catastrophiques", 2003, Risques "Pure Jump Lévy Processes for Asset Price Modelling", 2002, Journal of Banking and Finance "The Fine Structure of Asset Returns : An Empirical Investigation" (with P. Carr, D. Madan and M. Yor), 2002, Journal of Business "Stochastic Volatility, Jumps and Hidden Time Changes" (with D. Madan and M. Yor), 2002, Finance and Stochastics "Time Changes, Laplace Transforms and Path-Dependent Options", 2001, Computational Economics "Forward and Futures Contracts on Non-Storable Commodities: The Case of Electricity" (with O. Vasicek), 2001, RISK "Les Options à Sous-Jacent Exotique : Le Cas des Dérivés Climatiques", 2001, Banque & Marchés, Juillet-Août "Spot and Derivatives Trading in Deregulated European Electricity Markets ", 2001, Revue Economies et Sociétés "Pricing and Hedging in Incomplete Markets" (with P. Carr and D. Madan), 2001, Journal of Financial Economics "Functionals of Brownian Motion in Finance and Insurance", 2001, Chapter of the book Exponentials of Brownian Motion and Related Processes, Springer, "Time Changes for Lévy Processes" (with D. Madan and M. Yor), 2001, Mathematical Finance "The Bermuda Triangle: Electricity, Weather and Insurance Derivatives", 2000, Journal of Alternative Investments "On the Role of State Variables in Interest Rate Models" (with N. El Karoui and V. Lacoste), 2000, Applied Stochastic Models in Business and Industry "From Bachelier and Lundberg to Insurance and Weather Derivatives", 2000, Mathematical Physics Studies, Kluwer Publishers "Asset Prices are Brownian Motion: only in Business Time" (with D. Madan and M. Yor), 2000, Chapter of the book Quantitative Analysis in Financial Markets, World Scientific Publishing Company "Order Flow, Transaction Clock and Normality of Asset Returns" (with T. Ané), 2000, The Journal of Finance "Fundamentals of Electricity Derivatives", 1999, Chapter of the book "Energy Modelling and the Management of Uncertainty", RISK Books "Stochastic Volatility and Transaction Time: An Activity-Based Volatility Estimator", 1999, The Journal of Risk, Vol. 2, N° 1, (with T. Ané) "Learning about Risk: Some Lessons from Insurance", 1998, European Finance Review "Pricing Power Derivatives", 1998, RISK, October, (with A. Eydeland) "De Bachelier à Black-Scholes-Merton", 1998, Gazette des Mathématiciens (Janurary) and Bulletin Français d'Actuariat, April "On the Behavior of the Long Term Rate in a No Arbitrage Framework", 1998, Review of Derivatives Research, (with N. El Karoui, A. Frachot) "Risques Catastrophiques, Risque d'Assurance et Marchés Financiers", 1997, Annales des Ponts et Chaussées, 84 "Stochastic Time Changes and Catastrophe Option Pricing", 1997, Insurance: Mathematics and Economics, 542, (with M. Yor) "Portfolio Optimization and Contingent Claim Pricing With Differential Information", 1997, Stochastics and Stochastics Reports, Vol. 60, (with R. Elliott and B. Korkie) "Some Combinations of Asian, Parisian and Barrier Options", 1997, Mathematics of Derivative Securities, ed. by Dempster and Pliska, Cambridge University Press, (with M. Chesney, M. Jeanblanc, M. Yor) "No Arbitrage Between Economies and Correlation Risk Management", 1997, Computional Economics, 10, (with R. Souveton) "Insurance, Risk Securitization and Derivatives", 1997, Bank of Tokyo, Mitsubishi Risk Directory "Pricing and Hedging Double-Barrier Options: a Probabilistic Approach", 1996, Mathematical Finance, Vol. 6/4, (with M. Yor) Reprinted in the book "Currency Derivatives", editor David DeRosa "Stochastic Subordination", 1996, RISK, September, (with T. Ané) "Insurance Risk Securitization and CAT Insurance Derivatives", 1996, Financial Derivatives and Risk Management, September "Les Instruments Dérivés pour l'Industrie d'Assurance", 1996, Analyse Financière, Mars "La Gestion Actif-Passif dans les Compagnies d'Assurance : l'Exemple de l'Option de Rachat Anticipé", septembre 1995, Transactions of the 25th Annual Colloquium of the International Association of Actuaries, (with M.O. Albizzati, F.M. Durand) "Changes of Numéraire, Changes of Probability Measures and Option Pricing" June 1995, Journal of Applied Probablity. (with N. El Karoui, J.C. Rochet) Reprinted in the book "From Vasicek and Beyond", editor Lane Hughston "Domino Effect: Inverting the Laplace Transform", 1995, RISK, April. (with A. Eydeland) Reprinted in the book "Over the Rainbow", 1995, editor Robert Jarrow "Pricing Catastrophe Futures Contracts and Call Spreads: An Arbitrage Approach", March 1995, Journal of Fixed Income (with D. Cummins) Reprinted in the book "The Strategic Dynamics of the Insurance Industry", 1996, editors E. Altman and I. Vanderhoof "Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies", 1994, Journal of Risk and Insurance. Vol. 13, N°2, (with M.O. Albizzati) "CAT Calls", 1994, RISK, Vol. 7, N°9 Reprinted in the book "Over the Rainbow", 1995, editor Robert Jarrow "An Asian Option Approach to the Valuation of Insurance Futures Contracts", 1994, Review of Futures Markets, Vol. 13, N°2. (with D. Cummins) "A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps", 1994, Advances in Options and Futures Research. (with N. El Karoui) "Valuation of the Roll-Over Option in Guaranted Insurance Contracts", 1994, AFIR Colloquium Proceedings (with M. Vareilles) "Bessel Processes, Asian Options and Perpetuities", 1993, Mathematical Finance, (with M. Yor) "The French Notional Futures Contract in Risk/Return Management", International Review of Financial Analysis, 1993, Vol 23, N°1. (with T. Schneeweis) "Risky Pension Benefits in an Overlapping Generations Model", 1992, with Y. Balasko, University of Geneva Working Paper "La prise en compte de la pratique des marchés dans la modélisation probabiliste en finance", 1992, Journal de la Société Statistique de France, N° 4 "Portfolio Insurance and Synthetic Securities", 1992, Applied Stochastic Models and Data Analysis "Processus de Bessel, Options Asiatiques et Fonctions confluentes hypergéométriques", 1992, Note aux Comptes Rendus de l'Académie des Sciences (with M. Yor) "The Effectiveness of the CAC 40 Futures Contract", Chapter of the book "Global Portfolio Diversification", 1991, (with T. Schneeweis) "A Stochastic Approach to the Pricing of Floating Rate Notes", 1991, RISK, Vol.4 (with N. El Karoui) "Trading/Non Trading Time Effects in the French Futures Markets", 1991, Journal of Accounting, Auditing and Finance (with T. Schneeweis) "Une analyse générale du risque de taux : une approche approfondie" décembre, 1990, Analyse Financière n°83. (with T. d'Archimbaud, R. Portait) "Une Analyse par Arbitrage des Instruments à Taux Variable et à Taux Révisable", 1990, AFIR Colloquium Proceedings (with T. d'Archimbaud and R. Portait) "Problèmes conceptuels dans l'évaluation des outils ALM pour les institutions financières", avril 1990, La Synthèse Financière "Une analyse générale du risque de taux : une approche simplifiée", mars 1990, Analyse Financière n° 80. (with T. d'Archimbaud, R. Portait) "A Framework for Interest Risk Analysis and Portfolio Management", 1989, American Stock Exchange Colloquium Proceedings. (with R. Portait) "L'Importance de la Probabilité Forward Neutre dans une Approche Stochastique des Taux d'Intérêt", 1989, ESSEC Working Paper (Univ. Panthéon Sorbonne PhD Dissert) "Interest Rate Risk Management : Beyond Duration and Convexity", 1988, Caisse des Dépôts Technical Report "Modélisation probabiliste de la structure par termes des taux d'intérêt", 1988, Annales de l'Institut Henri Poincaré
KEYNOTE SPEAKER IN CONFERENCES
Keynote Speaker at the 8th Bachelier Finance Society World Congress, Brussels, June 2014 Keynote Speaker at Commodities Investment Week Asia 2013, Singapore, March 2013 Invited Speaker at Global Derivatives USA, Chicago, November 2012 Invited Speaker at the CRU and Simon Fraser Institute Mining Business Risks Summit, Toronto, October 2012 Keynote Speaker at the Vale-sponsored Conference on Economics and Econometrics of Commodity Prices, Getulia Vargas Foundation, Rio de Janeiro, August 2012 Invited Speaker at the Informa Conference on Price Risk Management in Agricultural Markets, London, July 2012 Invited Speaker at the Invivo Conference Agriculture and Finance, Paris, June 2012 Invited Speaker at the World Gold Council Summit for Wealth Management, Moderator Gillian Tett, London, June 2012 Invited Speaker at the Euromoney Food and Finance Conference, London, May 2012 Keynote Speaker at the World Copper Conference, Santiago, Chile, April 2012 Invited Speaker at the Global Derivatives Conference, Barcelona, April 2012 Invited Speaker at the Conference Global Derivatives USA, Chicago, November 2011 Invited Speaker at the World Commodities Week, London, October 2011 Distinguished Speaker at the Swiss Financial Market Supervisory Authority Meeting, Interlaken, September 2011 Invited Speaker at the Conference New Commodity Markets, Oxford-Man Institute of Quantitative Finance, Oxford, June 2011 Invited Speaker at the Family Office Investment Summit, London, May 2011 Invited Speaker at the Global Forum on Commodities, United Nations, Geneva, January 2011 Keynote Speaker at the Conference on Commodities, Academy of Sciences of Heidelberg, July 2010 Keynote Speaker at Energy Risk, Houston, May 2010 Invited Speaker at ICBI Global derivatives, Paris, May 2010 Invited Speaker at the Conference Current Developments in Valuation and Hedging in Incomplete Markets, Cass Business School, April 2010 Guest Speaker at the Industrial - Academic Forum on Commodities, Fields Institute, April 2010 Invited Speaker at the Bundesbank Workshop on Regulation, Frankfurt, March 2010 Wilmar-International Public Lecture on Commodities, Singapore Management University, January 2010 Keynote Speaker on Agricultural Commodities, Palais de la Bourse, October 2009 Keynote Speaker at Energy Forum, Rome, May 2009 Invited Speaker at a Conference on Financial Engineering, Georgia Tech, Atlanta, April 2009 Invited Speaker on Mathematical Finance, Fields Institute, Toronto, March 2009 Invited Speaker at Global Derivatives and Risk Management, Paris, May 2008 Keynote Speaker of the Association Mining Companies, Santiago de Chile, November 2007 Invited Speaker at the Energy Risk Europe Conference, London, October 2007 Invited Speaker at the Commodities World Conference, London, October 2007 Invited Speaker at the Quant USA Conference, New York, July 2007 Keynote Speaker at the Energyforum Conference on "Modelling Energy Price Risk", Lisbon, June 2007 Invited Speaker at the Conference "New Directions in Asset Pricing and Risk Management", London School of Economics, June 2006 Keynote Speaker at the Conference "Commodity Investment World", Dubai, June 2006 Invited Speaker at the Conference "Europlace Finance", Paris, June 2006 Invited Speaker, Workshop on New Mathematical methods in Risk Theory in Honor of Hans Buhlmann, Florence, October 2005 Keynote Address, EnergyCreditRisk USA 2005, New York, September 2005 Opening Lecture at the Third European Energy Economics Association annual meeting, Norwegian School of Economy, Bergen, August 2005 Closing Lecture at the Conference on Sochastic Calculus in Honor of Robert Elliott, Calgary, July 2005 Invited Speaker, Workshop on Mathématiques Financières, Académie des Sciences, Paris, February 2005 Opening Lecture at the Third World Congress of the Bachelier Finance Society, Chicago, July 2004 Invited Speaker at the RISK Energy USA 2004, Houston, May 2004 Invited Speaker at the Workshop "Risk Management and Model Specifications in Finance", Institute for Mathematics and its Applications, University of Minnosota, April 2004 Invited Speaker at the Winter School on Mathematical Finance, Tilburg University & Erasmus University, December 2003 Invited Speaker at the Conference on Risk Management, Universita Roma La Sapienza, June 2003 Keynote Speaker at the EPRM Conference "Power USA 2003", Houston, May 2003 Invited Speaker at the Conference "RISK Europe 2003", Paris, April 2003 Invited Speaker at the Conference of the International Energy Agency on Investments in the Power Industry, Paris, March 2003 Invited Speaker at the Energyforum Conference "Modelling Energy Price Risk", Francfort, March 2003 Keynote Speaker at the EPRM Conference "Power Europe 2003", London, March 2003 Invited Speaker at the Conference on "Towards Deregulation of European Energy Markets", Scuola d'Administrazione Publiche, Rome, June 2002 Invited Speaker at the RISK Conference on "Quantitative Finance", London, November 2002 Invited Speaker at the annual AMASES Meeting (Mathematics for Economics and Finance), University of Verona, September 2002 Invited Speaker at the Energy and Power Risk Management Europe Conference, Amsterdam, May 2002 Invited Speaker at the Energy and Power Risk Management USA Conference, Houston, May 2002 Invited Speaker at the Conference RISK 2002 Europe, Paris, April 2002 Invited Speaker at the Energyforum Conference "Derivatives for Hydroelectricity", Oslo, December 2001 Invited Speaker at the RISK Conference "Maths Week 2001", London, November 2001 Invited Speaker at the Conference "Gas & Power Risk 2001", Paris, November 2001 Invited Speaker at the Conference "Financial Mathematics for Electricity Derivatives", New-York, July 2001 Invited Speaker at the Conference "European Power 2001", Amsterdam, June 2001 Invited Speaker at the GARP Credit and Counterparty Risk Summit, London, May 2001 Invited Speaker at the Annual Conference "Power 2001", Houston, May 2001 Invited Speaker at the annual ICBI Conference "Global Derivatives", Juan, France, May 2001 Invited Speaker at the Annual European Risk Meeting "RISK 2001", Paris, April 2001 Invited Speaker at the IIR Conference "Managing Electricity Risk under NETA", London, December 2000 Invited Speaker at the Risk Conference "Maths Week 2000", London, November 2000 Expert Speaker at the Conference "Power Risk 2000", Paris, October 2000 Invited Speaker at the 13th annual Conference of the Financial Options Research Center, University of Warwick, September 2000 Invited Speaker at the Conference "Quantitative Risk Management in Finance", Carnegie Mellon University, July 2000 Chair of the Symposium on "Mathematical Finance: Theory and Practice", 3rd European Congress of Mathematicians, Barcelona, July 2000 Invited speaker at the 3rd International Conference on "Mathematical Geophysics", Villefranche s/mer, June 2000 Expert Speaker at the Conference "Power 2000", Houston, May 2000 Invited Speaker at the Conference on "Mathematical Finance", Columbia University, New York, November 1999 Keynote Speaker at the Conference "Power Risk 99", Francfort, October 1999 Invited Speaker at the European Chicago Board of Trade Meeting, Rome, September 1999 Expert Academic Speaker at the RISK Conference on "Electricity Derivatives in the Nordic Market", Stockholm, August 1999 Invited Speaker at the Risk Conference on "Swing Contracts in the Energy Industry" Houston, March 1999. Feature Speaker at the first Energy and Power Risk Conference on "The New European Energy Market", Brussels, March 1999 Invited Speaker at the 3rd annual European RISK Conference on Derivatives, Amsterdam, February 1999 Invited Speaker at the Workshop on "Probability in Finance" Fields Institute, Toronto, January 1999 Invited Speaker at the Energy and Power Risk Conference "Financial Mathematics for Energy Derivatives", London, September 1998 Invited Speaker at the Conference "Financements Alternatifs des Risques", Paris, June 1998 Invited Speaker at the Conference Global Derivatives, Paris, April 1998 Invited Speaker at the RISK Conference on Securitization of Catastrophic Risk, London, March 1998 Invited Speaker at the Colloquium of the Department of Applied Math. Brown University, October 1997 Invited Speaker at the Conference "Stochastic Analysis in Finance and Insurance", Oberwolfach Mathematical Institute, September 1997 Invited Speaker at the Tenth Annual Conference on Options, Financial Options Research Centre, University of Warwick, June 1997 Welcoming Speech in Honor of the Doctorate Honoris Causa of Robert Merton (Nobel Prize 1997), University Paris IX Dauphine, May 1997 Invited Speaker at the Conference Global Derivatives, Paris, April 1997 Invited Speaker at the Conference "Valuation of Defaultable Bonds", London School of Economics, March 1997 Invited Speaker at the 2nd European RISK Conference on Derivatives, Brussels, February 1997 Plenary Academic Speaker at the RISK Conferences "Derivatives for the Insurance Industry", London, October 1996, New-York, November 1996 Invited Speaker at the Conference "Stochastics, Information and Markets", Humboldt University, Berlin, October 1996 Invited Speaker at the International Conference Mathematical Finance I, Aarhus University, Denmark, June 1996 Invited Speaker at the Conference "Frontiers in Risk Management", Institute for Advanced Study, Princeton, April 1996 Invited Speaker at the American Mathematical Society session on "Stochastic Models in Mathematical Finance", Courant Institute, New York, April 1996 Expert Speaker at the annual RISK Conference on Derivatives, Geneva, January 1996 Invited Speaker at the RISK Conference on Insurance Derivatives, New York, October 1995 Plenary Speaker at the 5th AFIR Symposium, Brussels, September 1995 Invited Speaker at the IIR annual Symposium on Options, London, September 1995 Plenary Speaker at the annual Meeting of Société Statistique de France, Session on Insurance and Finance, May 1995 Invited Speaker at the annual Colloquium of the American Stock Exchange Colloquium, New York, March 1995 Invited Speaker at the Conference "Stochastics and Finance", Berlin, September 1994 Invited Speaker at the Chicago Board of Trade Catastrophe Insurance Seminar, London, June 1994 Guest Academic Speaker at the annual RISK Conference on Correlation, London, June 1994 Invited Speaker at the Symposium on Russian, American and Asian Options, Aarhus, April 1994 Invited Speaker at the Conference "Recent Advances in Mathematical Finance", Cortona, May 1994 Invited Speaker at the annual Meeting of the Chicago Board of Trade, Manchester, September 1993 Invited Speaker at the American Stock Exchange Colloquium, New York, March 1993 "Asian Options and Contingent Value Rights" Invited Speaker at the Twentieth European Meeting of Statisticians, Bath (England), September 1992 "Bessel Processes in Finance" Invited Speaker at the Fifth Franco-American (NBER) Economic Meeting on Economics of Aging, Paris, September 1992 "Risky Pension Benefits in an Overlapping Generations Model" Invited Speaker at the Fifth Annual Conference of the Financial Options Research Centre, University of Warwick (England), June 1992, "Bessel Processes and Asian Options" Invited Speaker at the Eurobanking Meeting, Cologne (Germany), May 1991, "Valuation of Interest Rate Swaps" Invited speaker at the Fifth International Symposium on Applied Stochastic Models and Data Analysis, Granada (Spain), April 1991, "Stochastic Modelling of Interest Rates" Plenary Speaker at the annual Meeting of the French Finance Association, Paris, December 1990 Invited Speaker at the IBM Europe Institute Conference on "Mathematics and Finance", Lech (Austria), July 1990 "Portfolio Insurance and Program Trading" Invited Speaker at the first AFIR Colloquium, Paris, April 1990 Invited Speaker at the Conference "Advances in Option Pricing" New York University, October 1989 Invited Speaker at the American Stock Exchange Colloquium, New York, February 1989 | 
