Associate professor, Director of the LSF

Academic Area(s) Finance / Quantitative methods in economics & management / Mathematics
Research Topics Financial mathematics, Statistics, Stochastic analysis
Faculty or Centre Faculty of Law, Economics and Finance
Research Unit Luxembourg School of Finance (LSF)
Postal Address Campus Kirchberg, Université du Luxembourg
6, rue Richard Coudenhove-Kalergi
L-1359 Luxembourg
Campus Office F 108
Telephone (+352) 46 66 44 6800
Fax (+352) 46 66 44 36800
Speaks English, French, German, Luxembourgish

Last updated on: 27 Sep 2017

"Conditioned Higher Moment Portfolio Optimisation Using Optimal Control", (with M. Boissaux), V. Terraza & H. Razafitombo (eds.), Understanding Investment Funds: Insights from Performance and Risk Analysis, p. 106-128), 2013

"On the classical solution to the linear-constrained minimum energy problem", (with M. Boissaux), International Journal of Control, 85-2, p. 143-146, 2012

"Optimal mix of funded and unfunded pension systems: the case of Luxembourg", (with J.-D. Guigou, B. Lovat), Pensions, 17-4, p. 208-222, 2012

"On the Efficiency of Risk Measures for Funds of Hedge Funds", (with F. Laube, V. Terraza), Journal of Derivatives and Hedge Fund, 17-1, p. 63-84, 2011

"Analysis of the salary trajectories in Luxembourg: a finite mixture model approach", (with J.-D. Guigou, B. Lovat), Proceeding of the 1st International Conference on Stochastic Modeling Techniques and Data Analysis, p. 319-326, 2011

"The impact of ageing population on pay-as-you-go pension systems: The case of Luxembourg", (with J.-D. Guigou, B. Lovat), Journal of International Finance and Economics, 10-1, p. 110-122, 2010

Last updated on: 08 Sep 2014