I am a Professor of Finance at EDHEC Business School. An engineering graduate from Ecole Polytechnique and Ecole Nationale des Ponts et Chaussées (France), I hold a Ph.D. in Economics from Yale University. I am affiliate of the Center for European Policy Research (London) and the Center for Financial Studies (Frankfurt). I am a founding member of the CEPR Network in Household Finance.
Prior to joining EDHEC, I served as the John Loeb Associate Professor of the Social Sciences at Harvard University (1998-2004), a Professor and Chair in Finance at Imperial College London (2007-8), and an HEC Foundation Chaired Professor at HEC Paris (2004-16).
My research focuses on asset pricing, household finance, and financial econometrics. I co-developed with Adlai Fisher the Markov-Switching Multifractal model of financial volatility, which is increasingly used by practitioners to forecast value-at-risk and price derivatives.