Guillaume SIMON

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RESSEARCH and TEACHING

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Papers Endogeneity and Instrumental Variables in Dynamic Models  (pdf) Nonparametric Analysis of Hedge Funds Lifetimes (pdf) Does Lockup Influences Hedge Funds Lifetimes  (pdf) Portfolio Allocation as an Inverse Problem  (pdf) Mean-Reversion Properties of Implied Volatilities  (pdf)  The European Journal of Finance, Vol.16, June 2010 Others Thesis: Endogeneity in Dynamic Models and Inverse Problems in Finance Hedge Fund Replication  (knol) Teaching Course: Financial econometrics (Ecole Centrale Paris, 2010)  Lecture (pdf) Slides Chap.1 - Chap.2 - Chap.3 - Chap. 4  HEC, Paris (2008) - A little talk on hedge funds  (ppt)

Links

Some additional links of co-authors, friends and interesting readings: Xavier d'Haultfoeuille Romuald Elie Johan Hombert Florian Ielpo Antoine Jacquier Christian Robert Mathieu Rosenbaum Anna Simoni Anne Vanhems Guillaume Weisang For people interested in replication, visit the website of Brendan Beare. For academic material and personal thoughts on actuarial science, insurance, finance and risk management, see the excellent website of Arthur Charpentier.

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