Quantitative Portfolio and Risk Management, Volatility and Risk, Bayesian and Monte Carlo Methods


Eric Jacquier is a Visiting Professor of Finance at Boston University. His MBA is from UCLA, and his Ph.D. in Finance and Statistics from the University of Chicago. Before BU, he taught at Chicago, Cornell, Wharton, Boston College, Montreal and MIT. He also consults and conducts executive education courses.

Eric Jacquier’s research is in empirical asset pricing and financial econometrics, especially quantitative portfolio and risk management. He studies the forecasting of risk parameters, such as betas and volatilities, crucial for derivative pricing, and risk and portfolio management. He is a specialist of Bayesian methods in finance, and his work with Nick Polson and Peter Rossi pioneered the use of Markov Chain Monte Carlo methods in Finance.

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CIRANO Publications by Eric Jacquier

As an author

1 to 5 of 6 results

Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs

Cedric Okou and Eric Jacquier

Risk Management

Predicting Systematic Risk: Implications from Growth Options

Eric Jacquier, Sheridan Titman and Atakan Yalçin

Financial risks

Stochastic Volatility: Univariate and Multivariate Extensions

Eric Jacquier, Nicholas G. Polson and Peter E. Rossi

Risk Management, Financial risks and Simulation

Model Error in Contingent Claim Models Dynamic Evaluation

Eric Jacquier and Robert Jarrow

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