SoFiE Financial Econometrics Summer School 2014: Eric Renault





Eric Renault is C.V. Starr Professor of Economics at Brown University. He has been Founding Co-Editor of Journal of Financial Econometrics and is now President of the Society for Financial Econometrics (SoFiE). He held prior positions in Europe, Canada and the United States. He launched the program in actuarial studies at ENSAE (Paris) in the mid-eighties and the doctoral program in Finance in Toulouse in the early nineties. He is a Fellow of the Econometric Society, Associate Editor of Econometrica, Journal of Econometrics and Co-Editor of Econometric Theory.

Eric Renault’s contributions to econometrics of option pricing include:

  • The first general proof that stochastic volatility produces a volatility smile (in Mathematical Finance, 1996, co-authored with Nizar Touzi)
  • A new model of continuous time stochastic volatility for option pricing based on the Fractional Brownian Motion (in Mathematical Finance, 1998, and in Annals of Finance, 2012, co-authored with Fabienne Comte and Laure Coutin)
  • Applications of Indirect Inference and Implied States Method of Moments for option pricing (in Journal of Business, Economics and Statistics, 2000 and 2003, co-authored with Sergio Pastorello, Valentin Patilea and Nizar Touzi)
  • The role of latent variables and preferences in option pricing (in Journal of Econometrics, 2003, Canadian Journal of Economics, 2005 and Review of Financial Studies, 2008, co-authored with Rene Garcia, Richard Luger and Fousseni Chabi-Yo)
  • An extension of the Method of Moments for nonparametric inference on the state price density (in Econometrica, 2011, co-authored with Patrick Gagliardini and Christian Gourieroux)
  • Several survey papers on “Econometrics of Option Pricing” including
    • Seventh World Congress of the Econometric Society, Tokyo, 1995, published in 1997 by Cambridge University Press
    • Handbook of Financial Econometrics, North Holland, 2010, co-authored with R. Garcia and E. Ghysels
    • Encyclopedia of Quantitative Finance, Wiley, 2010.


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