Andras Fulop
Associate Professor, Finance Department

Photo de Andras Fulop
Curriculum Vitae (pdf)
General Information Research Areas Publications Other Activities
Education

Ph.D. in Finance, University of Toronto/Rotman School of Management

M.A. in Economics, University of Toronto, Canada

M.Sc. in Economics, Budapest University of Economic Sciences, Hungary 
Biography
Research Areas
Areas
Credit Risk, Derivatives, Financial Econometrics


Academic Publications
Articles
  "Density-Tempered Marginalized Sequential Monte Carlo Samplers" (A. Fulop, JC. Duan), Journal of Business and Economic Statistics, Apr 2015, Vol. 33, Issue 2, p. 192‑202
  "Self-Exciting Jumps, Learning, and Asset Pricing Implications" (A. Fulop, J. Li, J. Yu), Review of Financial Studies, Issue Forthcoming
  "Efficient learning via simulation: A marginalized resample-move approach" (A. Fulop, J. Li), Journal of Econometrics, Oct 2013, Vol. 176, Issue  2, p. 146‑161
  "A stable estimator of the information matrix under EM for dependent data" (A. Fulop, JC. Duan), Statistics and Computing, Sep 2009, Vol.  , Issue  , p.  ‑
  "Estimating the structural credit risk model when equity prices are contaminated by trading noises" (A. Fulop, JC. Duan), Journal of Econometrics, Jun 2009, Vol. 150, Issue 2, p. 288‑296


Chapters
  Filtering Methods. In: Handbook of Computational Finance. Berlin : Springer, Jin-Chuan Duan, James E. Gentle, Wolfgang Haerdle . 2012, p. 439-467
  Maximum Likelihood. In: Encyclopedia of Actuarial Science (with JC. Duan). Chichester (UK) : Wiley & Sons, 2004, p. 1107-1115


Working papers
  "Feedback Effects of Rating Downgrades" (A. Fulop). Essec Research Center, DR‑06016 Oct 06.
  "Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises" (JC. Duan, A. Fulop). Essec Research Center, DR‑06015 Oct 06.


Other Publications
Articles published in conference proceedings
  "How liquid is the CDS market?", With L. Lescourret. In : 4th Annual Central Bank Workshop on the Microstructure of Financial Markets, Central Bank Microstructure Conference. : Bank for International Settlements and Hong Kong Institute for Monetary Research, 2008


Awards and Distinctions
2000-2004   Harvey Rourke Fellowship

1999-2004 University of Toronto Fellowship

1999 Soros Foundation Fellowship

Scientific Activities
Conference Presentations

International Conferences:


Econometric Society European Meeting 2007

FERM 2007 Beijing

AFFI Paris 2006 December 

FDIC 16th Derivatives Securities and Risk Management Conference 2006 April


Invited Seminars, Workshops:

2007 CREST,Paris 12,Academia Sinica
Taipei,INSEAD


2006 Budapest Economic Seminar Series at MNB, Bocconi,ESSEC,BIS,HEC Montreal  

Affiliations and Academic Responsibilities

Member of CREST, Finance and Insurance Laboratory

Consulting & Other Activities
Consulting Project for Eurotitrisation 2006-2007

Professional Experience
2005 summer,  Hungarian National Bank, Research Division, Visiting Researcher
Useful Links
Finance
Contact
E-mail

ESSEC Business School
Av. Bernard Hirsch
B.P. 50105
95021 Cergy Pontoise Cedex
France