Laurent-Emmanuel Calvet
| Laurent-Emmanuel Calvet | |
|---|---|
| Born | February 28, 1969 |
| Nationality | French |
| Fields | Financial economics |
| Alma mater |
Yale University École des Ponts ParisTech École Polytechnique |
| Doctoral advisors |
John Geanakoplos Benoit Mandelbrot Peter C. B. Phillips |
| Doctoral students |
George-Marios Angeletos Paolo Sodini Boris Vallée |
Laurent-Emmanuel Calvet (born February 28, 1969) is a French economist. He is a Professor of Finance at EDHEC Business School.
Calvet was born on February 28, 1969. He attended Lycée Janson de Sailly and Lycée Louis-le-Grand in Paris. He obtained engineering degrees from École Polytechnique in 1991 and École des ponts ParisTech in 1994. He went on to complete his M.A., M.Phil. and Ph.D. (1998) in economics from Yale University.
Calvet served as an assistant professor and then as the John Loeb associate professor of the Social Sciences at Harvard University from 1998 to 2004. He taught Finance at HEC Paris from 2004 to 2016. Calvet was also a professor and chair in finance at Imperial College London from 2007 to 2008. In September 2016, he joined the EDHEC Business School faculty as a professor of Finance.
In 2006, Calvet received the “Best Finance Researcher under the Age of 40” award from Le Monde and the Europlace Institute of Finance.
Calvet is known for his research in financial economics, household finance, and econometrics. He pioneered with Adlai Fisher the Markov switching multifractal model of financial volatility, which is used by academics and financial practitioners to forecast volatility, compute value-at-risk, and price derivatives. This approach is summarized in the book “Multifractal Volatility: Theory, Forecasting and Pricing” (2008).
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