Laurent Calvet

Professor of Finance, EDHEC Business School

Laurent E. Calvet is a Professor of Finance at EDHEC Business School. He is an engineering graduate from Ecole Polytechnique (1991) and Ecole Nationale des Ponts et Chaussées (1994) in Paris and holds a Ph.D. in Economics from Yale University (1998). He has served as the John Loeb Professor of the Social Sciences at Harvard University (1998-2004), an HEC Foundation Professor at HEC Paris (2004-16), and a Professor and Chair in Finance at Imperial College London (2007-8). His contributions to household finance, asset pricing, and multifractal risk modeling have appeared in leading economics, finance, and statistics journals. Prof. Calvet 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. He is a Research Associate of Goethe University Frankfurt's Center for Financial Studies, a Founding Member of the CEPR Household Finance Network, and an editorial board member of several academic journals, including Journal of Fractal Geometry.

Content by this Author

Articles by laurentcalvet

CEPR Policy Research

Events