Laurent E. Calvet is a Professor of Finance at HEC Paris and a Faculty Research Fellow at the National Bureau of Economic Research (USA). He is an engineering graduate from Ecole Polytechnique in Paris and holds a PhD in Economics from Yale University. Prior to joining HEC Paris, Laurent Calvet served as the John Loeb Associate Professor of the Social Sciences at Harvard University (1998-2004), and as a Professor and Chair in Finance at Imperial College London (2007-8). In 2006, Laurent Calvet received the “Best Finance Researcher under the Age of 40” award from Le Monde and the Europlace Institute of Finance. His research on asset pricing, household finance, and volatility modeling has appeared in leading economics and finance journals. Laurent Calvet pioneered with Adlai Fisher the Markov-Switching Multifractal model of financial volatility, which is increasingly used by financial practitioners to forecast volatility, compute value-at-risk, and price derivatives. This approach is summarized in their recent book “Multifractal Volatility: Theory, Forecasting and Pricing.” |
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