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welcome
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I am a quantitative analyst working for a private company in Switzerland.
Formerly, I was a postdoctoral researcher at the Center for
Operations Research and Econometrics, University Catholique de Louvain, Belgium and
at the Econometric
Institute, Erasmus University Rotterdam, the Netherlands. I obtained my PhD in
Bayesian econometrics at the Department of
Quantitative Economics, University of Fribourg, Switzerland, under the
supervision of Prof. Dr. Philippe Deschamps.
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my interests
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My interest is in Bayesian statistics and its application to quantitative finance.
The subject of my PhD thesis was the Bayesian estimation of single-regime and
regime-switching GARCH models with applications to financial risk management. My thesis has
been published in the Springer's series Lecture Notes in Economics
and Mathematical Systems. summary,
link,
toc and errata. Look
inside the book on Amazon.
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research
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Meucci, A., Ardia, D., Keel, S. (2010).
Fully Flexible Extreme Views.
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Ardia, D., Hoogerheide, L. (2010).
Efficient Bayesian estimation and combination of GARCH-type models.
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Mullen, K., Ardia, D., Gil, D.L, Windover, D., Cline, J. (2010).
DEoptim: An R package for global optimization by differential evolution.
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Keel, S., Ardia, D. (2009).
Generalized marginal risk.
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Ardia, D., Hoogerheide, L.F., van Dijk, H.K. (2009).
To bridge, to warp or to wrap: a comparative study of Monte Carlo methods for efficient evalutation of marginal likelihoods.
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Ardia, D., Hoogerheide, L.F., van Dijk, H.K. (2009).
AdMit: Adaptive mixture of Student-t distributions.
The R Journal 1(1), pp.25-30. |
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Ardia, D., Hoogerheide, L.F., van Dijk, H.K. (2009).
Adaptive mixture of Student-t distributions as a flexible distribution for efficient sampling.
Journal of Statistical Software 29(3), pp.1-32. |
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Ardia, D. (2009).
Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations.
Econometrics Journal 12(1), pp.105-126 |
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Ardia, D., Hoogerheide, L. (2009).
Bayesian estimation of the GARCH(1,1) model with Student-t innovations in R.
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Ardia, D. (2008).
Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications.
Lecture Notes in Economics and Mathematical Systems 612.
Springer-Verlag, Berlin, Germany.
ISBN 978-3-540-78656-6. |
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Ardia, D. (2007).
Tests d'arbitrage sur options: Une analyse empirique des cotations de market-makers.
Banque et Marchés 89(Juillet-Août), pp.45-54. |
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Ardia, D. (2006).
Bayesian estimation of the GARCH(1,1) model with Normal innovations.
Student 5(3-4), pp.283-298. |
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Ardia, D. (2003).
Analysis of dependencies in low frequency financial data sets.
MASF MS.c. thesis. |
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Ardia, D., Dinh, J. (2003).
Fear trading: A trading strategy based on the VIX.
MASF report. |
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Ardia, D. (2002).
Test d'arbitrage et surface de volatilité: analyse empirique sur données haute fréquence.
UniNE MS.c. thesis. |
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R packages
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AdMit - adaptive mixture of Student-t distributions for efficient MCMC simulation. |
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bayesGARCH - Bayesian estimation of the GARCH(1,1) model with Student-t innovations. |
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DEoptim - global optimizer based on the Differential Evolution algorithm. |
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vitae (upon request)
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