RESEARCH INTERESTS

Stock market volatility, general equilibrium asset pricing, models of information and learning, international finance, macroeconomics

EDUCATION

University of Lausanne, Lausanne, Switzerland
Faculté des Hautes Etudes Commerciales (HEC)

Ph.D. Candidate, Finance, October 2006 (expected graduation: Spring 2012)

• Dissertation Topic: "Essays in Asset Pricing"
• Advisors: Philippe Bacchetta and Bernard Dumas

Northwestern University, Evanston, Illinois USA
Kellogg School of Management

Visiting Scholar, Fall, 2010

University of Lausanne, Lausanne, Switzerland
Faculté des Hautes Etudes Commerciales (HEC)

M.Sc., Finance, June, 2006
B.Sc., Economics, June, 2005

Academy of Economic Studies, Bucharest, Romania

Diploma in Cybernetics, Statistics and Informatics, July, 2002.

 

HONORS AND AWARDS

HEC Lausanne: Prize "Wegelin & Co. Banquiers Privés" for Highest Average Grade Award, M.Sc. in Finance, October 2006.

ACADEMIC EXPERIENCE

Federal Polytechnic School Lausanne (EPFL), Lausanne, Switzerland

Co-taught graduate level course for the Master in Financial Engineering. Shared responsibility for lectures, exams, homework assignments, and grades.

• Investments (30 students) , Spring 2009 & Spring 2010

Univeristy of Lausanne, Lausanne, Switzerland

Co-taught bachelor level course for the Bachelor of Science in Economics program. Shared responsibility for lectures exams, homework assignments, assistants coaching, and grades.

• Principles of Finance (350 students) , Spring 2010 & Spring 2011

Duties at various times have included office hours and leading weekly exercise sessions, homework assignments, project supervising, and grades.

• Financial Econometrics (PhD class, Prof. Eric Jondeau), 2007-2009
• International Finance (MSc class, Prof. Bernard Dumas), Fall 2008
• Empirical Methods in Finance (MSc class, Prof. Eric Jondeau), Spring 2008
• Corporate Finance (BSc class, Prof. Eric Jondeau), Spring 2007
• Decision Analysis (BSc class, Prof. Ann van Ackere), 2003-2007

Swiss Finance Institute, Geneva, Switzerland

Duties have included leading exercise sessions and computer lab exercices.

• Global Asset Allocation and Risk Budgeting (Geneva Executive Courses in Finance, Prof. Philippe Jorion), Summer 2008 & Summer 2009

Lausanne Hotel School (EHL), Lausanne, Switzerland

Duties have leading exercise sessions, computer lab exercices, grading projects and exams.

• Statistics and Decision Making (MBA Hospitality Programme, Prof. Ann van Ackere) , Spring 2004 & Spring 2005 & Spring 2006

WORKING PAPERS

[1]

Andrei, Daniel. Information Percolation Driving Volatility, 2011 (JOB MARKET PAPER)

[2]

Andrei, Daniel and Michael Hasler. Investors' Attention and Stock Market Volatility, 2011

[3]

Andrei, Daniel and Michael Hasler. Volatility Clustering with Learning and Model Heterogeneity, 2011

[4]

Andrei, Daniel and Julien Cujean. Information Percolation in Centralized Markets, 2010

[5]

Andrei, Daniel. International Portfolio Choice and Relative Wealth Concerns, 2010

[6]

Andrei, Daniel and Julien Cujean. Global Public Signals, Heterogeneous Beliefs and Stock Markets Comovement, 2009

[7]

Andrei, Daniel. Trade Costs, Heterogeneous Firms and International Portfolio Choice, 2008

CONFERENCE AND SEMINAR PRESENTATIONS

(* indicates presentation by co-author)

[1]

1. Princeton-Lausanne Workshop in Quantitative Finance, Lausanne, Switzerland, May 2011
2. Brown Bag Seminar at HEC, Lausanne, Switzerland, April 2011
3. "Les Doctoriales de l'UNIL", Lausanne, Switzerland, March 2011
4. "Asset Pricing Workshop", Lausanne, Switzerland, September 2011
5. Geneva Finance Research Institute, November 2011
6. Department of Banking and Finance at the University of Zurich,
   November 2011
7. Finance Research Seminar at the University of Lausanne, December 2011

[2]

1. Gerzensee Swiss Doctoral Workshop in Finance, June 2011 *
2. Mathematical Finance Days, Montréal, Canada, May 2011
3. Princeton-Lausanne Workshop in Quantitative Finance, Lausanne, Switzerland, May 2011 *

[3]

1. The Financial Risks International Forum on "Long Term Risks", Paris, France, March 2011
2. Gerzensee Swiss Doctoral Workshop in Finance, June 2010

[4]

1. Brown Bag Seminar at Kellogg School of Management, Evanston, USA, December 2010
2. Seminar at MIT Sloan, Boston, USA, March 2011 *
3. Seminar at Boston University, Boston, USA, March 2011 *
4. Princeton-Lausanne Workshop in Quantitative Finance, Lausanne, Switzerland, May 2011 *

[5]

1. Gerzensee Swiss Doctoral Workshop in Finance, June 2010

[6]

1. Gerzensee Swiss Doctoral Workshop in Finance, June 2009
2. The Australasian Finance & Banking Conference, Sydney, Australia, December 2009

[7]

1. Gerzensee Swiss Doctoral Workshop in Finance, June 2008

REFEREEING ACTIVITY

Mathematical Finance

PROFESSIONAL EXPERIENCE

Safdié Bank, Fixed Income Research Group, Geneva, Switzerland

Elaborated a fixed income investment strategy based on economic data for the US market.

Merrill Lynch Bank, Ultra High NetWorth Research Group, Geneva, Switzerland

Elaborated Ultra High Net Worth investment proposals and helped Strategic Advisory team with portfolio reviews. Worked on a framework to model nonnormality of certain asset classes and elaborate a methodology to incorporate this framework in portfolio optimization.

Manrisk SA, Lausanne, Switzerland

Worked part time while completing studies. Insurance consulting for foreign students and tourists. Development of informatic models for optimizing operations in internal services.

Helvetrisk Insurance Broker, Bucharest, Romania

Worked part time while completing studies. Direct responsibilities for brokerage operations in Bucharest area, business administration, and insurance market studies.

SERVICE

University of Lausanne, Lausanne, Switzerland

• Co-organizer, Asset Pricing Workshop, September 2011

OTHER INFORMATION

• Citizenship: Romanian
• Language: English fluent, French fluent, Romanian native
• Computer Skills: Mathematica, Matlab, LATEX, common Windows spreadsheet, word processing, and presentation software

REFERENCES

Philippe Bacchetta

Professor of Economics

University of Lausanne

1015 Lausanne, Switzerland

philippe.bacchetta@unil.ch

Darrell Duffie

Dean Witter Distinguished Professor of Finance

Stanford University

Stanford, CA 94305-7298, USA

duffie@stanford.edu

Bernard Dumas
Professor of Finance
INSEAD
77300 Fontainebleau, France
bernard.dumas@insead.edu

Eric Jondeau
Professor of Finance
University of Lausanne
1015 Lausanne, Switzerland
eric.jondeau@unil.ch

Last updated: December 26, 2011

www.danielandrei.net