Past Workshops
November 4, 2020
Tobias Sichert (Stockholm School of Economics)
“The Shape of the Pricing Kernel and Expected Option Returns”
October 28, 2020
Bjørn Eraker (Wisconsin-Madison)
October 21, 2020
Sang Byung Seo (Wisconsin-Madison)
PhD Workshop
October 14, 2020
October 7, 2020
Shuaiqi Li (U of Maryland)
"Option Momentum" with S. Heston
October 7, 2020
Yannick Dillschneider (Goethe University Frankfurt)
"GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices" with R. Maurer
CDI Derivatives Conference
September 30, 2020
"Modeling Volatility in Dynamic Term Structure Models" by H. Doshi, K. Jacobs and Rui Liu, slides
Discussion by Guillaume Roussellet (McGill), slides
September 30, 2020
"The Dark Matter in Equity Index Volatility Dynamics: Assessing the Economic Rationales for Unspanned Risks" by Gurdip Bakshi, J. Crosby and X. Gao, slides
Discussion by Winston Dou (Wharton), slides
September 23, 2020
"The Cross Section of the Monetary Policy Announcement Premium" by H. Ai, L.J. Han, Xuhui (Nick) Pan, and L. Xu, slides
Discussion: Michael Weber (Chicago), slides
September 23, 2020
"Fed Tails: FOMC Announcements and Stock Market Uncertainty" by Heiner Beckmeyer, N. Branger and T. Grünthaler, slides
Discussion: Emanuel Moench (Bundesbank), slides
September 16, 2020
"Bond Funds and Credit Risk" by Jaewon Choi, A. Dasgupta and J.Y.J. Oh
Discussion: Vikas Agarwal (GSU)
September 16, 2020
"Risk Appetite and Intermediation by Swap Dealers" by S. Mixon and Esen Onur
Discussion: Lars Lochstoer (UCLA)
September 9, 2020
"Price Pressures and Option Returns"* by Ruslan Goyenko and C. Zhang (McGill), slides
Discussion: Albert Menkveld (VU Amsterdam), slides
September 9, 2020
"Market Return Around the Clock: A Puzzle" by O. Bondarenko and Dmitriy Muravyev, slides
Discussion: Charles Martineau (Toronto), slides
September 2, 2020
"Engineering Lemons" by Petra Vokata (OSU), slides
Discussion: Neil Pearson (UIUC), slides
September 2, 2020
"Extrapolation and Complexity" by Donghwa Shin (UNC), slides
Discussion: Boris Vallée (Harvard), slides
Junior Career Researcher Series
August 26, 2020
Jose Maria Barrero (ITAM), slides
“Short and Long Run Uncertainty” with N. Bloom and I. Wright
August 19, 2020
Antonia Kirilova (SMU), slides
“Who Profits from Trading Options?” with J. Hu, D. Ryu, and S. Park
August 12, 2020
Chukwuma Dim (Frankfurt School), slides
“Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks” with F. Chabi-Yo & G. Vilkov
August 5, 2020
Patrick Augustin (McGill University), slides
“In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk” with V. Sokolovski, M. Subrahmanyam, & D. Tomio
July 29, 2020
Paola Pederzoli (University of Houston), slides, chat
July 22, 2020
"Are intermediary constraints priced?" with B. M. Hébert and A. Wang Huber
July 15, 2020
Steve Heston (University of Maryland), slides
July 8, 2020
Gurdip Bakshi (Temple University)
"A New Formula for the Expected Excess Return of the Market." with J. Crosby, X. Gao Bakshi, and W. Zhou
July 1, 2020
Ian Dew-Becker (Northwestern Kellogg)
"Cross-sectional uncertainty and the business cycle: Evidence from 40 years of options data" with Stefano Giglio
June 24, 2020
Kris Jacobs (University of Houston), slides
"Expected and Realized Returns on Volatility" with G. Hu
June 17, 2020
Francis Longstaff (UCLA Anderson), slides
"Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives" with Matthias Fleckenstein
June 10, 2020
Torben Andersen (Northwestern Kellogg), slides
"Option-Based Tail Variation Measures, the Equity Risk Premium, and a Peek at tailindex.com."
June 3, 2020
Mikhail Chernov (UCLA Anderson), slides
"A no-arbitrage perspective on global arbitrage opportunities" with P. Augustin, L. Schmid, and D. Song
May 20, 2020
Fabio Trojani (University of Geneva, SFI), slides
"Smart Stochastic Discount Factors" with S. A. Korsaye and A. Quaini
May 13, 2020
Peter Carr (NYU), slides
"The Bachelier Model and a Simpler Alternative"