Davide Tomio (UVA Darden)
"A Real Cost of Free Trades: Retail Option Trading Increases the Volatility of Underlying Securities" with Marc Lipson and Jiang Zhang
Sophia Li (Rutgers)
"Forecasting and Managing Correlation Risks" with Tim Bollerslev and Yushan Tang
Alessio Saretto (Dallas Fed)
"Are Equity Option Returns Abnormal? IPCA Says No" with Amit Goyal
Joost Driessen (Tilburg)
"Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets" with Sebastian Ebert and Joren Koeter
Liuren Wu (Baruch)
"Common Pricing of Decentralized Risk: A Linear Option Pricing Model" with Yuzhao Zhang
Tyler Muir (UCLA)
"Whatever it Takes? The Impact of Conditional Policy Promises," with Valentin Haddad and Alan Moreira
Turan Bali (Georgetown)
"A Factor Model for Stock Options" with Jay Cao, Fousseni Chabi-Yo, Linjia Song, and Xintong Zhan
David Bates (Iowa)
"Stock Market Volatility and the VIX."
Taisiya Sikorskaya (LBS)
"Retail Trading in Options and the Rise of the Big Three Wholesalers" with S. Bryzgalova and A. Pavlova
John Hull and Zissis Poulos (Toronto)
Hedging Using Deep Reinforcement Learning
Viktor Todorov (Kellogg)
Jumps, Leverage, and Risk Premia with Tim Bollerslev
Xintong Zhan (Fudan University)
Unlocking ESG Premium from Options with Jie Cao, Amit Goyal, and Weiming Zhang
Andrea Velodin (BU)
Hansen-Jagannathan Unbound: Testable Restrictions of Asset Pricing Models with Piotr Orłowski, Alireza Tahbaz-Salehi, and Fabio Trojani
Esen Onur (CFTC)
Who Trades Bitcoin Futures and Why? with Alex Ferko, Amani Moin, and Michael Penick
Amit Goyal (U of Lausanne and SFI)
Cheap Options Are Expensive, with Alexei Boulatov, Assaf Eisdorfer, and Alexei Zhdanov
Math Fournier (HEC Montréal)
Understanding the Comovement between Corporate Bonds and Stocks: The Role of Default Risk with A. Dickerson, A. Jeanneret, and P. Mueller
Ian Martin (LSE)
“Sentiment and Speculation in a Market with Heterogeneous Beliefs” with Dimitris Papadimitriou
David Schreindorfer (ASU)
“Volatility and the Pricing Kernel” with Tobias Sichert
Olivier Daviaud (Société Générale)
"Linking the performance of vanilla options to the volatility premium" with Abhishek Mukhopadhyay
Heiner Beckmeyer
"Option Return Predictability with Machine Learning and Big Data" with Turan Bali, Mathis Moerke, and Florian Weigert
Gurdip Bakshi (Temple)
"Volatility Uncertainty and VIX Futures Contango" with John Crosby, Xiaohui Gao, and Jinming Xue
Pietro Veronesi (Chicago Booth)
"Option-Implied Spreads and Option Risk Premia" with Christopher Culp, Mihir Gandhi, and Yoshio Nozawa
Jan Ericsson (McGill)
Asset Variance Risk and Compound Option Prices, with Hitesh Doshi, Mathieu Fournier, and Sang Seo
Mariana Khapko (Toronto)
Asymmetries and the Market for Put Options, with Adam Farago and Chayawat Ornthanalai
Andrey Ermolov (Fordham)
The variance risk premium in equilibrium models, with Geert Bekaert and Eric Engstrom
Markus Leippold (U of Zurich)
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks affects the CDS Term Structure, with Julian Kölbel, Jordy Rillaerts, and Qian Wang
Donghwa Shin (UNC)
The Impact of Derivatives on Cash Markets: Evidence From the Introduction of Bitcoin Futures Contracts, with Patrick Augustin and Alexey Rubtsov
Fousseni Chabi-Yo (UMass Amherst)
"A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models" with J. Loudis
Marco Avellaneda (NYU)
"Trading Signals In VIX Futures" with T. N. Li, A. Papanicolaou, and G. Wang
Liuren Wu (Baruch)
Limits of Arbitrage and Primary Risk Taking in Derivative Securities, with Meng Tian
Ruslan Goyenko (McGill)
"The Joint Cross Section of Option and Stock Returns Predictability with Big Data and Machine Learning", with Chengyu Zhang
Nicola Fusari (Johns Hopkins)
"Structural Stochastic Volatility" with F. Bandi and R. Reno
Pierre Collin-Dufresne (SFI @ EPFL)
"How integrated are credit and equity markets? Evidence from index options" with B. Junge and A. Trolle
Darrell Duffie (Stanford GSB)
"Reserves Were Not So Ample After All" with Adam Copeland and Yilin (David) Yang
Stefano Giglio (Yale)
"Equity Term Structures without Dividend Strips Data" with B. Kelly and S Kozak
Bjørn Eraker (Wisconsin-Madison)
Sang Byung Seo (Wisconsin-Madison)
Tobias Sichert (Stockholm School of Economics)
“The Shape of the Pricing Kernel and Expected Option Returns”
Shuaiqi Li (U of Maryland)
"Option Momentum" with S. Heston
Yannick Dillschneider (Goethe University Frankfurt)
"GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices" with R. Maurer
"Modeling Volatility in Dynamic Term Structure Models" by H. Doshi, K. Jacobs and Rui Liu, slides
Discussion by Guillaume Roussellet (McGill), slides
"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
"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
"Fed Tails: FOMC Announcements and Stock Market Uncertainty" by Heiner Beckmeyer, N. Branger and T. Grünthaler, slides
Discussion: Emanuel Moench (Bundesbank), slides
"Bond Funds and Credit Risk" by Jaewon Choi, A. Dasgupta and J.Y.J. Oh
Discussion: Vikas Agarwal (GSU)
"Risk Appetite and Intermediation by Swap Dealers" by S. Mixon and Esen Onur
Discussion: Lars Lochstoer (UCLA)
"Price Pressures and Option Returns"* by Ruslan Goyenko and C. Zhang (McGill), slides
Discussion: Albert Menkveld (VU Amsterdam), slides
"Market Return Around the Clock: A Puzzle" by O. Bondarenko and Dmitriy Muravyev, slides
Discussion: Charles Martineau (Toronto), slides
"Engineering Lemons" by Petra Vokata (OSU), slides
Discussion: Neil Pearson (UIUC), slides
"Extrapolation and Complexity" by Donghwa Shin (UNC), slides
Discussion: Boris Vallée (Harvard), slides
Jose Maria Barrero (ITAM), slides
“Short and Long Run Uncertainty” with N. Bloom and I. Wright
Antonia Kirilova (SMU), slides
“Who Profits from Trading Options?” with J. Hu, D. Ryu, and S. Park
Chukwuma Dim (Frankfurt School), slides
“Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks” with F. Chabi-Yo & G. Vilkov
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
Paola Pederzoli (University of Houston), slides, chat
"Are intermediary constraints priced?" with B. M. Hébert and A. Wang Huber
Steve Heston (University of Maryland), slides
Torben Andersen (Northwestern Kellogg), slides
"Option-Based Tail Variation Measures, the Equity Risk Premium, and a Peek at tailindex.com."
Ian Dew-Becker (Northwestern Kellogg)
"Cross-sectional uncertainty and the business cycle: Evidence from 40 years of options data" with Stefano Giglio
Kris Jacobs (University of Houston), slides
"Expected and Realized Returns on Volatility" with G. Hu
Gurdip Bakshi (Temple University)
"A New Formula for the Expected Excess Return of the Market." with J. Crosby, X. Gao Bakshi, and W. Zhou
Peter Carr (NYU), slides
"The Bachelier Model and a Simpler Alternative"
Fabio Trojani (University of Geneva, SFI), slides
"Smart Stochastic Discount Factors" with S. A. Korsaye and A. Quaini
Mikhail Chernov (UCLA Anderson), slides
"A no-arbitrage perspective on global arbitrage opportunities" with P. Augustin, L. Schmid, and D. Song
Francis Longstaff (UCLA Anderson), slides
"Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives" with Matthias Fleckenstein