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

Jens Jackwerth

"On the Attractiveness of Short-Duration Dividend Strips" with Ben Golez

Peter Carr (NYU)

"Stoptions: Representations and Applications"

Hyung Joo Kim

"Characterizing the Conditional Pricing Kernel: A New Approach"

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)

"Predictability Puzzles"

Sang Byung Seo (Wisconsin-Madison)

"Is There a Macro-Announcement Premium?"

Stephen Figlewski (NYU)

An American Call IS Worth More than a European Call: The Value of American Exercise When the Market is Not Perfectly Liquid

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

Chao Ying (U of Minnesota)

"The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance"

Ljubica Georgievska (UCLA)

"The persistent element of the no-arbitrage framework: discount rates, bases, and opportunity cost of collateral"

"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

"Crash Risk in Individual Stocks."

Wenxin Du (University of Chicago Booth), slides

"Are intermediary constraints priced?" with B. M. Hébert and A. Wang Huber

Steve Heston (University of Maryland), slides

"Recovering the Variance Premium"

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