Seminars and Conferences

 

Seminars and Conferences

 

The factor structure in equity options (* denotes co-authors’ presentations)

  • European Finance Association, (Lugano, Suisse), 2014.
  • Sixth Annual SoFiE Conference, (Singapore, Singapore), 2013.*
  • University of Chicago, Booth, (Chicago, US), 2013.*
  • New York University, NYU, (New York, US), 2013.*
  • University of Maryland, (Washington, US), 2013.*
  • University of Lausanne, EPFL, (Lausanne, Suisse), 2013.*
  • Zurich University, (Zurich, Suisse), 2013.*
  • Miami University, (Miami, US), 2013.*
  • IFSID Conference on Structured Products and Derivatives (Montréal, Canada), 2012.*
  • Northern Finance Association, (Niagara Falls, Canada), 2012.
  • Optionmetrics Users Conference (New York, US), 2012.
  • Getulio Vargas Foundation, (Rio de Janeiro, Brésil), 2012.*
  • Laval University, (Québec, Canada), 2012.
  • IFM2 Mathematical Finance Days (Montréal, Canada), 2011.

 

A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth

  • American Finance Association, (San Francisco, US), 2016.
  • Swiss Finance Institute HEC Lausanne, (Lausanne, Suisse), 2014.
  • University of Toronto, Rotman, (Toronto, Canada), 2014.
  • HEC Montréal, (Montréal, Canada), 2014.
  • Bank of Canada, (Ottawa, Canada), 2014.
  • Northern Finance Association, (Ottawa, Canada), 2014.
  • IFM2 Mathematical Finance Days (Montréal, Canada), 2013.
  • IFSID Conference on Structured Products and Derivatives (Montréal, Canada), 2013.

 

Option-based estimation of co-skewness and co-kurtosis risk premia

  • American Finance Association, (Boston, US), 2015.*
  • Seventh Annual SoFiE Conference, (Toronto, Canada), 2014.*
  • Northern Finance Association, (Lake Louise Canada), 2014.
  • Bank of Canada, (Ottawa, Canada), 2014.*

 

When the options market disagrees

  • Northern Finance Association, (Mont-Tremblant, Canada), 2016.
  • The Financial Intermediation Research Society FIRS, (Lisbon, Portugal), 2016*.
  • Midwest Finance Association, (Atlanta, US), 2016.*
  • IFSID Conference on Structured Products and Derivatives, (Montréal, Canada), 2015.*

 

Beta Risk in the Cross-Section of Equities

  • 10th SoFiE Conference, (New York, US), 2017.
  • Swiss Finance Institute, (Lausanne, Switzerland), 2017.
  • OptionMetrics User Conference, (New York, US), 2016.
  • University of Toronto – Rotman, (Toronto, Canada), 2016.
  • McGill University, (Montréal, Canada), 2016.

 

Discussions

 

Systematic Liquidity and Leverage (B. Kahraman & H. Tookes). HEC-McGill Winter Conference (Fernie, Canada), 2017.

Hiding behind Writing: Communication in the Offering Process of Mortgage-Backed Securities. (H. H. Zhang, F. Zhao & X. Zhao). 27th Conference on financial economics and accounting CFEA (Toronto, Canada), 2016.

The price of the smile and variance risk premia. (P. Gruber, C. Tebaldi & F. Trojani). European Finance Association (Olso, Norway), 2016.

Why do option returns change sign from day to night? (D. Muravyev & N. Xuechuan). IFSID Conference on Structured Products and Derivatives, (Montréal, Canada), 2015.

The term structure of CDS spreads and sovereign credit risk. (P. Augustin). Northern Finance Association (Ottawa, Canada), 2014.

Mortgage risk and the yield curve. (A. Malkhozov, P. Mueller, A. Vedolin, & G. Venter). IFSID Conference on Structured Products and Derivatives, (Montréal, Canada), 2012.