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.
Beta Risk in the Cross-Section of Equities
- Eurofidai (Paris, France), 2018.
- European Finance Association (Warsaw, Poland), 2018.
- 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.
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.*
The low-minus-high portfolio and the factor zoo
- American Finance Association, (San Diego, US), 2020.*
- Northern Finance Association, (Vancouver, Canada), 2019.
- Baruch College, (New York, US), 2019.*
- Bank of Canada, (Ottawa, Canada), 2019.*
- McGill University, (Montreal, Canada), 2019.*
- Tilburg University, (Tilburg, Nederland), 2019.*
- Deutsche Bundesbank, (Frankfurt, Germany), 2019.*
- Goethe University, (Frankfurt, Germany), 2019.*
Modeling conditional factor risk premia implied by index option returns
- McGill University, (Montreal, Canada), 2020.
- Kepos Capital (New York, 2021).
- HEC Montréal (Montréal, 2021).
- CREST – Polytechnique (Paris, 2021)
- SoFie Conference (San Diego, 2021)
Asset variance risk and compound option prices
- Tsinghua Finance Workshop (Tsinghua, 2019)*
- McGill University (Montréal, 2019)*
- Tremblant Workshop (Mont-Tremblant, 2020)*
- ITAM/HEC Cancun Derivatives Workshop (Cancun, 2020)
- Virtual Derivatives Workshop series (2021)*.
Understanding the Comovement between Corporate Bonds and Stocks: The Role of Default Risk
- HEC Montréal (Montréal, 2020)*
- Warwick Business School (Warwick, 2021)*
- Tremblant Workshop (Mont-Tremblant, 2020)*
- 37th International Conference of the French Finance Association (AFFI) (Nantes, 2021)*
- 10th ITAM Finance Conference (Mexico, 2021)
- Northern Finance Association (Waterloo, 2021).
Discussions
Very Noisy Option Prices and Inferences Regarding Option Returns. (J. Duarte, C. S. Jones, & J. L. Wang).
-
FMA Conference on Derivatives and Volatility (Chicago, US), 2019.
Higher-Moment Risk. (N. J. Gormsen & C. S. Jensen).
- American Finance Association, (San Diego, US), 2020.
Self-fulfilling Asset Prices. (A. Zentefis).
- HEC-McGill Winter Conference (Sunshine, Canada), 2019.
The pricing kernel is U-shaped. (T. Sichert).
- American Finance Association, (Atlanta, US), 2019.
Market maker inventory, bid/ask spreads, and the computation of option implied risk measures. (B. Eraker & D. Osterrieder).
- HEC-McGill Winter Conference (Sunshine, Canada), 2018.
- Best Discussion Award
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.