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

  • 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.

 

Discussions

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.