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.

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.