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2018 Conference on Derivatives and Volatility

9 November 2018 | Chicago, IL

Cboe Global Markets
400 South LaSalle Street
Chicago, IL 60605

Financial Management Association International (FMA) is pleased to announce the 2018 Conference on Derivatives and Volatility at the Cboe Global Markets in the heart of downtown Chicago, IL.  In its third year, the conference is smaller and more focused than the FMA’s traditional meetings and will include derivative and volatility focused papers as well as panel sessions on industry trends. In addition to benefiting from the presentations of high-quality research, expert presentations, and a tour of Cboe Global Markets conference participants have the opportunity to enjoy a weekend in windy city  – and explore everything the city has to offer – from entertainment on Navy Pier to historic Grant Park – to name a few attractions the city has to offer.

Registration

Fee: $95 USD (Members/Nonmember)

Onsite registration will be available from 8:00 a.m to 9:30 a.m at 4th floor Auditorium entrance. 

Program Co-Chairs

  • Bryan Kelly, Professor of Finance at the Yale School of Management
  • Russell Rhoads, Head of Derivatives Research, TABB Group

Program

Click here to download the program

8:00 a.m - 9:30 a.m. Registration (4th floor Auditorium entrance)
9:00 a.m. - 9:30 a.m. Trading Floor Tours
9:30 a.m. - 10:15 a.m.

Related Securities and the Cross-Section of Stock Return Momentum: Evidence from Credit Default Swaps
Jongsub Lee, University of Florida | Andy Naranjo, University of Florida | Stace Sirmans, Auburn University 

Presenter: Stace Sirmans, Auburn University (View slides)
Discussant: Alex Chinco, University of Illinois
10:15 a.m. - 11:00 a.m.

How Do Investors Perceive the Risks from Macroeconomic and
Financial Uncertainty? Evidence from 19 Options Markets
Ian Dew-Becker, Northwestern University | Stefano Giglio, Yale University | Bryan Kelly, Yale University

Presenter: Ian Dew-Becker, Northwestern University (View slides)
Discussant: Andrea Vedolin, Boston University (View slides)
11:00 a.m. - 11:15 a.m.  Coffee break
11:15 a.m. - 12:00 p.m.  Cboe Research Team Presentations/Market Update
12:00 p.m. - 1:00 p.m. Lunch
1:00 p.m. - 2:00 p.m.

Keynote Address 
“The Pricing of Tail Risk and the Equity Premium across the Globe”
View Keynote Here

Torben Andersen (View slides)
Nathan S. and Mary P. Sharp Professor of Finance
Director of the International Business & Markets Program and Research Center
Northwestern University

Torben G. Andersen is the Nathan S. and Mary P. Sharp Professor of Finance. He joined the faculty in 1991 and is a Faculty Research Associate of the National Bureau of Economic Research (NBER) and an International Fellow of the Center for Research in Econometric Analysis of Economic Time Series (CREATES) in Aarhus, Denmark. In addition, Professor Andersen was elected Fellow of the Econometric Society in 2008 and Fellow of the Society for Financial Econometrics, SoFiE, in 2013. He served as Chair of the Finance Department for the period 2015-2017.

Professor Andersen has published widely in asset pricing, empirical finance, and empirical market microstructure. His work centers on the modeling of volatility fluctuations in financial returns with applications to asset and derivatives pricing, portfolio selection, and the term structure of interest rates. His current work explores the use of large sets of high-frequency data for volatility forecasting, portfolio choice and risk management.
2:00 p.m. - 2:45 p.m. 

Liquidity Creation as Volatility Risk
Itamar Drechsler, New York University | Alan Moreira, University of Rochester | Alexi Savov, New York University

Presenter: Alan Moreira, University of Rochester (View slides)
Discussant: Yunzhi Hu, University of North Carolina (View slides)
2:45 p.m. - 3:00 p.m.  Coffee break
3:00 p.m. - 3:45 p.m.

Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads
Patrick Augustin, McGill University | Mikhail Chernov, UCLA | Dongho Song, Boston College

Presenter: Patrick Augustin, McGill University (View slides)
Discussant: Eben Lazarus, MIT (View slides)
3:45 p.m. - 4:30 p.m.

OTC Intermediaries
Andrea Eisfeldt, UCLA | Bernard Herskovic, UCLA | Sriram Rajan, US Treasury | Emil Siriwardane, Harvard Business School

Presenter: Bernard Herskovic, UCLA
Discussant: Brian Weller, Duke University

 

 

Hotel & Travel Information

  • For information regarding hotels near the Cboe Global Markets, please click here.
  • For public transportation, directions, parking, and security information, please click here.

Formal Participant Letters & Invitations

For participants seeking a formal invitation from FMA for either institution support or visa requirements, please contact Matt Staton at +1.813.974.2084 or [email protected]. Participants must be registered for the conference in order to receive a requested letter. 

#FMAatCboe - Follow the Conversation

During the conference, use the hashtag #FMAatCboe to follow the conversation on Twitter (@finmgmtassoc) and Facebook (www.facebook.com/FMA.org). 

About the Cboe Global Markets

CBOE

Cboe Global Markets is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors around the world. Cboe offers trading across a diverse range of products in multiple asset classes and geographies, including options, futures, U.S. and European equities, exchange-traded products (ETPs), global foreign exchange (FX), and multi-asset volatility products. Our trading venues include the largest options exchange in the U.S. and the largest stock exchange by value traded in Europe. In addition, the company is the second-largest stock exchange operator in the U.S. and a leading market globally for ETP trading.
 
Cboe is home to the Cboe Volatility Index (VIX Index), the world's barometer for equity market volatility; the Cboe ETF Marketplace, the fastest growing listing venue for issuers; Cboe BXTR, the largest trade reporting facility in Europe; Cboe Livevol, a leading provider of options technology, trading analytics and market data services; Cboe Vest, an asset management company specializing in target-outcome investment strategies; Cboe Risk Management Conferences (RMC), the premier financial industry forums on derivatives and volatility products; the Cboe Options Institute, the company's world-renowned education arm; and ETF.com, a leading provider of ETF news, data and analysis.

Paper Submission Guidelines and Best Paper Awards

The paper submission fee is $25 USD for members and $35 USD for non-members. The deadline to submit a paper was Friday, 25 May 2018. FMA is no longer accepting papers for submission at this time.

Paper Acceptance Guidelines
Acceptance letters for the 2018 Conference on Derivatives and Volatility will be sent (electronically) to each paper’s presenting author in July 2018. The presenting author will be required to register within one (1) week to confirm his/her attendance. The conference registration fee will be waived for the paper’s presenter.

Best Paper Award
Papers accepted for presentation will be eligible for a $1,000 USD award. The award winning paper will be determined after the conclusion of the Conference. The best paper will be selected based on the quality of the research and the presentation at the conference.