2019 Conference on Derivatives and Volatility

8 November 2019 | Chicago, IL

Loyola University Chicago Quinlan School of Business
16 East Pearson St.
Chicago, IL 60611

Financial Management Association International (FMA) is pleased to announce the 2019 Conference on Derivatives and Volatility at Loyola University Quinlan College of Business. In its fourth 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 and expert presentations, 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.

Conference Registration

Online registration is now open! Registration fee is:

Member & Nonmember: $95

2019 Conference on Derivatives and Volatility Registration

Cancellation Policy: Requests must be submitted in writing prior to  11 October 2019 to receive a refund of the conference registration fee and event fees. Requests received between 11 October 2019 and  25 October 2019 will incur a $50 (US) processing fee. No refunds can be granted after 25 October 2019. 

Program Co-Chairs

  • Torben Andersen, Northwestern University
  • Bjorn Eraker, University of Wisconsin-Madison
  • Tom Nohel, Loyola University Chicago
  • Russell Rhoads, TABB Group

Program

8:00 a.m. - 9:00 a.m. Registration
8:45 a.m. - 9:00 a.m. Welcome
9:00 a.m. - 10:30 a.m.

Session 1

A Latent Factor Model for the Cross-Section of Option Returns
Matthias Büchner, University of Warwick | Bryan Kelly, Yale University

Presenter: Matthias Büchner
Discussant: Peter Van Tassel, Federal Reserve Bank of New York

Default Risk and Option Returns
Aurelio Vasquez, ITAM | Xiao Xiao, Erasmus University

Presenter: Xiao Xiao
Discussant: Ivan Shaliastovich, University of Wisconsin

10:30 a.m. - 10:45 a.m. Break
10:45 a.m. - 12:15 p.m.

Session 2

Very Noisy Option Prices and Inferences Regarding Option Returns
Jefferson Duarte, Rice University | Christopher S. Jones, University of Southern California | Junbo L. Wang, Louisiana State University

Presenter: Jefferson Duarte
Discussant: Mathieu Fournier, HEC Montreal

Risk Appetite and Intermediation by Swap Dealers
Scott Mixon, Commodity Futures Trading Commission | Esen Onur, Commodity Futures Trading Commission

Presenter: Scott Mixon
Discussant: Dmitriy Muravyev, Michigan State University

12:15 p.m. - 1:45 p.m.

Lunch and Keynote Presentation

Dilip Madan
Professor of Finance
University of Maryland

Dilip Madan is Professor of Finance at the Robert H. Smith School of Business. He specializes in Mathematical Finance. Currently he serves as a consultant to Morgan Stanley, Meru Capital and Caspian Capital. He has also consulted with Citigroup, Bloomberg, the FDIC and Wachovia Securities. He is a founding member and Past President of the Bachelier Finance Society. He received the 2006 von Humboldt award in applied mathematics, was the 2007 Risk Magazine Quant of the year, received the 2008 Medal for Science from the University of Bologna and held the 2010 Eurandom Chair. He is Man-aging Editor of Mathematical Finance, Co-editor of the Review of Derivatives Research, Associate Editor of the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the efficiency of risk allocation in modern economies. Recent major contributions have appeared in Mathematical Finance, Finance and Stochastics, Quantitative Finance, the Journal of Computational Finance, The International Journal of Theoretical and Applied Finance, The Journal of Risk, The Journal of Credit Risk among other journals.

 1:45 p.m. - 3:15 p.m.

Session 3

Aggregate Asymmetry in Idiosyncratic Jump Risk
Viktor Todorov, Northwestern University | Huidi Lin, Northwestern University

Presenter: Viktor Todorov
Discussant: Paola Pederzoli, University of Houston

On the Nature of Jump Risk Premia
Piotr Orlowski, HEC Montreal | Pal Schneider, USI Lugano & Swiss Finance Institute | Fabio Trojani, Universite de Geneve & Swiss Finance Institute

Presenter: Piotr Orlowski
Discussant: Oleg Bondarenko, University of Illinois at Chicago

 

 3:15 p.m. - 3:30 p.m.   Break
 3:30 p.m. - 5:00 p.m. 

Session 4

Jumps and the Correlation Risk Premium: Evidence from Equity Options
Frederik Middelhoff, University of Munster | Nicole Branger, University of Munster | Rene Marian Flack, University of Munster

Presenter: Frederik Middelhoff
Discussant: Travis Johnson, University of Texas

Expected Correlation and Future Market Returns - The Sum of Parts is more than the Whole
Lorenzo Schoenleber, Frankurt School of Finance and Management | Adrian Buss, INSEAD & CEPR | Grigory Vilkov, Frankfurt School of Finance and Management

Presenter: Lorenzo Schoenleber
Discussant: Jeroen Dalderop, University of Notre Dame

 

5:00 p.m. - 5:15 p.m.

Break

5:15 p.m. - 6 p.m.

Session 5

Variance Dynamics in Term Structure Models
Cisil Sarisoy, Board of Governors of the Federal Reserve System

Presenter: Cisil Sarisoy
Discussant: Nicola Fusari, Johns Hopkins University

 7:00 p.m. 

Conference Dinner

Market Update
Russell Rhoads, TABB Group

Practitioner Keynote

Blair Hull
Founder and Chairman, Hull Tactical Asset Allocation, LLC and Hull Investments, LLC

Blair Hull is the Founder and Chairman of Hull Tactical Asset Allocation, LLC (HTAA) and Hull Investments, LLC, which acts as parent company to a number of financial entities. Hull Tactical Asset Allocation, LLC, a registered investment advisor, operates an actively managed ETF and utilizes advanced algorithms as well as macro and technical indicators to anticipate future market returns.

Prior to launching Hull Tactical Asset Allocation, LLC, Mr. Hull was the founder of Hull Trading Company and served as that firm’s Chairman and Chief Executive Officer.

Hull Trading Company leveraged technological innovations and quantitative models in the field of listed derivatives market-making. At its peak, the company traded on 28 exchanges in nine countries and moved nearly a quarter of the entire daily market volume on some markets, executed over 7% of the index options traded in the United States, 3% of the equity options, and 1% of all shares traded daily on the New York Stock Exchange.

 

 Hotel Information

  • For information regarding hotels near Loyola University Chicago, please click here.

Paper Submission Guidelines and Best Paper Awards

Click to view the Call for Papers.

The paper submission fee is $25 USD for members and $35 USD for non-members. The deadline to submit a paper was Friday, 7 June 2019

Paper Acceptance Guidelines

Acceptance letters for the 2019 Conference on Derivatives and Volatility will be sent (electronically) to each paper’s presenting author in July 2019. 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.


About Quinlan School of Business

Loyola University Chicago’s Quinlan School of Business educates responsible leaders who strengthen our global business system.

We draw on the resources of our world-class location in the heart of Chicago, just off Michigan Avenue, and of our industry-leading faculty to offer a nationally ranked business education.