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2017 Conference on Derivatives and Volatility![]() 9 - 10 November 2017
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1:00 p.m. - 2:00 p.m. | Conference Registration and Group Trading Floor Tours |
2:00 p.m. - 2:45 pm. | Opening remarks and Cboe Market Update |
2:45 p.m. - 3:45 p.m. |
Session 1: Credit and Option Risk Premia by Lars Kuehn, David Schreindorfer, and Florian Schulz Presenter: Lars Kuehn, Carnegie Mellon University (View Slides) |
3:45 p.m. - 4:00 p.m. | Coffee Break |
4:00 p.m. - 5:00 p.m. |
Session 2: Variance Risk Premia on Stocks and Bonds by Paul Whelan, Phillippe Mueller, Andrea Vedolin, and Petar Sabtchevsky Presenter: Paul Whelan, Copenhagen Business School |
5:00 p.m. - 7:00 p.m. | Opening Reception |
Friday, 10 November
8:00 a.m. - 8:45 a.m. | Conference Registration and Breakfast |
8:45 a.m. - 9:00 a.m. |
Opening Remarks |
9:00 a.m. - 10:00 a.m. |
Session 3: Nonparametric Option-Implied Volatility by Viktor Todorov Presenter: Viktor Todorov, Northwestern University (View Slides) |
10:00 a.m. - 11:00 a.m. |
Session 4: Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options by Christian Dorion, Jean-Francois Begin, and Genevieve Gauthier Presenter: Christian Dorion, HEC Montreal (View Slides) |
11:00 a.m. - 11:15 a.m. | Coffee Break |
11:15 a.m. - 12: 00 p.m. |
Cboe Research Department Presentation: New Developments in Options and Volatility Benchmarks and Indicators |
12:00 p.m. - 2:00 p.m. |
Lunch - 12:00 p.m. - 1:00 p.m. Keynote Address - 1:00 p.m. - 2:00 p.m. (View Slides) Peter Carr Dr. Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his Ph.D. from UCLA in 1989. He has over 85 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor's Tech 50, an annual listing of the 50 most influential people in financial technology. |
2:00 p.m. - 3:00 p.m. |
Session 5: Recovering the Variance Premium by Steve Heston Presenter: Steve Heston, University of Maryland (View Slides) |
3:00 p.m. - 3:15 p.m. | Coffee Break |
3:15 p.m. - 4:15 p.m. |
Session 6: When the Options Market Disagrees by Ruslan Goyenko, Mathieu Fournier, and Gunnar Grass Presenter: Ruslan Goyenko, McGill University & University of Notre Dame (View Slides) |
4:15 p.m. - 4:30 p.m. | Best Paper Award/Closing Remarks |
Paper Acceptance Guidelines
Acceptance letters for the 2017 Conference on Derivatives and Volatility will be sent (electronically) to each paper’s presenting author in late June 2017. 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 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.
During the conference, use the hashtag #FMAatCBOE to follow the conversation on Twitter (@finmgmtassoc) and Facebook (www.facebook.com/FMA.org).