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2019 Conference on Derivatives and Volatility8 November 2019 | Chicago, IL
Loyola University Chicago Quinlan School of Business
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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 Chairperson: Lan Zhang, University of Illinois - Chicago A Latent Factor Model for the Cross-Section of Option Returns Presenter: Matthias Büchner Default Risk and Option Returns Presenter: Xiao Xiao |
10:30 a.m. - 10:45 a.m. | Break |
10:45 a.m. - 12:15 p.m. |
Session 2 Chairperson: George Constantinides, University of Chicago Very Noisy Option Prices and Inferences Regarding Option Returns Presenter: Jefferson Duarte Risk Appetite and Intermediation by Swap Dealers Presenter: Scott Mixon |
12:15 p.m. - 1:45 p.m. |
Lunch and Keynote Presentation Dilip Madan 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 Chairperson: Tassos Malliaris, Loyola University Chicago Aggregate Asymmetry in Idiosyncratic Jump Risk Presenter: Viktor Todorov On the Nature of Jump Risk Premia Presenter: Piotr Orlowski
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3:15 p.m. - 3:30 p.m. | Break |
3:30 p.m. - 5:00 p.m. |
Session 4 Chairperson: Al Kanzler, DRW Jumps and the Correlation Risk Premium: Evidence from Equity Options Presenter: Frederik Middelhoff Expected Correlation and Future Market Returns - The Sum of Parts is more than the Whole Presenter: Lorenzo Schoenleber
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5:00 p.m. - 5:15 p.m. |
Break |
5:15 p.m. - 6 p.m. |
Session 5 Chairperson: Katja Smetanina, University of Chicago
Variance Dynamics in Term Structure Models Presenter: Cisil Sarisoy |
7:00 p.m. |
Conference Dinner Market Update Practitioner Keynote Blair Hull 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. |
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.
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.
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.
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.