2021 Conference on Derivatives and Volatility

12 - 13 November 2021 | Chicago, IL

Cboe Global Markets
433 W. Van Buren Street
Chicago, IL 60607

The conference will take place in a hybrid format with in-person sessions at Cboe Global Market's offices at 433 W. Van Buren Street, Chicago, IL 60607 and with virtual components on Zoom. Beginning September 1, 2021, Cboe Global Markets requires all visitors to be fully vaccinated against COVID-19. Upon arrival, all conference attendees will be required to provide proof of vaccination and to complete a health screening questionnaire. Those who cannot travel or cannot provide proof of vaccination may participate virtually

Financial Management Association International (FMA) is pleased to announce the 2021 Conference on Derivatives and Volatility at Cboe Global Markets. In its fifth 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.

Program Co-Chairs

  • Torben Andersen, Nathan S. and Mary P. Sharp Professor of Finance, Northwestern University
  • Bjorn Eraker, Professor of Finance and Bill Nygren Chair in Investments, University of Wisconsin-Madison
  • Tom Nohel, Professor of Finance, Loyola University Chicago
  • Russell Rhoads, Head Research and Consulting, EQDerivatives and Clinical Associate Professor, Indiana University

*The conference registration fee fee is $95 USD for in-person attendees and $20 USD for virtual attendees.

Click here to register

Program

November 12

8:45 AM - 9:30 AM

 

Registration & Breakfast

9:30 AM - 12:10 PM

Session 1 (In-person with Zoom live-casting)

Leveraged ETFs, option market imbalances, and end-of-day price dynamics
Heiner Beckmeyer, University of Muenster | Andrea Barbon, Swiss Institute of Banking & Finance and University of St. Gallen | Andrea Buraschi, Imperial College | Mathis Moerke, Swiss Institute of Banking & Finance and University of St. Gallen

The lead-lag relationship between VIX futures and SPX futures
Christine Bangsgaard, Aarhus University |Thomas Kokholm,
Aarhus University and Danish Finance Institute

The impact of derivatives on cash markets: Evidence from the introduction
of Bitcoin futures contracts

Donghwa Shin, University of North Carolina | Patrick Augustin, McGill University | Alexey Rubtsov, Global Risk Institute

Debt financing and risk management

Ilona Babenko, Arizona State University | Hendrik Bessembinder, Arizona State University | Yuri Tserlukevich, Arizona State University 

 12:15 PM - 1:45 PM

Lunch and Keynote Presentation

Steve Heston
Professor of Finance, University of Maryland

Steve Heston graduated with a BS double major in Mathematics and Economics from the University of Maryland, College Park in 1983. He attended the Graduate School of Industrial Administration and earned an MBA in 1985 followed by a PhD in Finance in 1990. He has held previous faculty positions at Yale, Columbia, Washington University, and the University of Auckland in New Zealand. He has worked in the private sector with Goldman Sachs in Fixed Income
Arbitrage and in Asset Management Quantitative Equities. He is known
for analyzing options with stochastic volatility and international stock risk.

 1:45 PM - 3:45 PM

Session 2

Option-Implied spreads and option risk premia

Christopher Culp, Johns Hopkins Institute for Applied Economics and
Swiss Finance Institute | Mihir Gandhi,
University of Chicago | Pietro Veronesi, University of Chicago, NBER, CEPR

Stock market return predictability dormant in option panels
Yoosoon Chang, Indian University | Youngmin Choi, Baruch College,
CUNY | Soohun Kim, Korea Advanced Institute of Science and Technology |
Joon Park, Indiana University

A decomposition of conditional risk premia and implication for
representative agent models

Fousseni Chabi-Yo, University of Massachusetts – Amherst | Johnathan Loudis, University of Notre Dame 

 3:45 PM - 4:00 PM Break
 4:00 PM - 5:20 PM

Session 3

Betting on the likelihood of a short squeeze
Ilias Filippou, Washington University in St. Louis | Pedro A. Garcia-Ares, ITAM | Fernando Zapatero, Boston University

Retail derivatives and sentiment: A sentiment measure constructed
from issuances of retail structured equity products

Brian Henderson, George Washington University | Neil Pearson
University of Illinois – Urbana-Champaign | Li Wang,
Case Western Reserve University

 5:30 PM - 7:30 PM  Conference Dinner

November 13

9:15 AM - 10:00 AM

 

Registration & Breakfast

 10:00 AM - 12:00 PM

Session 4 (All Zoom live-casting)

The components of the CDS bid-ask spreads: A reduced-form approach
Jennie Bai, Georgetown University | May Hu, RMIT University | 
Xiaoxia Ye, University of Liverpool | Fan Yu, Claremont McKenna College

Who knows? Information differences between trader types
Albert Menkveld, Vrije Universiteit-Amsterdam | Ion Lucas Saru, 
Vrije Universiteit-Amsterdam

Presidential cycles and exchange rates
Hsuan Fu, Universite Laval |Pasquale Della Corte, Imperial College London

 12:00 PM - 1:00 PM Lunch
 1:00 PM - 3:00 PM

Session 5

Forecasting realized volatility: An automatic system using many features and machine learning algorithms 
Sophia Zhengzi Li, Rutgers University | Yushan Tang, Rutgers University

The shape of the pricing kernel and expected option returns
Tobias Sichert, Stockholm School of Economics and
Swedish House of Finance | Christian Schlag, Goethe University – Frankfurt

Realised volatility forecasting: Machine learning via financial world embedding
Eghbal Rahimikia, University of Manchester | Stefan Zohren,
University of Oxford |Ser-Huang Poon, University of Manchester

 


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 submission deadline is Friday, 27 August 2021

The paper submission deadline was Friday, 27 August 2021; we are no longer able to accept submissions.

Paper Acceptance Guidelines

Acceptance letters for the 2021 Conference on Derivatives and Volatility will be sent (electronically) to each paper’s presenting author in late September 2021. 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.


Keynote Speaker

Steve Heston
Professor of Finance, University of Maryland

Steve Heston graduated with a BS double major in Mathematics and Economics from the University of Maryland, College Park in 1983. He attended the Graduate School of Industrial Administration and earned an MBA in 1985 followed by a PhD in Finance in 1990. He has held previous faculty positions at Yale, Columbia, Washington University, and the University of Auckland in New Zealand. He has worked in the private sector with Goldman Sachs in Fixed Income Arbitrage and in Asset Management Quantitative Equities. He is known for analyzing options with stochastic volatility and international stock risk.


 #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.