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Recent Talks
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Option pricing with time-changed Levy processess, Jane Street,
January 20, 2012.
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Simple robust hedging
with nearby contracts (slides),
The Fourth Risk Management Conference,
Mont Tremblant, Québec, March 10, 2012.
- Imports, Exports, Dollar Exposures, and Stock Returns
(slides),
Fifth Annual Triple Crown Finance Conference, Fordham University, New York,
April 20, 2012.
- What does variance risk premium tell us? A discussion,
Forth Annual Volatility Conference on "Comovement of Volatilities, Returns, and Tails,'' Volatility Institute, New York University, New York,
April 27, 2012.
- A new framework for analyzing volatility risk and volatility risk premium in each option contract (slides),
Quantitative Finance Workshop, Kellogg School of Management, Northwestern University,
May 25, 2012.
- What constitutes algo trading in the stock options market? A discussion,
Stern Microstructure Meeting, New York University, New York,
June 1, 2012.
- A new framework for analyzing volatility risk and volatility risk premium in each option contract (slides),
Florida State University,
September 14, 2012, 2012.
Past Talks
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