The Role Of Derivatives In Asset Pricing Speakers

Main navigation Johns Hopkins Legacy Online applications Faculty Directory Experiential learning Career resources Alumni mentoring program Util Nav CTA CTA Breadcrumb The Role of Derivatives in Asset Pricing: Speakers SAYEE SRINIVASAN CFTC CHIEF ECONOMIST Sayee Srinivasan joined the Commission in 2012. Prior to becoming a member of the Commission, he has labored with the Chicago Mercantile Exchange, the Bombay Stock Exchange, the National Stock Exchange of India, and OptiMark Technologies specializing in market and product design, trading guidelines, and enterprise development across a broad vary of asset lessons in each money and derivatives markets. His research examines regulatory policy growth on points associated to pre-commerce, trade, and publish trade expertise, methods, processes, and risk administration. He has an undergraduate degree in Accounting and Master of Finance diploma from University of Bombay, and Master’s and Doctorate in Economics from the University of Texas at Austin. HUI CHEN MIT DEMAND FOR CRASH INSURANCE, INTERMEDIARY CONSTRAINTS, AND RISK PREMIA IN FINANCIAL MARKETS (WITH SCOTT JOSLIN AND SOPHIE X. NI) Abstract: We propose a brand new measure of monetary intermediary constraints based mostly on how the intermediaries handle their tail danger exposures. Using a singular dataset for the trading actions in the market of deep out-of-the-money S&P 500 put choices, we establish periods when the variations in the web quantity of trading between monetary intermediaries and public buyers are more likely to be mainly pushed by shocks to middleman constraints. We then infer tightness of middleman constraints from the portions of option buying and selling during such intervals. We present that a tightening of intermediary constraint according to our measure is related to increasing choice expensiveness, larger threat premia for a variety of financial belongings, deterioration in funding liquidity, and deleveraging of dealer-dealers Hui Chen is an associate profess or of finance at the MIT Sloan School of Management. His research focuses on asset pricing and its connections with corporate finance. Chen is particularly interested in the interactions between the macro economy and term structure, credit score threat, and corporate financing or investment decisions. His latest analysis projects embrace software of enterprise cycle models to elucidate company financing conduct and corporate bond pricing, as well as evaluation of the effects of incomplete markets on entrepreneurial financing and investments. Chen holds a BA in Economics and Finance from Zhongshan University, an MS in Mathematics from the University of Michigan, and a PhD in Finance from the University of Chicago. PETER CHRISTOFFERSEN UNIVERSITY OF TORONTO OPTION-BASED ESTIMATION OF THE PRICE OF CO-SKEWNESS AND CO-KURTOSIS RISK (WITH MATHIEU FOURNIER, KRIS JACOB, MEHDI KAROUI) Abstract: We present that the costs of danger for factors that are nonlinear available in the market return are readily obtained utilizing index choice costs. The price of co-skewness threat corresponds to the market variance risk premium, and the worth of co-kurtosis risk corresponds to the market skewness risk premium. Option-based estimates of the prices of risk lead to affordable values of the related risk premia. An out-of-sample analysis of factor models with co-skewness and co-kurtosis threat signifies that the new estimates of the value of danger enhance the fashions' efficiency. Peter Christoffersen holds the TSX Chair in Capital Market, publishes in main finance and econometrics journals, and is the writer of Elements of Financial Risk Management. He serves as an associate editor of the Review of Finance and the Journal of Financia l Econometrics. He is a fellow of the Bank of Canada and until recently served on the Model Validation Council on the Federal Reserve Board. Christoffersen previously taught at McGill University and labored as an economist at the IMF. You can find him on the net at: BJØRN ERAKER UNIVERSITY OF WISCONSIN-MADISON EXPLAINING THE NEGATIVE RETURNS TO VOLATILITY CLAIMS: AN EQUILIBRIUM APPROACH (WITH YUE WU) Abstract: We examine the returns to investing in VIX futures, VIX Exchange Traded Notes and variance swaps. We doc substantial unfavorable return premiums for these belongings. For instance, the constant maturity portfolio of one-month VIX futures loses about 30 p.c per yr over our pattern interval ( ). We investigate if these findings are consistent with a notion of dynamic equilibrium. We derive a model based on current worth computation that endogenizes inventory costs, the VIX index and its associated derivative contracts. The model explains the adverse return premiums in addition to several different stylized features of the VIX futures, ETNs, and variance swap data. Bjørn Eraker is an affiliate professor within the Finance, Investment and Banking Department of the Wisconsin School of Business. His analysis pursuits embody asset pricing, derivatives, econo metrics of economic markets, and equilibrium modeling. Eraker has been published in several journals, together with the Journal of Finance, Mathematical Finance, the Journal of Business and Economic Statistics, and the Journal of Empirical Finance. Prior to joining Wisconsin, he was on the faculty of Duke University, where he was an assistant professor in the Department of Economics. He acquired his PhD from the University of Chicago. He additionally earned a Master of Economics and Business diploma from the Norwegian School of Economics and Business Administration and a Master of administration degree from the Norwegian School of Management. KRIS JACOB UNIVERSITY OF HOUSTON VOLATILITY AND EXPECTED OPTION RETURNS (WITH GUANGLIAN HU) Abstract: We analyze the relation between anticipated option returns and the volatility of the underlying securities. In the Black-Scholes and stochastic volatility fashions, the anticipated return from holding a name (put) possibility is a reducing (rising) function of the volatility of the underlying. These predictions are strongly supported by the data. In the cross-section of stock choice returns, returns on name (put) option portfolios lower (enhance) with underlying inventory volatility. This sturdy negative (positive) relation between call (put) choice returns and volatility just isn't as a result of cross-sectional variation in expected stock returns. It holds in various choice samples with totally different maturities and moneyness, and it is robust to alternative measures of underlying volatility and completely different weighting strategies. Time-series proof also supports the predictions from possibility pricing concept: Future returns on S&P 500 index call (put) choices are negatively (positively) related to S&P 500 index volatility. Kris Jacobs is the Bauer Professor of Finance at the University of Houston. He obtained his undergraduate diploma on the Catholic University of Leuven and his PhD on the University of Pittsburgh. His analysis is extensively published in main journals in finance and economics, and focuses on the areas of investments, asset pricing, derivatives, and credit score risk. BRYAN T. KELLY UNIVERSITY OF CHICAGO EXCESS VOLATILITY: BEYOND DISCOUNT RATES (WITH STEFANO GIGLIO) Abstract: We document a type of excess volatility that's irreconcilable with normal models of prices, even after accounting for variation in low cost rates. We examine prices of claims on the same money circulate stream but with totally different maturities. Standard models impose precise internal consistency conditions on the joint behavior of lengthy and brief maturity claims and these are strongly rejected in the knowledge. In explicit, long maturity costs are considerably more variable than justified by the habits at brief maturities. Our findings are pervasive. We reject inner consistency conditions in all time period structures that we research, together with equity options, foreign money options, credit default swaps, commodity futures, variance swaps, and inflation swaps. Bryan T. Kelly joined Chicago Booth in 2010 as assistant professor of finance after incomes his PhD and MPhil in Finance a t New York University's Leonard N. Stern School of Business. His research interests embrace theoretical and empirical asset pricing; fashions of tail risk, volatility and correlation dynamics; and asymmetric information in asset markets. He is a faculty research fellow at the NBER and an associate editor of the Journal of Financial Econometrics. Kelly is the recipient of the 2012 AQR Insight Award, and he has received varied other analysis awards including the JPMorgan Best Paper Award from the WFA, the Q-group Research Award, the Arnold Zellner Award (honorable mention), the David M. Graifman award for greatest dissertation in finance at NYU Stern, the Herman E. Kroos award for best dissertation across disciplines at NYU Stern, and the Shmuel Kandel Prize, and varied research grants. Prior to his doctoral studies, Kelly worked in Morgan Stanley's funding banking division and within the sales and buying and selling division of UBS. He holds an MA in Economics from University of Cali fornia, San Diego and an AB in Economics (with honors) from the University of Chicago. IVAN SHALIASTOVICH UNIVERSITY OF PENNSYLVANIA GOOD AND BAD VARIANCE PREMIA AND EXPECTED RETURNS (WITH METE KILIC) Abstract: We measure “good” and “bad” variance premia that capture danger compensations for the realized variation in positive and unfavorable market returns, respectively. The two variance premium elements collectively predict excess returns over the next 1 and a couple of years with statistically important negative (positive) coefficients on the nice (unhealthy) component. The R2s attain about 10 percent for mixture equity and portfolio returns and 20 perent for corporate bond returns. To explain the new empirical proof, we develop an financial mannequin which underscores the difference in traders’ risk attitudes in the direction of upside and draw back uncertainty risks. Ivan Shaliastovich is an assistant professor in Finance Department at The Wharton School, University of Pennsylvania. He joined Wharton in 2009, after earning his PhD in Economics at Duke University. Prior to h is doctorate, he studied at the American University in Bulgaria. Shaliastovich's research pursuits embody asset pricing, macro-finance, and monetary econometrics. He has revealed in leading finance journals, such because the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics. JESSICA WACHTER UNIVERSITY OF PENNSYLVANIA OPTION PRICES IN A MODEL WITH STOCHASTIC DISASTER RISK (WITH SANG BYUNG SEO) Abstract: Contrary to the Black-Scholes mannequin, volatilities implied by index possibility prices depend on the exercise price of the option and are sometimes greater than realized volatilities. We explain both information within the context of a model that may also clarify the mean and volatility of fairness returns. Our mannequin assumes a small danger of a uncommon catastrophe that is calibrated based on the worldwide data on massive consumption declines. We permit the chance of this rare catastrophe to be stochastic, which seems to be crucial to the mannequin's capacity to elucidate both equity volatility and option prices. We discover specs for the stochastic rare disaster probability and show that the data favor a multifrequency course of. Jessica Wachter is the Richard B. Worley Professor of Financial Management on the Wharton School of Business of the University of Pennsy lvania. She holds a PhD in Business Economics and an undergraduate diploma in mathematics from Harvard University. She presently serves as an associate editor at the Journal of Economic Theory and as a member of the board of administrators of the American Finance Association. She is a founding member of the advisory board of Her analysis interests embody asset pricing fashions that incorporate rare events, models of portfolio allocation, and financial econometrics. She has published quite a few papers within the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, and other journals. LIUREN WU CITY UNIVERSITY OF NEW YORK DESIGNING TRADING STRATEGIES UNDER DYNAMIC RELATIVE VALUATION Abstract: We suggest a brand new by-product pricing framework that builds upon partial specs of close to-term dynamics of many derivative securities and discusses its implications on frequent derivative buying and selling methods in equities, currencies, and glued earnings. Liuren Wu is the Wollman Distinguished Professor of Finance at Zicklin School of Business, Baruch College, City University of New York. Wu's analysis pursuits include possibility pricing, credit score danger and term construction modeling, market microstructure, and common asset pricing. During the previous decade, Wu has published over 40 articles, lots of them in prime finance journals. Wu has additionally worked extensively as consultants within the finance trade, including Bloomberg, Morgan Stanley, Royal Bank of Canada, and a number of other fastened revenue, equity, and equity options hedge funds and market making compa nies. As a advisor, he has developed trading strategies, danger management procedures, and quantitative fashions for pricing mounted revenue and equity derivative securities. DACHENG XIU UNIVERSITY OF CHICAGO WHAT DRIVES HIGH FREQUENCY INDEX OPTION PRICES? (WITH YACINE AIT-SAHALIA) Abstract: TBD Dacheng Xiu studies financial econometrics with an emphasis on exploring excessive-frequency financial knowledge. Xiu earned his PhD and MA in Applied Mathematics from Princeton University, where he taught and carried out analysis on the Bendheim Center for Finance. Additionally, he holds a BS in Mathematics from the University of Science and Technology of China in Hefei, China. His work has appeared in Econometrica, the Journal of Econometrics, the Journal of the American Statistical Association, and Journal of Business & Economic Statistics. Xiu joined the University of Chicago faculty in 2011. one hundred International Drive