Program:

 

8:00–8:30 Breakfast

8:30 -  9:15  Peter Christoffersen (presented by Kris Jacob)

Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk

(with Mathieu Fournier, Kris Jacob, Mehdi Karoui)

9:15 - 10:00  Hui Chen

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Market

(with Scott Joslin and Sophie X. Ni)

10:00–10:30   Coffee Break

10:30-11:15  Bjørn Eraker

Explaining the Negative Returns to Volatility Claims: An Equilibrium Approach

(with Yue Wu)

11:15-12:00  Dacheng Xiu

Resolution of Policy Uncertainty and Sudden Declines in Volatility

(with Dante Amengual)

12:00–12:30 Keynote Speech
Sayee Srinivasan
(CFTC-Chief Economist)

12:30–1:30   Lunch

1:30-  2:15  Ivan Shaliastovich

Good and Bad Variance Premia and Expected Returns

(with Mete Kilic)

2:15-  3:00 Jessica Wachter

Option prices in a model with stochastic disaster risk

(with Sang Byung Seo)

3:00–3:30   Coffee Break

3:30- 4:15 Bryan T. Kelly

Credit Implied Volatility

(with Gerardo Manzo and Diogo Palhares)

4:15- 5:00 Liuren Wu

Designing Trading Strategies Under Dynamic Relative Valuation

5:00-5:45  Kris Jacob

Volatility and Expected Option Returns

(with Guanglian Hu)

6:00–7:00  Wine and Cheese

7:00–9:00 Gala Dinner