Welcome to the home page of Peter Christoffersen. Thank you for visiting. I hold the TMX Chair in Capital Markets at the Rotman School of Management at the University of Toronto where I teach and do research in investments and risk management. I am a Bank of Canada Fellow, the Academic Director of Rotman FinHub, and a Co-director of the Rotman MFRM program.
I am also affiliated with the Department of Finance at the Copenhagen Business School and with CREATES at the University of Aarhus.
I am a research fellow of the Wharton Financial Institutions Center at Penn, and at the Volatility Institute at NYU Stern.
Here is my CV in PDF format.
Here is my Google Scholar Link.
Here is my SSRN author page.
Here is some Matlab code with GARCH option pricing routines: DropboxLink
Phone: 416-946-5511 (office)
Peter Christoffersen holds the TMX Chair in Capital Markets at the Rotman School of Management at the University of Toronto and is a Fellow of the Bank of Canada. He is the author of the book Elements of Financial Risk Management and his research articles have been published in a number of leading finance and econometrics journals. He is an associate editor of the Journal of Derivatives and a past associate editor of the Review of Financial Studies, Review of Finance, Journal of Applied Econometrics, the Journal of Financial Econometrics, and the Journal of Risk among others. He has won research awards from the Q-Group, KPMG, the Montreal Exchange, and STOXX. He has given invited lectures at the Bank of America, the Bank of Canada, the European Central Bank, the International Monetary Fund, and the Board of Governors of the Federal Reserve, where he served on the inaugural Model Validation Council. Before joining the Rotman School in 2010 he taught at McGill University and worked as an economist at the International Monetary Fund in Washington, DC. He is also affiliated with the Copenhagen Business School and with CREATES. You can find him on the web at www.christoffersen.com.afulltable.com