This is the home page of Peter Christoffersen. Thank you for visiting. I am a finance professor at the Rotman School of Management at the University of Toronto where I teach and do research in investments and risk management.
Here is my CV in PDF format.
Here is my Google Scholar Link.
Here is some Matlab code with GARCH option pricing routines: DropboxLink
Phone: 416-946-5511 (office)
Peter Christoffersen is a Professor of Finance at the Rotman School of Management at the University of Toronto and 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 currently an 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. 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 currently serves on the 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.