May 2018

The Machine Learning Exchange and Rotman FinHub co-organized MLX II: A conference on machine learning in FinTech at the Rotman School.

March 2018

Bank of Canada announced the recipients of the 2018 Fellowship and Governor’s Awards.

November 2017

We hosted the Rotman FinHub launch event.

July 2017

The new Rotman FinHub received seed funding from the Rotman Catalyst Fund.

FinHub brings together students, the financial industry, startup entrepreneurs, and faculty to develop expertise that enables ongoing innovation in the financial sector. Our approach rests on three pillars: exposing and instructing students in cutting edge technological and finance innovations, developing new research insights research, and exchanging and incubating ideas in financial innovation.

September 2016

We launched the Rotman Master of Financial Risk Management program.

July 2015

Rotman announced the new TSX Chair in Capital Markets. The chair is later renamed the TMX Chair in Capital Markets.

November 2014

I have compiled a bunch of GARCH and RV option pricing code in Matlab. You can download it using this: DropboxLink

July 2014

I am spending a week as a visiting professor of finance at the Foster School of Business at the University of Washington.

June 2014

The Rotman School along with GRI hosted the 7th Annual Conference of the Society for Financial Econometrics.

April 2014

My paper Equity Portfolio Management using Option Price Information coauthored with Xuhui (Nick) Pan from Tulane University won an award from the Alternative Investment Management Association of Canada.

March 2014

On March 25, I gave a talk in the Rotman MFin Speaker Series on “Option Prices and the Cross Section of Equity Returns.” See the video here.

I gave a similar presentation as the keynote speaker of the NBES Conference in Kona, Hawaii, on March 13.

September 2013

I am teaching an executive PhD course at EDHECs campus in Singapore September 2-4. You can see the course outline here.

August 2013

My paper with Chang, Jacobs and Vainberg was runner-up for the Whitebox Prize for the best financial research published in 2012.

Volume 2A of the Handbook of Economic Forecasting edited by Elliott and Timmermann has been published. It contains my chapter on Forecasting with Option-Implied Information coauthored with Chang and Jacobs.

July 2013

My paper with Heston and Jacobs “Capturing Option Anomalies with a Variance Dependent Pricing Kernel” has been published in the Review of Financial Studies.

June 2013

At the annual meetings of the Society for Financial Econometrics in Singapore it is announced that the Rotman School will host the 2014 Annual Meetings to take place in Toronto June 11-13, 2014. I am chairing the local organizing committee. Rotman is co-hosting the conference with the Global Risk Institute in Financial Services.

May 2013

I am presenting “Factor Structure in Equity Options” in the Econometrics and Statistics seminar at the University of Chicago Booth School of Business.

March 2013

My paper with Chang and Jacobs “Market Skewness Risk and the Cross Section of Stock Returns” has appeared in the Journal of Financial Economics.

February 2013

I am presenting my paper with Fournier and Jacobs at the QFE seminar series at the Stern School at NYU.

January 2013

My coauthor  Bruno Feunou is presenting our joint paper with Jacobs and Meddahi at the AFA annual meetings in San Diego.

I am teaching a a PhD course at Aarhus University in Denmark. The course is funded by the HPCFinance program at the European Union. You can see the course outline here.

December 2012

I am presenting my paper with Amaya, Jacobs and Vasquez “Does Realized Skewness Predict the Cross Section of Stock Returns” at the HKUST Finance Symposium  in Hong Kong. I am also presenting my paper with Heston and Jacobs at an HKUST seminar.

November 2012

My paper with Jacobs and Ornthanalai “Dynamic Jump Intensities and Risk Premiums: Evidence from S&P500 Returns and Options” has appeared in the Journal of Financial Economics.

October 2012

My paper with Errunza, Jacobs and Langlois, “Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach” has appeared in the Review of Financial Studies.

September 2012

My paper with Feunou, Jacobs and Meddahi, “The Economic Value of Realized Volatility,” has been accepted for publication by the Journal of Financial and Quantitative Analysis.

August 2012

My paper with Chang, Jacobs and Vainberg has been published in the Review of Finance.

July 2012

My paper with Hugues Langlois entitled “The Joint Dynamics of Equity Market Factors, is accepted for publication by the Journal of Financial and Quantitative Analysis.

June 2012

I am joining the editorial board of Review of Financial Studies as an associate editor for a three-year term starting July 1, 2012.

I have received the Distinguished Referee Award from Review of Financial Studies for 2012 at the Western Finance Conference in Las Vegas. I received it in 2011 also.

May 2012

Along with Professor Frank Diebold from Penn, I will teach a one-week course at Oxford University this summer. Course Information

April 2012

Panel discussion at the Volatility Institute conference at the Stern School at NYU

My Slides in PDF: SternVIPanel2012Christoffersen

The Federal Reserve Board announces model validation council.

Fed Press Release

Bloomberg News


Rotman Presentation of Second Edition of “Elements of Financial Risk Management.”

Video: YouTube Clip

Stress Testing Presentation at Federal Reserve Bank of Chicago Conference.

Slides: Stress Testing

Radio Interview with the Volatility Exchange

PodCast: Interview

September 2011

Comments on UBS Rogue Trader on CBC Television

Video: RogueTrader

April 2011

Canadian Investment Review Conference Interview

Video: Global Correlations

March 2010

The Benefits from International Equity Investing are Disappearing

Blog: FT Alphaville