The Machine Learning Exchange and Rotman FinHub co-organized MLX II: A conference on machine learning in FinTech at the Rotman School.
Bank of Canada announced the recipients of the 2018 Fellowship and Governor’s Awards.
We hosted the Rotman FinHub launch event.
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.
We launched the Rotman Master of Financial Risk Management program.
Rotman announced the new TSX Chair in Capital Markets. The chair is later renamed the TMX Chair in Capital Markets.
I have compiled a bunch of GARCH and RV option pricing code in Matlab. You can download it using this: DropboxLink
I am spending a week as a visiting professor of finance at the Foster School of Business at the University of Washington.
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.
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.
I am teaching an executive PhD course at EDHECs campus in Singapore September 2-4. You can see the course outline here.
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.
My paper with Heston and Jacobs “Capturing Option Anomalies with a Variance Dependent Pricing Kernel” has been published in the Review of Financial Studies.
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.
I am presenting “Factor Structure in Equity Options” in the Econometrics and Statistics seminar at the University of Chicago Booth School of Business.
My paper with Chang and Jacobs “Market Skewness Risk and the Cross Section of Stock Returns” has appeared in the Journal of Financial Economics.
I am presenting my paper with Fournier and Jacobs at the QFE seminar series at the Stern School at NYU.
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.
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.
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.
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.
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.
My paper with Chang, Jacobs and Vainberg has been published in the Review of Finance.
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.
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.
Along with Professor Frank Diebold from Penn, I will teach a one-week course at Oxford University this summer. Course Information
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.
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
Comments on UBS Rogue Trader on CBC Television
Canadian Investment Review Conference Interview
Video: Global Correlations
The Benefits from International Equity Investing are Disappearing
Blog: FT Alphaville