Working Paper Series

//Working Paper Series
Working Paper Series 2018-06-26T14:29:48+00:00

WP 18-09

How do Informed Investors Trade in the options Market?
Patrick Augustin, McGill University
Manachem Brenner, New York University
Gunnar Grass, HEC Montréal
Marti G. Subrahmanyam, New York University

WP 18-08

Compound Hawkes Processes in Limit Order Books
Anatoliy Swishchuk, University of Calgary
Jonathan Chavez-Casillas, University of Calgary
Robert Elliot, University of Calgary
Bruno Remillard, HEC Montreal

WP 18-07

Joint Distribution of a Random Vector with Know Margins of Linear Combinations
Carole Bernard, Grenoble École de Management
Oleg Bondarenko, University of Illinois
Steven Vanduffel, Vrije University Brussel

WP 18-06

Spillover Effects from Sovereign Credit Rating Event to CDS Market Volatility: Evidence from Greece
Marie-Claude Beaulieu, University of Laval
Richard Luger, University of Laval
Alexandre Petit, University of Laval

WP 18-05

Stock Loan Lotteries and Individual Investor Performance
Jordan Moore, Rowan University, Rohrer College of Business

WP 18-04

Corporate Hedging During the Financial Crisis
Paul Calluzzo, Smith School of Business
Evan Dudley, Smith School of Business

WP 18-03

The impact of central clearing on the market for single-name credit default swaps
Mohamed-Ali Akari, HEC Montréal
Ramzi Ben-Abdallah, UQAM School of Management
Michèle Breton, HEC Montréal
Georges Dionne, HEC Montréal

WP 18-02

Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options
Jie Cao, The Chinese University of Hong Kong
Yong Jin, The Hong Kong Polytechnic University
Neil D. Pearson, University of Illinois at Urbana Champaign
Dragon Yongjun Tang, The University of Hong Kong

WP 18-01

Cross-sectional Dependence in Idiosyncratic Volatility
Ilze Kalnina, North Carolina State University
Kokouvi Tewou, Université de Montréal

WP 17-04

Longevity bond pricing in equilibrium

Petar Jevtié, McMaster University
Minsuk Kwak Hankuk, University of Foreign Studies, Korea
Traian A. Pirvu, McMaster University

WP 17-03

A level-1 limit order book with time dependent arrival rates

Jonathan A. Chavez-Casillas, Université de Calgary
Robert J. Elliott, Université de Calgary
Bruno Rémillard, HEC Montréal
Anatoliy V. Swishchuk, Université de Calgary

WP 17-02

Long-term tail risk

Haitao Li, Cheung Kong Graduate School of Business
Zhaogang Song, Johns Hopkins Carey Business School
Andrea Vedolin, London School of Economics and Political Science

WP 17-01

Loan commitments

Dan Galai, The Hebrew University of Jerusalem
Zvi Wiener, The Hebrew University of Jerusalem

WP 16-11

Downside variance risk premium

Bruno Feunou, Banque du Canada
Mohammad R. Jahan-Parvar, Federal Reserve Board
Cédric Okou, UQAM

WP 16-10

Good volatility, bad volatility and option pricing

Bruno Feunou, Banque du Canada
Cédric Okou, UQAM

WP 16-09

Beta risk in the cross-section of stocks and options

Ali Boloorforoosh, Banque Nationale du Canada
Peter Christoffersen, Université de Toronto
Mathieu Fournier, HEC Montréal
Christian Gouriéroux, Université de Toronto

WP-16-08

Option pricing and hedging under non-affine autoregressive stochastic volatility models

Alexandru Badescu, Université de Calgary
Robert Elliott, Université de Calgary
Lyudmila Grigoryeva, Universität Konstanz
Juan-Pablo Ortega, Universität Sankt Gallen

WP 16-07

How does sovereign bond market integration relate to fundamentals and cds spreads?

Ines Chaieb, University of Geneva & SFI
Vihang Errunza, Université McGill
Rajna Gibson Brandon, University of Geneva & SFI

WP 16-06

Options illiquidity: determinants and implications for stock return

Ruslan Goyenko, Université McGill
Chayawat Ornthanalai, Rotman School
Shengzhe Tang, Rotman School

WP 16-05

Can higher-order risks explain the credit spread puzzle?

Olfa Maalaoui Chun, KAIST
Georges Dionne, HEC Montréal
Jingyuan Li, Lingnan University
Cédric Okou, UQAM

WP 16-04

The correlation risk premium: international evidence

Gonçalo Faria, University of Porto
Robert Kosowski, Imperial College – London
Tianyu Wang, Imperial College – London


WP 16-03

Is there a risk premium in the stock lending market? evidence from equity options

Dmitriy Muravyev, Boston College
Neil D. Pearson, University of Illinois
Joshua M. Pollet, University of Illinois


WP 16-02

Why do investors buy sovereign default insurance?

Patrick Augustin, Université McGill
Valeri Sokolovski, Stockholm School of Economics
Marti G. Subrahmanyam, New York University

WP 16-01

Financial innovation and stock market participation

Laurent Calvet, HEC Paris
Claire Célérier, Université de Zurich
Paolo, Sodini, Stockholm School of Economics
Boris Vallée, Harvard Business School

WP 15-06

Trading against disorderly liquidation of a large position under asymmetric information and market impact

Caroline Hillairet, CMAP, École Polytechnique
Cody Hyndman, Université Concordia
Ying Jiao, Université Paris Diderot
Renjie Wang, Université Concordia

WP 15-05

Comargin

Jorge A. Cruz Lopez, Banque du Canada
Jeffrey H. Harris, American University, Washington
Christophe Hurlin, University of Orléans
Christophe Pérignon, HEC Paris

WP 15-04

Transparency and liquidity in the structured product market

Nils Friewald, Vienna University of Economics and Business
Rainer Jankowitsch, Vienna University of Economics and Business
Marti G. Subrahmanyam, New York University

WP 15-03

Financial oligopolies: theory and empirical evidence in the credit default swap markets

Lawrence Kryzanowski – Université Concordia
Stylianos Perrakis – Université Concordia
Rui Zhon – Chinese Academy of Finance and Development

WP 15-02

Does variance risk have two prices? evidence from the equity and option markets

Laurent Barras- Université McGill
Aytek Malkhozov – Université McGill

WP 15-01

Economic and financial determinants of credit risk premiums in the sovereign cds market

Hitesh Doshi – University of Houston
Kris Jacobs – University of Houston
Carlos Zurita – University of Houston

WP 14-04

Bank reactions to sovereign credit news: an analysis of the credit default swap market

Alexandre Jeanneret – HEC Montréal

WP 14-03

Les modèles factoriels et la gestion du risque de longévité

Martin Boyer – HEC Montréal
Christian Dorion – HEC Montréal
Lars Stentoft – Western Ontario University

WP 14-02

A random field libor market model

Tao L. Wu – Illinois Institute of Technology
Shengqiang Xu – Northern Trust Corporation

WP 14-01

An efficient method to price counterparty risk

Michèle Breton – GERAD et HEC Montréal
Oussama Marzouk – HEC Montréal