L’Institut canadien des dérivés a tenu sa quinzième conférence annuelle les 17 et 18 septembre 2026, réunissant des chercheurs et des praticiens venus échanger sur des sujets et des enjeux liés aux marchés des dérivés.

À cette occasion, le Prix de la meilleure discussion a été décerné au professeur Andreas Stathopoulos, de l’University of North Carolina at Chapel Hill, en reconnaissance de la qualité de sa contribution.

Notre conférencier principal, le professeur Ian Martin, de l’University of London School of Economics, a également offert une présentation exceptionnelle, qui a été grandement appréciée par l’ensemble des participants. 

Vous trouverez ci-dessous les détails du programme de cette quinzième édition de la conférence.

Jeudi − 17 Septembre 2026

8:15 a.m.

Welcome address

Morning Chair: Piotr Orłowski, HEC Montréal & CDI Fellow 

8:30 a.m.

The Clock Matters: Time Measurement and the Ultra-Short Volatility Term Structure*
by O. Bondarenko
Oleg Bondarenko, Universtity of Illinois Chicago
Discussion: Nicola Fusari, Johns Hopkins University

9:10 a.m.

The Rise of Algorithmic Retail Option Traders*
by D. Amaya, P. A. Garcia-Ares, N. D. Pearson, and A. Vasquez
Aurelio Vasquez, ITAM
Discussion: Taisiya Sikorskaya, University of Chicago

9:50 a.m.

Coffee Break

10:20 a.m.

Equilibrium VIX in Inelastic Markets
by A. J. Menkveld
Albert J. Menkveld, Vrije Universiteit Amsterdam
Discussion: Kris Jacobs, University of Houston

11:00 a.m.

Peer Option Momentum
by C. S. Jones, M. Khorram, S. Li, H. Mo, L. Yang, and Y. Zhang
Shuaiqi Li, City University of Hong Kong
Discussion: Sumudu Watugala, Indiana University

12:00 p.m.

Lunch

Afternoon Chair: Dmitriy Muravyev, University of Illinois Urbana-Champaign & CDI Associate Fellow

1:30 p.m.

Not dead yet: Options trading floors
by L. Galati, T. Hendershott, S. A. Khan, and R. Riordan
Saad Ali Khan, University of Alberta
Discussion: Neil Pearson, University of Illinois Urbana-Champaign

2:10 p.m.

Option-Implied Local Currency Credit Spreads
by P. Augustin, A. Jeanneret,E. Patelli, and J.-M. Sanchez-Martinez
Ella Patelli, University of British Columbia
Discussion: Andreas Stathopoulos, University of North Carolina at Chapel Hill

2:50 p.m.

Coffee Break

3:20 p.m.

Who Wins and Who Loses in Prediction Markets?
by P. Akey, V. Grégoire, N. Harvie, and C. Martineau
Charles Martineau, University of Toronto
Discussion: Lisa Pinheiro, Analysis Group

4:00 p.m.

The Volatility Smile of Expected Returns
by A. d’Avernas, C. Schlag, T. Sichert, M. Waibel, and C. Wang
Tobias Sichert, Stockholm School of Economics
Discussion: Mirela Sandulescu, University of North Carolina at Chapel Hill

4:45 p.m.

Cocktail

6:30 p.m.

Conference Dinner (program participants only)

Vendredi − 18 Septembre 2026

8:30 a.m.

Morning Chair: Patrick Augustin, McGill University & CDI Associate Fellow

When Funding Markets Move Credit Markets: Foreign Investors and U.S. CLOs
by A. W. Huber and S. Kundu
Shohini Kundu, UCLA Anderson
Discussion: Jordan Nickerson, University of Washington

9:10 a.m.

Competition and Relationship Trading in OTC Markets
by R. Haselmann, I. Krohn, P. Mueller, and M. Schmeling
Philippe Mueller, Warwick Business School
Discussion: Chaojun Wang, University of Pennsylvania

9:50 a.m.

Markets for Price Risk
by B. Han, J. Hu, and A. L. Zhang
Anthony Lee Zhang, University of Chicago Booth
Discussion: Konstantinos E. Zachariadis, Queen Mary University

10:30 a.m.

Coffee Break

11:00 a.m.

Introduction by Tolga Cenesizoglu, Director of CDI
Keynote Lecture by Ian Martin, London School of Economics
Option Prices, Analyst Expectations, and Stock Returns

12:30 p.m.

Best Discussion Award & Closing Remarks

*Recherche subventionnée par l’Institut Canadien des dérivés et fellowships

Comité Scientifique : Torben Andersen (Northwestern University), Patrick Augustin (McGill), Mikhail Chernov (UCLA),
Christian Dorion (HEC Montréal), Darrell Duffie (Stanford), Mathieu Fournier (UNSW Sydney),
Pascal François (HEC Montréal), Ian Martin (LSE), Dmitriy Muravyev (UIUC), Piotr Orłowski
(HEC Montréal), Chayawat Ornthanalai (U. of Toronto), Aurelio Vasquez
(ITAM)