La quatorzième conférence de l’Institut canadien des produits dérivés s’est tenue les 11 et 12 septembre 2025, réunissant chercheurs et praticiens des marchés des dérivés.

Le prix de la meilleure discussion a été décerné au professeur Paymon Khorrami de l’université Duke pour sa contribution au programme.

Notre conférencier principal, Bryan Kelly, de l’université Yale, a prononcé une présentation exceptionnelle, largement appréciée par le public.

Les détails du programme de la conférence sont fournis ci–dessous.

Jeudi − 11 Septembre 2025

8:15 a.m.

Welcome address

Morning Chair: Piotr Orłowski, HEC Montréal & CDI Fellow 

8:30 a.m.

Unpacking Retail Trading Costs:
The Role of Options Trading and Limit Order Usage*
by V. Bogousslavsky, Y. Barardehi, and D. Muravyev
Dmitriy Muravyev, University of Illinois at Urbana-Champaign and Canadian Derivatives
Institute
Discussion: Marc Lipson, University of Virginia

9:10 a.m.

0DTE Index Options and Market Volatility: How Large is Their Impact?*
by D. Amaya, P. Garcia-Ares, N. Pearson, and A. Vasquez
Diego Amaya, Wilfrid Laurier University
Discussion: Chay Ornthanalai, University of Toronto

9:50 a.m.

Coffee Break

10:20 a.m.

Tail Risk and Asset Prices in the Short Term
by C. Almeida, G. Freire, R. Garcia, and R. Hizmeri
René Garcia, University of Montréal
Discussion: Torben Andersen, Northwestern University Kellogg School of Management

11:00 a.m.

The Fed and the Wall Street Put
by J. Harren, M. Kilic, and Z. Zhang
Mete Kilic, University of Southern California
Discussion: Paymon Khorrami, Duke University

12:00 p.m.

Lunch

Afternoon Chair: Christian Dorion, HEC Montréal & CDI Fellow

1:30 p.m.

Dissecting Excess Volatility: The Impact of Intermediary Constraints
by T. Gruenthaler and J. Koeter
Thomas Gruenthaler, Tilburg University
Discussion: Aytek Malkhozov, McGill University

2:10 p.m.

Measuring Option Liquidity
by A. Goetz, R. Riordan, and P. Schuster
Philipp Schuster, University of Stuttgart
Discussion: Kris Jacobs, University of Houston

2:50 p.m.

Coffee Break

3:20 p.m.

Uncovered Interest Parity in High Frequency
by I. Krohn, P. Mueller, and P. Whelan
Ingomar Krohn, Bank of Canada
Discussion: Colin Ward, University of Alberta

4:00 p.m.

Decentralized and Centralized Option Trading: A Risk Premia Perspective
by A. Andolfatto, S. Naik, and L. Schoenleber
Andrea Andolfatto, Bocconi University
Discussion: Jiasun Li, George Mason University

4:45 p.m.

Cocktail

6:30 p.m.

Conference Dinner (program participants only)

Vendredi − 12 Septembre 2025

8:30 a.m.

Morning Chair: TBD
Certain vs Uncertain Timing: Financial Markets and Pricing Implications
by I. Puri
Indira Puri, New York University
Discussion: Philipp Illeditsch, Texas A&M University

9:10 a.m.

Survey Expectations Meet Option Prices: New Insights from the FX Market
by P. Della Corte, C. Gao, and A. Jeanneret
Can Gao, University of St Gallen
Discussion: Andreas Stathopoulos, University of North Carolina

9:50 a.m.

Risk Premia with Intertemporal Hedging
by F. Chabi-Yo, E. Gourier, and H. Langlois
Fousseni Chabi-Yo, University of Massachussets-Amherst
Discussion: TBD, TBD

10:30 a.m.

Coffee Break

11:00 a.m.

Introduction by Tolga Cenesizoglu, Director of CDI
Keynote Lecture by Bryan Kelly, Yale University
TBD

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), Bryan Kelly (Yale), Dmitriy Muravyev (UIUC), Piotr Orłowski
(HEC Montréal), Chayawat Ornthanalai (U. of Toronto), Neil Pearson (UIUC), Aurelio Vasquez
(ITAM