Informative option portfolios in filter design for option pricing models
Published in Quantitative Finance, 2021 | journal link | ssrn link
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portfolio
publications
On the nature of (jump) skewness risk premia
With Paul Schneider and Fabio Trojani. Accepted for publication in Management Science | ssrn link
Informed Options Strategies before Corporate Events
With Patrick Augustin, Menachem Brenner, Gunnar Grass, and Marti G. Subrahmanyam. Published in Journal of Financial Markets, 2022 | journal link | ssrn link
talks
Talk 1 on Relevant Topic in Your Field
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Tutorial 1 on Relevant Topic in Your Field
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Talk 2 on Relevant Topic in Your Field
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teaching
Teaching experience 1
Undergraduate course, University 1, Department, 2014
Teaching experience 2
Workshop, University 1, Department, 2015
workings
Arbitrage Free Dispersion
Last updated on 2019-04-11 | ssrn link
Benchmark Currency Stochastic Discount Factors
Last updated on 2021-11-05 | ssrn link
Modeling Conditional Factor Risk Premia Implied by Index Option Returns
Last updated on 2022-01-24 | ssrn link
High-Frequency Tail Risk Premium and Stock Return Predictability
Last updated on 2022-05-12 | ssrn link
The market price of risk in equity and credit markets
Last updated on 2022-05-24 | ssrn link
Jensen Bounds: Testable Restrictions on Asset Pricing Models
Last updated on 2022-05-24 | ssrn link