Virtual, July 6-8, 2022

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Session

Options and Other Derivatives

Time:Wednesday, July 6, 2022 8:00 - 9:45Location:Stream 9Session Chair:Neil Pearson, University of Illinois at Urbana-Champaign Zoom:

Volatility Uncertainty, Disasters, and the Puzzle of VIX Futures Contango

Gurdip Bakshi; Temple University

John Crosby; University of Maryland

Xiaohui Gao; Fox School of Business

Jinming Xue; Southern Methodist University

  Presenter: John Crosby, University of Maryland

  Discussant: Sang Byung Seo, University of Wisconsin-Madison

Mutual Fund Stock Holdings and the Cross-Section of Option Returns

Shuaiqi Li; London School of Economics

  Presenter: Shuaiqi Li, London School of Economics

  Discussant: Amit Goyal, University of Lausanne

Forecasting Option Returns with News

Jie Cao; The Chinese University of Hong Kong

Bing Han; University of Toronto

Gang Li; The Chinese University of Hong Kong

Ruijing Yang; The Chinese University of Hong Kong

Xintong Zhan; Fudan University

  Presenter: Bing HanUniversity of Toronto

  Discussant: Turan Bali, Georgetown University

A Linear-rational Multi-curve Term Structure Model with Stochastic Spread

Jose da Fonseca; Auckland University of Technology

Komi Edem Dawui; World Bank and University Paris 1 - PRISM

Yannick Malevergne; Université Paris 1 Panthéon-Sorbonne

  Presenter: Jose da Fonseca, Auckland University of Technology

  Discussant: Robert Kimmel, Nanyang Technological University

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