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OptionMetrics Research Conference
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October 16, 2017 - Fordham University, NYC

This year's keynote speaker will be Roni Israelov, Managing Director and Head of Volatility Strategies at AQR Capital Management:
Roni oversees AQR's volatility trading strategies and the management of related portfolios. Prior to AQR, Roni was a research analyst in the quantitative equities strategies group at Lehman Brothers. He shared the Graham & Dodd Award for the paper "International Diversification Works (Eventually)" published in Financial Analysts Journal. Roni earned a B.S. in mechanical engineering from Georgia Institute of Technology, an M.S. in mathematical risk management from Georgia State University, and an M.S. in finance and a Ph.D. in financial economics from Carnegie Mellon University.

Space is limited, so REGISTER NOW - https://orc2017.eventbrite.com

1. Reversing the Negative Skewness of Value Portfolios with Power-Log Optimization and Options, Produces Smaller Drawdowns and Higher Risk-Adjusted Returns by Jivendra K. Kale and Tee Lim, St. Mary's College of California

2. The Ratio of Option Open Interest to Stock Outstanding by Jeffrey Harris, American University and Michael Shafer, Providence College

3. A Cross-Sectional Analysis of the Variance Risk Premium by Bruno Feunou, Bank of Canada; Ricardo Lopez Aliouchkin, Syracuse University; Romeo Tedongap, ESSEC Business School; and Lai Xu Syracuse University

4. Market Maker Inventory, Bid/Ask Spreads, and the Computation of Option Implied Risk Measures by Bjorn Eraker, University of Wisconsin - Madison, Daniela Osterreider, Rutgers University, and Ivan Shaliastovich, University of Wisconsin - Madison

5. Idiosyncratic Volatility, its Expected Variation, and the Cross-Section of Stock Returns by Nicole Branger, Hendrik Hülsbusch and T. Frederik Middelhoff, University of Muenster

6. Value-at-Risk Prediction Using Option-Implied Information Based on Maximum Entropy by Kai Schindelhauer and Chen Zhou, Erasmus University Rotterdam (The Netherlands)

7. Volatility Noise by Michael Hofmann and Marliese Uhrig-Homburg, Karlsruhe Institute of Technology

8. Stock Return Predictability: Consider Your Open Options by Farhang Farazmand, Citibank NA and Andre de Souza, NYU Stern and St. John's University

9. The Greenspan Put by Sandeep Dahiya Georgetown University, Bardia Kamrad Georgetown University, Valerio Poti University College Dublin, and Akhtar Siddique, Office of the Comptroller of the Currency

10. Using Equity and Index Options to Obtain Forward-Looking Measures of Beta and Variance of Idiosyncratic Risk by Ehud I. Ronn, University of Texas at Austin

Posted: 6 Oct 2017