Price Bias and Common Practice in Option Pricing. Why Idiosyncratic Jump Risk Matters.
Geneviéve Gauthier, HEC Montreal
The talk will cover two important and related topics. The first part will discuss the use of
The second part of the talk will shed new light on the pricing of idiosyncratic risk by exploiting the richness of option data. We show that the contribution of idiosyncratic risk to the equity premium arises exclusively from jump risk. Tail
Geneviéve Gauthier is a professor in the Department of Decision Sciences at HEC Montréal. With a background in statistics, probability and stochastic calculus, she teaches financial engineering to master and doctoral students. Her research interests include modelling, measurement and management of risks, derivatives pricing, and financial econometrics. She received in 2018 the SSC Award for Impact of Applied and Collaborative Work from the Statistical Society of Canada for her outstanding contributions to the promotion of innovative statistical methodologies in financial engineering, and in the training of highly qualified personnel. Some of her publications appeared in Review of Financial Studies, Energy Journal, Journal of Risk and insurance, Journal of banking and Finance, and European Journal of Operations Research.
Cass Business School, 106 Bunhill Row
106 Bunhill Row, London EC1Y 8TZ, UK