WP-17-04
Longevity Bond Pricing in Equilibrium

Petar Jevtié, McMaster University
Minsuk Kwak Hankuk, University of Foreign Studies, Korea
Traian A. Pirvu, McMaster University

WP-17-03
A Level-1 Limit Order Book with Time Dependent Arrival Rates

Jonathan A. Chavez-Casillas, University of Calgary
Robert J. Elliott, University of Calgary
Bruno Rémillard, HEC Montréal
Anatoliy V. Swishchuk, University of Calgary

WP-17-02
Long-Term Tail Risk

Haitao Li, Cheung Kong Graduate School of Business 
Zhaogang Song, Johns Hopkins Carey Business School
Andrea Vedolin, London School of Economics and Political Science

WP-17-01
Loan Commitments

Dan Galai, The Hebrew University of Jerusalem
Zvi Wiener, The Hebrew University of Jerusalem

WP-16-11
Downside Variance Risk Premium

Bruno Feunou, Bank of Canada
Mohammad R. Jahan-Parvar, Federal Reserve Board
Cédric Okou, UQAM

WP-16-10
Good Volatility, Bad Volatility and Option Pricing

Bruno Feunou, Bank of Canada
Cédric Okou, UQAM

WP-16-09
Beta Risk in the Cross-Section of Stocks and Options

Ali Boloorforoosh, National Bank of Canada
Peter Christoffersen, University of Toronto
Mathieu Fournier, HEC Montréal
Christian Gouriéroux, University of Toronto

WP-16-08
Option Pricing and Hedging under non-affine Autoregressive Stochastic Volatility Models

Alexandru Badescu, University of Calgary
Robert Elliott, University of Calgary
Lyudmila Grigoryeva, Universität Konstanz
Juan-Pablo Ortega, Universität Sankt Gallen

WP-16-07
How does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?

Ines Chaieb, University of Geneva & SFI
Vihang Errunza, McGill University
Rajna Gibson Brandon, University of Geneva & SFI


WP-16-06
Options Illiquidity: Determinants and Implications for Stock Return

Ruslan Goyenko, McGill University
Chayawat Ornthanalai, Rotman School
Shengzhe Tang, Rotman School


WP-16-05

Can Higher-Order Risks Explain the Credit Spread Puzzle?

Olfa Maalaoui Chun, KAIST
Georges Dionne, HEC Montréal
Jingyuan Li, Lingnan University
Cédric Okou, UQAM


WP-16-04

The Correlation Risk Premium: International Evidence

Gonçalo Faria, University of Porto
Robert Kosowski, Imperial College – London
Tianyu Wang, Imperial College – London


WP-16-03

Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options

Dmitriy Muravyev, Boston College
Neil D. Pearson, University of Illinois
Joshua M. Pollet, University of Illinois


WP-16-02

Why Do Investors Buy Sovereign Default Insurance?

Patrick Augustin, McGill University
Valeri Sokolovski, Stockholm School of Economics
Marti G. Subrahmanyam, New York University

WP-16-01
Financial Innovation and Stock Market Participation

Laurent Calvet, HEC Paris
Claire Célérier, University of Zurich
Paolo Sodini, Stockholm School of Economics
Boris Vallée, Harvard Business School

WP-15-06
Trading Against Disorderly Liquidation of a Large Position Under Asymmetric Information and Market Impact

Caroline Hillairet, CMAP, École Polytechnique
Cody Hyndman, Concordia University
Ying Jiao, Université Paris Diderot
Renjie Wang, Concordia University

WP-15-05
CoMargin

Jorge A. Cruz Lopez, Banque du Canada
Jeffrey H. Harris, American University, Washington
Christophe Hurlin, University of Orléans
Christophe Pérignon, HEC Paris

WP-15-04
Transparency and Liquidity in the Structured Product Market

Nils Friewald, Vienna University of Economics and Business
Rainer Jankowitsch, Vienna University of Economics and Business
Marti G. Subrahmanyam, New York University

WP-15-03
Financial Oligopolies: Theory and Empirical Evidence in the Credit Default Swap Markets

Lawrence Kryzanowski – Concordia University
Stylianos Perrakis – Concordia University
Rui Zhon – Chinese Academy of Finance and Development

WP-15-02
Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

Laurent Barras – McGill University
Aytek Malkhozov – McGill University

WP-15-01
Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market

Hitesh Doshi – University of Houston
Kris Jacobs – University of Houston
Carlos Zurita – University of Houston

WP-14-04
Reactions to Sovoreign Credit News: an Analysis of the Credit Default Swap

Alexandre Jeanneret – HEC Montreal

WP-14-03
Les modèles factoriels et la gestion du risque de longévité

Martin Boyer – HEC Montreal
Christian Dorion – HEC Montreal
Lars Stentoft – Wester Ontario University

WP-14-02
A Random Field LIBOR Market Model

Tao L. Wu – Illinois Institute of Technology
Shengqiang Xu – Northern Trust Corporation

WP-14-01
An Efficient Method to Price Counterparty Risk

Michèle Breton – GERAD and HEC Montreal
Oussama Marzouk – HEC Montreal