DR-17-04
Longevity bond pricing in equilibrium

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

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

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

DR-17-02
Long-Term Tail Risk

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

DR-17-01
Loan Commitments

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

RD-16-11
Downside Variance Risk Premium

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


RD-16-10

Good Volatility, Bad Volatility and Option Pricing

Bruno Feunou, Banque du Canada
Cédric Okou, UQAM

 

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

Ali Boloorforoosh, Banque Nationale du Canada
Peter Christoffersen, Université de Toronto
Mathieu Fournier, HEC Montréal
Christian Gouriéroux, Université de Toronto

 

DR-16-08
Option pricing and hedging under non-affine autoregressive stochastic volatility models

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

DR-16-07
How does sovereign bond market integration relate to fundamentals and CDS spreads?

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

 

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

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

 

DR-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

 

DR-16-04
The Correlation Risk Premium: International Evidence

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


DR-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


DR-16-02

Why Do Investors Buy Sovereign Default Insurance?

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

 

DR-16-01
Financial Innovation and Stock Market Participation

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

 

DR-15-06
Trading against disorderly liquidation of a large position under asymmetric information and market impact

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

 

DR-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

 

DR-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

 

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

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

 

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

Laurent Barras- Université McGill
Aytek Malkhozov – Université McGill

 

DR-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

 

DR-14-03
Les Modèles factoriels et la gestion du risque de longévité

Martin Boyer – HEC Montréal
Christian Dorion – HEC Montréal
Lars Stentoft – Western Ontario University

 

DR-14-02
A Random Field LIBOR Market Model

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

 

DR-14-01
An efficient method to price counterparty risk

Michèle Breton – GERAD et HEC Montréal
Oussama Marzouk – HEC Montréal