Derivatives and Volatility: The State of the Art (2017)

"Derivatives and Volatility 2017: The State of the Art" brought together leading researchers to discuss their work. The conference included presentations from Robert Merton, Darrell Duffie, Eduardo Schwartz, John Hull, Hayne Leland, Michael Johannes, Peter Carr, Torben Andersen, Tim Bollerslev, Peter Christoffersen, Francis Diebold, Dilip Madan, Stephen Figlewski, Robert Engle, Eric Ghysels, Paul Glasserman, Bryan Kelly, Michael Wolf, Ralph Koijen, and Liuren Wu. There were also  presentations from practitioners, Blu Putnam, Frank Hatheway, and Bruno Dupire. Videos and slides of the event are linked below. 

The final conference program can be found here.

THURSDAY, APRIL 27, 2017 | All Sessions in KMC 5-50
7:45am Registration in Henry Kaufman Management Center (KMC) lobby, Continental Breakfast in KMC 1-100
8:45-9:00am Welcome Remarks: Dean Peter Blair HenryNYU Stern School of Business
9:00-10:30am Session 1
Chair: Menachem Brenner, NYU Stern School of Business

Peter Carr, NYU Tandon School of Engineering
“Vol, Skew, and Smile Trading”
(co-authored with Liuren Wu)
slides | video

Dilip Madan, Robert H. Smith School of Business, University of Maryland
“Conic Option Pricing: Or How to Price an Option”
(co-authored with Wim Schoutens)
slides | video

 Chayawat Ornthanalai, Rotman School of Management, University of Toronto 
“Time-Varying Crash Risk: The Role of Stock Market Liquidity”
(co-authored with Bruno Feunou, Yoontae Jeon, and Peter Christoffersen)
10:30-11:00am  Refreshment Break
11:00-12:30pm Session 2
Chair: Matthew Richardson, NYU Stern School of Business

Francis Diebold, University of Pennsylvania
“The Econometrics of Financial and Macroeconomic Networks: Retrospect and Prospect”
slides | video

Michael Wolf, University of Zurich
“Large Dynamic Covariance Matrices”
(co-authored with Robert Engle and Olivier Ledoit)
slides | video

Eric Ghysels, University of North Carolina, Chapel Hill
“Granularity and (Downside) Risk in Equity Markets”
(co-authored with Hanwei Liu and Steve Raymond) 
slides | video
12:30-2:00pm Lunch | Located in the Gardner Commons (KMC 1-100) with additional seating in Tisch L101 
2:00-3:00pm What's New In V-Lab:
Robert Engle, NYU Stern School of Business
slides | video
3:00-3:30pm Refreshment Break
3:30-5:00pm Session 3
Chair: Kim Schoenholtz, NYU Stern School of Business

Robert Merton, MIT Sloan School of Management
"On the Role of Financial Innovation and Derivative Markets in Global Economic Growth and Development”

Eduardo Schwartz, Anderson Graduate School of Management, University of California, Los Angeles
“Commodity Pricing Models”

Hayne Leland, University of California, Berkeley
“New Results in Dynamic Capital Structure”
(co-authored with Dirk Hackbarth)
presentation | appendix 
5:00pm Cocktail Reception | Located in the Gardner Commons (KMC 1-100) 

FRIDAY, APRIL 28, 2017 | All Sessions in KMC 2-60
8:00am Registration: Henry Kaufman Management Center (KMC) lobby and Continental Breakfast in KMC 5-50
9:00-10:30am Session 1
Chair: Johannes Stroebel, NYU Stern School of Business

John Hull, Rotman School of Management, University of Toronto
“Optimal Delta Hedging for Options” (co-authored with Alan White)
slides | video

Stephen Figlewski, NYU Stern School of Business
“An American Call IS Worth More Than a European Call”

Bryan Kelly, University of Chicago Booth School of Business
“Forecasting the Distribution of Option Returns”
(co-authored with Roni Israelov)
slides | video
10:30-11:00am  Refreshment Break
11:00-12:30pm Session 2
Chair: Xin Zhou, NYU Shanghai

Torben Andersen, Kellogg School of Management, Northwestern University
“Unified Inference for Option Panels with Fixed and Large Time Span”
(co-authored with Nicola Fusari, Viktor Todorov, and Rasmus Varneskov)

Tim Bollerslev, Duke University
"Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions”
(co-authored with Andrew Patton and Rogier Quaedvlieg)

Michael Johannes, Columbia Business School
“Option Pricing of Earnings Announcement Risks”
(co-authored with Andrew Dubinsky, Andreas Kaeck, and Norman Seeger) 
slides | video
12:30-2:00pm LUNCHEON SPEAKER in the Barr-Kawamura Commons (KMC 5-50)
Darrell Duffie, Stanford University
“Good and Bad Unintended Consequences of New Regulations for Derivatives Markets”
(Based in part on research with Leif Andersen, Arvind Krishnamurthy, Yang Song, and Haoxiang Zhu)
slides | video

Chair: Stephen Figlewski, NYU Stern
2:00-3:30pm Session 3
Chair: Itamar Drechsler, NYU Stern School of Business

Liuren Wu, Zicklin School of Business, Baruch College, City University of New York
“Decomposing Long Bond Returns”
(co-authored with Peter Carr)
slides | video

Ralph Koijen, NYU Stern School of Business
“The Fragility of Market Risk Insurance”
(co-authored with Motohiro Yogo)

Paul Glasserman, Columbia Business School
“The Market-Implied Probability of Government Intervention in Distressed Banks” (co-authored with Richard Neuberg, Benjamin Kay, and Sriram Rajan)
3:30-4:00pm Refreshment Break
4:00-5:00pm Distinguished Panel: Risk, Volatility and Derivatives in an Era of High Uncertainty
Moderator: Robert Engle, NYU Stern School of Business
Bluford Putnam, Chief Economist and Managing Director of the Strategic Intelligence & Analytics team, CME Group (slides)
Bruno Dupire, Head of Quantitative Research, Bloomberg L.P. (slides)
Frank Hatheway, Chief Economist, NASDAQ
Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University