Date: Thursday 4 July 2024
Time: 9am-4pm
Place: University of Liverpool Management School - Seminar Room 1
The event
Hosted by the Management School's Accounting and Finance Group, the 'Liverpool Workshop in Option Markets' brings together a number of internationally recognised academics to present their latest papers and discuss the latest research developments in this area.
Option Markets have attracted the attention of investors in recent years due to low-cost electronic trading, improved pricing models and online analysis tools, as well as for offering unique advantages, including portfolio protection and additional income when used prudently.
As the popularity of these derivatives increases, this one-day workshops offers researchers and PhD students specialised in financial markets, a fantastic opportunity to learn about cutting-edge methodologies and network with like-minded individuals.
9:15 a.m. | Welcome – Alex Kostakis (University of Liverpool) |
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9:30 a.m. |
Expected 1DTE Option Returns by M. Johannes, A. Kaeck, N. Seeger and N. Shah Presenter: Norman Seeger (VU Amsterdam) Discussant: Ingmar Nolte (Lancaster University) |
10:15 a.m. |
0DTE Asset Pricing by C. Almeida, G. Freire and R. Hizmeri Presenter: Gustavo Freire (Erasmus University Rotterdam) Discussant: Stefanos Delikouras (University of Miami) |
11:00 a.m. | Refreshments Break |
11:30 a.m. |
0DTEs: Trading, Gamma Risk and Volatility Propagation by C. Dim, B. Eraker and G. Vilkov Presenter: Grigory Vilkov (Frankfurt School of Finance and Management) Discussant: Christian Wagner (WU Vienna University of Economics & Business) |
12:15 p.m. |
Can Equity Option Returns Be Explained by a Factor Model? IPCA Says Yes by A. Goyal and A. Saretto Presenter: Amit Goyal (University of Lausanne & Swiss Finance Institute) Discussant: Kevin Aretz (Alliance Manchester Business School) |
1:00 p.m. | Lunch Break |
2:15 p.m. |
Systematic Risk, Idiosyncratic Risk, and the Cross-Section of Expected Option Returns by C. Schlag and T. Sichert Presenter: Tobias Sichert (Stockholm School of Economics & Swedish House of Finance) Discussant: Anastasios Kagkadis (University of Liverpool) |
3:00 p.m. |
Option Traders, Short-Term Reversal, and Stock Returns by Y. Han, D. Huang and X. Xiao Presenter: Xiao Xiao (Bayes Business School) Discussant: Chardin Simen (University of Liverpool) |
3:45 p.m. | Closing Remarks and Refreshments |
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