Thursday, August 18, 2011, 8:30-10:15 am; Asset Pricing Empirical
Derivatives - B1

Session Chair: Stephen Figlewski, New York University

  • The Swaption Cube PDF
    Eduardo S. Schwartz, Andres Bjerre Trolle
    University of California - Los Angeles; Ecole Polytechnique Federale de Lausanne
    • Discussant: Kristian Miltersen, Copenhagen Business School
  • The Economics of Option Trading PDF
    Paul Huck, Robert L. McDonald
    Federal Reserve Bank of Chicago; Northwestern University
    • Discussant: Bruce Grundy, University of Melbourne
  • Variance Risk, Financial Intermediation, and the Cross-Section of Expected Option Returns PDF
    Norman Sch├╝rhoff, Alexandre Ziegler
    University of Lausanne; University of Zurich
    • Discussant: George Skiadopoulos, University of Piraeus