Industry conference draws leaders to discuss options and crash risk, asset prices, volatility, and the markets overall PR Newswire
NEW YORK, Sept. 22, 2014
NEW YORK, Sept. 22, 2014 /PRNewswire-iReach/ — OptionMetrics, a leading source for quality historical option price data, tools and analytics, has announced the upcoming OptionMetrics Research Conference (ORC2014). The conference will be held on October 20th at Convene, located at 810 Seventh Avenue in Times Square. It will bring together financial professionals and researchers from academia and business to share ideas and increase understanding of the options markets.
Jim Gatheral, professor of mathematics at Baruch College, CUNY, Masters of Financial Engineering (MFE) program and best-selling author of “The Volatility Surface: A Practitioner’s Guide” (Wiley 2006), a standard reference on the subject of volatility modeling, will keynote the conference. Professor Gatheral with 27 years in investment banking, most recently Managing Director responsible for Equity Quantitative Research at Bank of America Merrill Lynch, is also co-editor-in-chief of Quantitative Finance, managing editor of IJTAF and an associate editor of the SIAM Journal on Financial Mathematics. He will discusss current research on volatility modeling, market impact, optimal execution and modeling equity market microstructure for algorithmic trading.
Other topics and industry experts include:
“Crash Risk, Sentiment, and the Volatility Skew Curve”, Alan Marcus,Boston College, Finance Department and former Research Fellow at the National Bureau of Economic Research Volatility-of-Volatility Risk”, Darien Huang, Wharton School, University of Pennsylvania, and former trading analyst at Goldman Sachs Tokyo “Options Trading and Stock Price Crash Risk”, Mikhail Bhatia,University of Melbourne “Asset Pricing Implications of the Volatility Term Structure”, Chen Xie,Columbia Business School “The Information Content of Option Prices Regarding Future Stock Return Serial Correlation”, Scott Murray, University of Nebraska – Lincoln “Test Implied Betas Using Portfolio Analysis and FM Regression”, Fang Qiao, Exeter University Business School “Equity Volatility Term Structures and the Cross-Section of Option Returns”, Aurelio Vasquez, ITAM-Mexico City, formerly of Bank ofMontreal, market risk group “Do Informed Investors Time the Horizon? Evidence from Equity Options”, Selwyn Yuen, Northwestern University’s Kellogg School of Management, formerly with Canada Pension Plan Investment Board “Financial Sector Tail Risk and Real Economic Activity: Evidence from the Option Market”, Michael Neumann, School of Economics, Queen Mary, University of London “Options, Risks, and Financial Flexibility: Implications for Financing Constraints”, Paul Borochin, University of Connecticut “Are Corporate Spin-offs Proceeded by Informed Trading?”, Patrick Augustin, McGill University “With increasing interest in options, growing investor savvy and increased speculation on the markets and volatility overall, we look forward to bringing together some of the sharpest minds in academia and the financial industry. ORC2014 promises to be a leading-edge event, offering insights from experts in the industry on the options market, volatility and risk during this interesting time in the worldwide markets,” said David Hait, President of OptionMetrics.
The registration cost of $525 includes admission to all sessions, keynote speaker, breakfast, lunch and cocktail reception. An early bird registration of$475 is offered until September 25th (code for discount is EARLY). Special discounts are also available to PhD students by contactingORC2014@optionmetrics.com.
For more information on OptionMetrics Research Conference) (ORC2014), please visit ./ouc2014.html