On October 19, OptionMetrics, the provider of analytics and tools for quantitative researchers and other financial professionals, hosted the 4th Annual OptionMetrics Research Conference (ORC2015) at the Intrepid Sea, Air & Space Museum Complex in New York City. The event drew together researchers from across the globe to present groundbreaking ideas and research in the expanding options field. David Hait, president & founder of OptionMetrics, welcomed guests and officiated the conference.
Keynote speaker Marco Avellaneda, PhD, named Quant of the Year by Risk Magazine in 2010 and Director of the Division of Quantitative Finance at New York University, presented his most recent research, ?Modeling Volatility Risk in Equity Options Market: A Statistical Approach?. He discussed his analysis of the U.S. options market from 2004-2013 and presented a comprehensive risk model for options, using a mathematical technique called singular value composition. His model and research have yielded approximately 108 separate factors for managing risk across all US options.
Highlights from other presenters included:
- Tong Wang of Virginia Polytechnic Institute and State University presented his paper, ?Option-Implied Downside Risk Premiums,? examining evidence that index options are well suited to study downside risk and that almost all market risk premium comes from the downside.
- Christian Dorion of HEC Montr?al, examined equity risk premiums as a central component of risk-return models and a key contributor into estimating costs of equity and capital in corporate finance in his paper, ?The Pricing of Idiosyncratic Risk in Option Markets?. In particular, he examined the financial theory that only systematic risk should be priced.
- Nicola Fusari of Johns Hopkins Carey Business School presented his paper, ?Pricing Short-Term Market Risk: Evidence from Weekly Options?. Fusari focused on the increase in trading in short-term dated equity options and growing interest in measuring and interpreting (risk-neutral) jump tails.
While some of the papers presented at the conference are currently in preprocess, others that are published can be found at http://www.optionmetrics.com/research.html