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 Schürhoff, Alexandre Ziegler
  University of Lausanne; University of Zurich
  • Discussant: George Skiadopoulos, University of Piraeus