Peter H. Gruber

• The Price of the Smile and Variance Risk Premia

  University of Lugano (2015)
  

  

• The Market Price of a Dynamic Smile

  Society for Financial Econometrics and Institute for New Economic Thinking, Cambridge, UK (2014)
  Research Days of the swiss:finance:institute, Gerzensee, Switzerland (2014)
  Finance Seminar at the University L. Bocconi, Milano (2014)
  7th World Congress of the Bachelier Finance Society, Brussels, Belgium (2014)
  

  

• Three Make a Dynamic Smile – Unspanned Skewness and Interacting Volatility Components in Option Valuation

  Vienna University of Technology (2010)
  6th World Congress of the Bachelier Finance Society, Toronto, Canada (2010)
  European Finance Association Annual Meeting, Frankfurt, Germany (2010)
  Midwestern Finance Association Annual Meeting, Chicago (2011)
  Eastern Finance Conference, Savannah, GA (2011)
  

  

• Option pricing with matrix affine jump diffusions

  PEF research seminar, University of St. Gallen (2008)
  finrisk Research Day, Gerzensee, Switzerland (2008)
  X. Workshop on Quantitative Finance, Milano (2009)
  

  

• A Market-Based Funding Liquidity Measure

  by Z. Chen and A. Lu
  13th International Paris Finance Meeting, Paris, France, 2016-12-16
  Slides (PDF)

  

• Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market

  by R. Loepez
  Affi annual meeting, Cergy, France, 2015-06-02
  Slides (PDF)

  

• The Information Content of Option Demand

  K. Kehrle et al.
  9th finrisk Resarch Day, Gerzensee, Switzerland, 2012-06-11
  Slides (PDF)

  

• Foreign currency returns and systematic risks

  V. Galsband et al.
  Workshop on Financial Determinants of Exchange Rates, Banca d'Italia, Rome, 2011-12-21
  Slides (PDF)

  

• Recovering Nonlinear Dynamics from Option Prices

  A. Engulatov et al.
  10th Swiss Doctoral Workshop in Finance, Gerzensee, Switzerland, 2011-06-06
  Slides (PDF)

  

• Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

  T. Bali et al.
  Eastern Finance Conference, Savannah, GA, 2011-04-15
  Slides (PDF)

  

• VIX Dynamics with Stochastic Volatility of Volatility

  A. Kaeck et al.
  Midwestern Finance Association Annual Meeting, Chicago, 2011-03-03
  Slides (PDF)

  

• Correlation risk and the term structure of interest rates

  by A. Buraschi et al.
  Financial Markets and Real Activity, Paris, France, 2008-11-21
  Slides (PDF)

  

• Joint model of corporate default intensities and macroeconomic dynamics

  by V. Sahakyan et al.
  Swiss Doctoral Workshop in Finance, Gerzensee, 2008-06-02

  

• Benchmarks in Aggregate Household Portfolios

  by Pascal St-Amour
  NCCR finrisk Research Day, Gerzensee, Switzerland, 2007-06-14
  Slides (PDF)

  

• A small investor model for the limit order book and some applications

  by Jörg Osterrieder
  NCCR finrisk workshop, Gerzensee, Switzerland, 2006-06-13
  Slides (PDF)

  

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© Peter H. Gruber.