Best Paper on Derivatives Award from the NFA for Geneviève Gauthier and two other professors
October 12, 2017
A scientific paper co-authored by Professor Geneviève Gauthier and her colleagues Professors Diego Amaya, of Wilfrid Laurier University, and Jean-François Bégin, of Simon Fraser University, won the Best Paper Award in the “Best Paper on Derivatives” category at the annual Conference of the Northern Finance Association (NFA) in Halifax last month.
The paper, entitled Extracting Latent States from High Frequency Option Prices, was chosen for its scientific quality, beating out dozens of other entries from around the world.
The annual NFA Conference is one of the largest North American gatherings for finance professors, practitioners and PhD candidates. This year, only 19% of the papers submitted were accepted.
The subject in short
The work by Geneviève Gauthier, Diego Amaya and Jean-François Bégin allows a more precise estimation of latent variables, such as volatility, and makes it possible to correct estimation bias in complex financial models. Including high-frequency option prices in the estimation process makes it possible to successfully identify jump components of the returns and volatility processes. The study offers a better understanding of the interactions between a stock-market index and the related option market.
For more information or to download the whole paper, visit this site.