 March 13, 2014 La Defense, Paris, France This workshop brings together researchers interested in the modelling of risk premia. A central topic in finance is the identification of risk premia, which is the extra payment that risk adverse investors require for bearing different risks, or rather, the market price attached to different sources of risk. While the equity return premium has been studied for decades, the recent literature focuses on the identification and estimation of premia related to variance, skewness, correlation, etc. Organizers: Junye Li, Associate Professor of Finance, ESSEC, CREAR Jeroen VK Rombouts, Associate Professor of Statistics and Econometrics, ESSEC, CREAR Session I: 9.30-10.50 Chair: Jeroen VK Rombouts, ESSEC Loriano Mancini, Swiss Finance Institute The Term Structure of Variance Swaps and Risk Premia Christian Gourieroux, University of Toronto and CREST Pricing Default Events: Surprise, Exogeneity and Contagion Coffee Break: 10.50-11.00 Session II: 11.00-13.00 Chair: Rachidi Kotchoni, THEMA, University de Cergy Paul Schneider, University of Lugano Generalized Risk Premia - The Economic Value of Predictability Andrea Vedolin, London School of Economics Bond Variance Risk Premiums Francesco Violante, CREATES, University of Aarhus A simple approach to retrieve Variance Risk Premia LUNCH: 13.00-14.20 Session III: 14.20-15.40 Chair: Andras Fulop, ESSEC Business School Junye Li, ESSEC The Term Structure of Variance Risk Premia and Stock Return Predictability: International Evidence Eric Ghysels, University of North Carolina, Chapel Hill What drives the VIX and the volatility risk premium? Coffee Break: 15.40-16.10 Session IV: 16.10-17.30 Chair: Tolga Cenesizoglu, HEC Montreal Laurent Calvet, HEC Paris What's beneath the surface? Option pricing with multifrequency latent states Lars Stentoft, University of Western Ontario Which Pricing Approach for Options under GARCH with Non-Normal Innovations? Drinks: 17.30-18.30 Registration: To attend, please register here. The registration fee is 65 Euro for academia, 130 Euro for private sector and free for PhD students. The maximum capacity is 40. The fee covers coffee breaks, lunch and drinks. For questions, send an email to jeanlouis@essec.edu.  Special thanks to Europlace Finance Institute for its support |