Research

Publications and working papers:
  • Option Returns and Volatility Risk Premia (with Xiaohua Chen and Marcela Valenzuela), 2017,  Journal of Economic Dynamics and Control, conditionally accepted.
    • Nominated as best conference paper at the EFMA (2014).
  • CVaR Constrained Planning of Renewable Generation with Consideration of System Inertial Response, Reserve Services and Demand Participation, 2016, Energy Economics (forthcoming).
  • Learning to Smile: Can Rational Learning Explain the Predictable Dynamics in the Implied Volatility Surface? (with Massimo Guidolin), 2015, Journal of Financial Markets 26, 1-37.    
    • Nominated as best conference paper at the FMA (2012).
  • Do investors follow the herd in option markets? (with T. Verousis and N. Voukelatos), 2015, Journal of Banking and Finance (forthcoming).
    • Nominated as best conference paper at the FMA (2015).
  • Can We Forecast the Implied Volatility Surface Dynamics for CBOE Equity Options? (with Massimo Guidolin), 2014, Journal of Banking and Finance 46, 326-342.
  • Understanding Option Introductions,2014, Journal of Empirical Finance (forthcoming).
  • Explaining the cross-section option returns,2014, R&R at the Journal of Business & Economic Statistics (2nd round).
  • Algorithmic and High Frequency Trading in Dynamic Limit Order Markets, 2016, submitted.
    • Nominated as best conference paper at the EFMA (2013).
  • Risk Management with Thinly Traded Securities: Methodology and Implementation (with Gonzalo Cortazar and Diether Beuermann), 2016, submitted.
  • Implied Correlation and Market Returns (with Marcela Valenzuela), 2016 submitted.
  • Optimal Electricity Generation Planning under Renewable Policy Targets (with Andrés Flores, Rodrigo Moreno and Andres Inzunza), 2017, submitted.
  • Understanding the Interbank Network Structure under Interactions between Unsecured and Collateralized Money Markets (with Carlos Cañon and and Nicolas Garrido), 2017, submitted.
  • A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition (with Italo Riarte, Satchit Sagade, Marcela Valenzuela, and Christian Westheide), 2017.

Work in Progress
  •  Diffusion of the Option Adoption (with Thanos Verousis and David Diaz).
  •  Dynamics in multi-markets: Quality and financial technological changes (with Marcela Valenzuela and Olga Lebedeva).
  •  Overlapping effects in multi-markets (with Marcela Valenzuela, Sean Foley and Nicolas Garrido).
  •  Multi-market Dynamics: dark pools and lit markets (with Marcela Valenzuela, Rodrigo Orellana).
  • Designated Market Making in limit order markets (Olga Lebedeva and Mykhailo Saienko).
  • Dealing with the Risk of a Policy Change: A Multi-Stage Expansion Planning for the Energy Sector (with Giancarlo Acevedo and Rodrigo Moreno).
  • News and Crises (Marcela Valenzuela and Maricel Vargas).

Book Chapter
  • The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps. Book: 50 Years of Money and Finance -Lessons and Challenges. Edited by Morten Balling and Ernest Gnan. Published by Larcier and SUERF Studies.