Curriculum Vitae (HTML)

Curriculum Vitae

CURRENT APPOINTMENTS

Associate Professor with tenure in Finance 2018 -

ITAM, Business School

Assistant Professor in Finance 2010 - 2018

ITAM, Business School

EDUCATION

Ph.D. in Finance 2005 – 2010

McGill University, Desautels Faculty of Management

Master in Mathematical Finance 1999 – 2000

University of Toronto

B.Sc. in Industrial Engineering 1992 - 1997

Universidad de Los Andes, Colombia

RESEARCH AND TEACHING INTERESTS

Empirical Asset Pricing, Derivatives, Investments, Risk Management and Fixed Income

PUBLISHED PAPERS

Do Realized Skewness Predict the Cross-Section of Equity Returns?, 2015, with Diego Amaya, Peter Christoffersen and Kris Jacobs, Journal of Financial Economics, 118, 135-167.

Equity Volatility Term Structures and the Cross-Section of Option Returns, 2017, Journal of Financial and Quantitative Analysis, Volume 52, Issue 6, Pages 2727-2754.

Anomalies in Emerging Markets: The Case of Mexico, with Renata Herrerias and Polux Diaz-Ruiz, 2020, The North American Journal of Economics and Finance, 2020, Volume 53, Pages 101188.

WORKING PAPERS

  1. Default Risk and Option Returns, with Xiao Xiao

  2. Making Better Use of Option Prices to Predict Stock Returns, with Dmitriy Muravyev and Wenzhi Wang

  3. Volatility Uncertainty and the Cross-Section of Option Returns with Jay Cao, Xiao Xiao, and Xintong Zhan

  4. Common Factors in Equity Option Returns with Alex Horenstein and Xiao Xiao

ACADEMIC TEACHING EXPERIENCE

Course taught

Finance 1 Winter 2011

Fixed Income Analysis 2010-2017

Market Risk Models, undergraduate 2009-2019

Empirical Finance, graduate 2016-2019

Market Risk Models, graduate Summer 2009

Empirical Asset Pricing 2015-2017

AWARDS AND ACCOMPLISHMENTS

IFSID Research Grant 2019-2020

IFSID Research Grant 2018-2019

Fundef Research award 2006-2009

IFM­­­­2 doctoral fellowship award 2006-2009

Colfuturo Scholarship Loan Program 2007-2009

McGill doctoral entrance fellowship 2005-2006

University of Toronto graduate fellowship 1999-2000

PROFESSIONAL EXPERIENCE

MANAGER, Valuation Product Control 2004 – 2005

Bank of Montreal, Toronto

  • Developed synthetic pricing of variance swaps using option prices

  • Researched and developed volatility surface to price OTC options

  • Computed close-out reserves and liquidity reserves for warrants, CDS and convertible securities based on limited market data, bid-ask spreads and model limitations

  • Monitored credit and equity derivative pricing models and risk sensitivities

  • Performed model stress tests to determine model's performance and accuracy

SENIOR ANALYST, Value-at-Risk Projects 2000 – 2004

Bank of Montreal, Toronto

  • Developed research to recommend “best” estimate for volatilities and correlations among Riskmetrics, GARCH(1,1) and historical volatility

  • Performed research using principal component analysis (PCA) to explain the structural changes in correlations among interest rate yield curves post September 11

  • Developed covariance matrix for interest rate (IR), foreign exchange (FX), equities and implied volatilities (IV) for value-at-risk (VaR) calculation

  • Developed a desktop application to compute credit risk and market risk (Delta-Gamma VaR) using Cornish-Fisher expansion

  • Supported, modified and enhanced the equity, IR, FX and commodity VaR daily processes and methodologies

ANALYST, Trading Division Jan - Apr 2000

Redpath Sugars, Toronto

  • Developed internal VaR model for sugar options and futures trading portfolio

  • PCA calculation and analysis of the term structure of sugar futures

  • Proposed methodology to price long-dated OTC sugar options

BUDGET ASSISTANT, Financial Division 1998 - 1999

Bell Canada International, Colombia

  • Developed annual budget model for the company

  • Analyzed profitability among different cell-phone plans

  • Research on the impact of devaluation on financial statements

COMPUTER SKILLS AND ADDITIONAL INFORMATION

Computer software: SAS, C/C++, Matlab, SQL, Perl, Visual Basic, Bloomberg, Unix, Microsoft Access, and Microsoft Excel

Languages: Fluent in French, Spanish and English

Sports and recreational activities: certified Kundalini yoga teacher. Soccer, basketball and biking

IMMIGRATION STATUS

Canadian Citizen

REFERENCES

Kris Jacobs

Professor of Finance

C.T. Bauer College of Business

University of Houston

Tel: 1 713 743 2826

kjacobs@bauer.uh.edu

Lars Stentoft

Associate Professor of Finance

Department of Finance

HEC Montreal

Tel: 1 514 340 6671

lars.stentoft@hec.ca