I'm an Associate Professor in Finance at Durham University Business School.
My research interests are blockchain, financial technology & institutions, and quantitative risk management.
Please find links to my research papers below.
with Simon Fritzsch and Gregor Weiß.
This paper presents a robust new finding that delta-hedged and raw equity option returns include a volatility risk premium. To separate volatility risk premia from confounding effects, we estimate conditional quantile curves of implied volatilities using machine learning. We find that a zero-cost trading strategy that is long (short) in the portfolio with low (high) implied volatility -- conditional on the options' moneyness and realized volatility -- produces an economically and statistically significant average monthly return. Using conditional quantile curves not only helps in distinguishing volatility risk premia from other effects, most notably realized volatility, it also leads to returns that are higher than those reported in previous work on similar volatility strategies.