Intermediary Option Pricing (2025)

I find that intermediary inventory and equity il-liquidity
can explain most of the risk premium in S&P 500 options since 2011.

Carbon VIX: Carbon Price Uncertainty and Decarbonization Investments (2024)
with Maximilian Fuchs and Johannes Stroebel 

R&R at the Journal of Financial Economics

We present the first uncertainty index for emission prices.
Carbon price uncertainty is high, spikes around major climate policy events,
and has large negative effects on polluters' decarbonization investments.

carbonvix.org provides the data.

SSRN, NBER, CEPR

Video of my presentation at the Virtual Derivatives Workshop

Featured in VoxEu

The Derivative Payoff Bias (2024)
with Guido Baltussen  and Paul Whelan 

We show that the majority of U.S. equity index derivative payoffs are biased,
due to derivatives' settlement design and intermediaries' "Charm".
This bias amounts to more than $3bn per year in S&P 500 options alone. 

SSRN

Featured in Bloomberg, Barrons, Risk