Welcome to my homepage!
I am an Assistant Professor of Finance at Tilburg University.
Email: t.grunthaler@tilburguniversity.edu
Research Interests: Asset Pricing, Option Pricing, Intermediary Asset Pricing, Credit Risk, Volatility, Tail Risk
Option-Based Intermediary Leverage, Journal of Banking and Finance, Volume 145, 2022 (DOI)
with Friedrich Lorenz and Paul Meyerhof
Dissecting Excess Volatility: The Impact of Intermediary Constraints, with Joren Koëter (PDF)
Presentations: Tilburg University, BI Oslo, Erasmus University Rotterdam, Nova SBE, Liverpool Workshop on Option Markets, Canadian Derivative Institute Annual Conference
A Credit-Risk Explanation for Momentum, with Alberto Manconi, Frans A. de Roon, and Zhaneta Tancheva
Presentations: European Finance Association, Nova-BPI Asset Management, FMA Europe, Bristol Financial Markets, NFN Nordic Finance, Tilburg University, BI Norwegian Business School, Frontiers of Factor Investing (scheduled)
Risk Premia and Option Intermediation (PDF)
Presentations: Quantitative Finance Seminar, Northwestern University; University of Muenster, NHH Bergen, Tilburg University, Amsterdam Business School, Econometric Society Rotterdam
Fed Tails: FOMC Announcements and Stock Market Uncertainty, with Heiner Beckmeyer and Nicole Branger (SSRN)
Presentations: European Finance Association (EFA), Canadian Derivative Institute (CDI) Conference, Eurofidai Paris December Finance Meeting, Econometric Society Winter Meeting (ESMW), DGF, AFA (Poster), AEA (Poster)