Previous Events

The Workshop on Structured Financial Products, Retail Derivatives, and Warrants took place online on September 24, 2021.

Conference Opening: 13:45 CEST (UTC + 2 h, Berlin) = 12:45 WEST (Lisbon) = 07:45 EDT (Washington, DC) = 06:45 CDT (Chicago)

Session I: 14:00–15:20 CEST = 8:00–9:20 a.m. EDT

  • Is Credit Risk Priced in the German Market for Structured Products?
    Falk Jensen (University of Hagen)
  • Multi-asset risk measures based on a Black-Scholes market model
    Christian Laudagé (Fraunhofer ITWM)
  • Extrapolation and Complexity
    Donghwa Shin (University of North Carolina at Chapel Hill)

Session II: 15:40–17:00 CEST = 9:40–11:00 a.m. EDT

  • What is the best leverage product? Analyzing different scenarios for hedging and speculation
    Marc Oliver Rieger (University of Trier)
  • How to Harvest Variance Risk Premiums for the Long-term Investor?
    Julian Dörries (University of Göttingen), Olaf Korn, Gabriel Power

Session III: 17:20–18:40 CEST = 11:20–12:40 a.m. EDT

  • Uncoordinated Hedging and Price Chain Reaction
    Jun Kyung Auh (Georgetown University), Wonho Cho
  • Feeback Trading and Feedback Pricing: The Intraday Case of Retail Derivatives
    Sebastian Schlie (University of Hagen)

Lunch / Dinner Break

Session IV: 20:00–22:00 CEST = 2:00–4:00 p.m. EDT

  • Can Security Design Foster Household Risk Taking?
    Laurent Calvet, Claire Célérier (University of Toronto), Paolo Sodini, Boris Vallée
  • Retail Derivatives and Sentiment: A Sentiment Measure Constructed from Issuances of Retail Structured Equity Products
    Brian J. Henderson, Neil D. Pearson (University of Illinois at Urbana-Champaign), Li Wang
  • Evaluating Design Risk: the Case of CPPIs
    Raquel M. Gaspar (Lisbon School of Economics and Management)

Conference Closing: 22:00 CEST = 4:00 p.m. EDT