Program

In addition to the short program given here, the Book of Abstracts contains further information on the individual papers and the conference.

Foto: Dirk Matull

Thursday, 28 May 2026

19:00 Welcome Reception

Location: Villa (Building 10), Main Campus

Friday, 29 May 2026, Building 2

08:45–09:00 Welcome Address, Room 4+5

09:00–10:30 Session A

• Session A1: Retail Options, Room 4+5

  Chair: Edna Lopez Avila

  09:00-09:30 Who benefits from the European options markets? Performance of options
  trading
  Caroline Le Moign (Paris 1 Pantheon Sorbonne)

  09:30-10:00 Investment targets as reference points
  Aleksi Pitkäjärvi (Vrije Universiteit Amsterdam and Tinbergen Institute); Matteo Vacca (Hanken School of Economics); Petra Vokata (Ohio State University and CEPR)

  10:00-10:30 Low-Leverage Option Betting
  Edna Lopez Avila (University of Western Ontario)

• Session A2: Option Markets and Stock Returns, Room 6

  Chair: Lykourgos Alexiou

  09:00-09:30 Volatility-of-Volatility aligned uncertainty and return predictability
  Te-Feng Chen (Hong Kong Polytechnic University); Ji-Chai Lin (National Central University); Longfei Shang (Southwestern University of Finance and Economics); Xingfu Xu (Hong Kong Polytechnic University); Rochen Yin (Hong Kong Polytechnic University)

  09:30-10:00 Commonalities in firm-level implied volatilities
  Mykola Babiak (Lancaster University Management School); Jozef Barunik (Institute of Economic Studies, Charles University); Mattia Bevilacqua (University of Liverpool); Michael Ellington (University of Liverpool)

  10:00-10:30 Analyst tipping: new evidence from directional options trading volume and finra rule 2241
  Lykourgos Alexiou (University of Edinburgh Business School); Mattia Bevilacqua (University of Liverpool); Zacharias Petrou (Cyprus University of Technology)

• Session B1: Structured Products, Room 4+5

  Chair: Jieyu Wang

  11:00-11:30 A Monte Carlo study of optimal investment in leverage products
  Patrick Kerl (University of Trier); Marc Oliver Rieger (University of Trier)

  11:30-12:00 The best of both worlds? Comparative framing in the perception of structured financial products
  Marc Oliver Rieger (University of Trier); Martin Wallmeier (University of Fribourg)

  12:00-12:30 Retail derivatives sentiment and stock returns
  Jieyu Wang (Shanghai Jiaotong University); Neil Pearson (University of Illinois at Urbana-Champaign); Qi Zhang (Shanghai Jiaotong University)

• Session B2: Alternative Assets, Room 6

  Chair: Balasubramaniam Swaminathan

  11:00-11:30 Monitoring EU ETS carbon price uncertainty
  Robinson Kruse-Becher (University of Hagen)

  11:30-12:00 Market efficiency in prediction markets - a comparison with derivatives
  Michele Fabi (Telecom Paris); Roberto Marfe (University of Turin); Vittorio Ruffo (Frankfurt School of Finance & Management); Lorenzo Schoenleber (University of Turin)

  12:00-12:30 Inelastic by design: Institutional constraints and funding wedges in perpetual futures
  Balasubramaniam Swaminathan (NEOMA Business School)

• Keynote Address by Claire Célérier, Room 4+5

  Household Preferences, Security Design, and Financial Stability

  Claire Célérier is the Canada Research Chair in Household Finance, Associate Professor of Finance at University of Toronto’s Rotman School of Management. Claire’s research explores how finance can benefit households, investigating the role of innovation, regulation, and institutional design.

  We are very pleased that Professor Célérier will be delivering the keynote address at our conference.

• Session C1: Option Returns and Risk Premia, Room 4+5

  Chair: Niklas Wasielewski

  15:00-15:30 Short-term market reversals and the S&P 500 index option returns
  Matti Suominen (Aalto University); Akseli Kajander (Aalto University)

  15:30-16:00 Early birds get the vol: morning volatility uncertainty and variance risk premium
  Rodrigo Hizmeri (University of Liverpool); Mattia Bevilacqua (University of Liverpool)

  16:00-16:30 Overreaction in implied volatility jumps
  Rainer Baule (University of Hagen); Niklas Wasielewski (University of Hagen)

• Session C2: ETFs and Futures, Room 6

  Chair: Wen Chen

  15:00-15:30 From index trackers to risk managers: the expanding role of derivatives in ETFs
  Aneel Keswani (University of Cambridge); Xiao Xiao (City University of London); Yue Zhang (University of Cambridge)

  15:30-16:00 Corporate bond futures impact on corporate bond yields, liquidity, and ownership
  Ali Nejadmalayeri (University of Wyoming); Siamak Javadi (University of Texas Rio Grande Valley); William Campbell (University of Wyoming)

  16:00-16:30 Magnet effect of position limits on commodity futures
  Wen Chen (Texas Tech University); Bo Hu (George Mason University); Yajun Wang (Baruch College, CUNY)

• Session D1: Option Market Making, Room 4+5

  Chair: Thomas Kokholm

  09:00-09:30 Robinhood’s Forced Liquidations
  Diego Amaya (Wilfrid Laurier University); Pedro Angel Garcia Ares (ITAM); Neil D. Pearson (University of Illinois at Urbana-Champaign); Aurelio Vasquez (ITAM)

  09:30-10:00 The impact of early option exercise on ex-dividend stock returns
  Lennart Sperling (University of Hagen); Sebastian Schlie (University of Hagen)

  10:00-10:30 A model for the hedging impact of option market makers
  Sebastian Egebjerg (Aarhus University); Thomas Kokholm (Aarhus University)

• Session D2: AI and Machine Learning, Room 6

  Chair: Yizhen Xie

  09:00-09:30 Liquid factor models
  Dale Rosenthal (Morgan Stanley/Parametric)

  09:30-10:00 Extreme volume spikes, inelastic order flow and competition for liquidity provisioning
  Shubhankar Mishra (IIM Ahmedabad); Sobhesh Kumar Agarwalla (IIM Ahmedabad); Anirban Banerjee (IIM Ahmedabad)

  10:00-10:30 AI and demand-based option listing
  Yizhen Xie (Carnegie Mellon University)

• Session E1: Option Returns and Intraday Trading, Room 4+5

  Chair: Daniil Gerchik

  11:00-11:30 High-Frequency Option Predictability
  Christine Bangsgaard (Aarhus University); Sebastian Egebjerg (Aarhus University)

  11:30-12:00 Does option volume convey incremental information? Evidence from synthetic stock benchmarks
  Carlo Sala (ESADE Business School); Luis Goncalves (UNSW)

  12:00-12:30 Intraday volatility surface geometry and rebalancing premia in options
  Daniil Gerchik (Frankfurt School of Finance & Management, Deutsche Bundesbank)

• Session E2: Option Pricing, Room 6

  Chair: Lennart Dröge

  11:00-11:30 Eliciting the private signal distribution from option prices
  Julio A. Crego (Nova SBE)

  11:30-12:00 Pricing Contingent Claims under the Real-World Measure: New Frontiers for the DCF-Method
  Mike Felpel (HDI/Talanx Group); Lutz Hahnenstein (Ampega Asset Management GmbH)

  12:00-12:30 Pricing barrier options in discontinuous markets: An adaptive step Monte Carlo approach
  Lennart Dröge (University of Augsburg); Jos van Bommel (Université du Luxembourg)