Piotr Orłowski

HEC Montréal

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

CDI

3000, chemin de la Côte-Sainte-Catherine

Montréal, Québec H3T 2A7

Canada

SCHOLARLY PAPERS

7

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4,706

TOTAL CITATIONS
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Top 37,496

in Total Papers Citations

19

Scholarly Papers (7)

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1.

Informed Options Strategies before Corporate Events

CFS Working Paper, No. 541, Journal of Financial Markets, Forthcoming
Number of pages: 71 Posted: 09 Oct 2016 Last Revised: 30 Jan 2023
Patrick Augustin, Menachem Brenner, Gunnar Grass, Piotr Orłowski and Marti G. Subrahmanyam
McGill University, New York University (NYU) - Department of Finance, HEC Montréal, HEC Montréal and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,268 (35,260)
Citation 7

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corporate announcements, derivatives, event studies, insider trading, market microstructure

2.

High-Frequency Tail Risk Premium and Stock Return Predictability

Journal of Financial and Quantitative Analysis, 0 [10.1017/S0022109023001199]
Number of pages: 57 Posted: 31 Jul 2018 Last Revised: 27 Jul 2024
Caio Almeida, Kym Ardison, Gustavo Freire, René Garcia and Piotr Orłowski
Princeton University - Bendheim Center for Finance, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Université de Montréal and HEC Montréal
Downloads 933 (54,674)

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Tail Risk, Risk-Neutral Measure, Expected Shortfall, Intra-day Market Returns, Return Predictability

3.

Modeling Conditional Factor Risk Premia Implied by Index Option Returns

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC, Journal of Finance, Forthcoming
Number of pages: 69 Posted: 02 Sep 2021 Last Revised: 16 May 2023
Mathieu Fournier, Kris Jacobs and Piotr Orłowski
UNSW Business School, University of Houston - C.T. Bauer College of Business and HEC Montréal
Downloads 920 (55,730)

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Option Returns, Factor Models, Option-Implied Factor Risk Premia, Time-Varying Exposures, Machine Learning

4.

On the Nature of (Jump) Skewness Risk Premia

Swiss Finance Institute Research Paper No. 19-31, Management Science, Forthcoming
Number of pages: 49 Posted: 06 Jun 2019 Last Revised: 17 May 2023
Piotr Orłowski, Paul Schneider and Fabio Trojani
HEC Montréal, University of Lugano - Institute of Finance and University of Geneva
Downloads 855 (61,647)
Citation 2

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skewness premium, jump risk, index options, high-frequency data, VIX

5.

Constrained Currency Stochastic Discount Factors

Number of pages: 83 Posted: 19 Oct 2021 Last Revised: 10 Mar 2025
Piotr Orłowski, Valeri Sokolovski and Erik Sverdrup
HEC Montréal, University of Alberta - School of Business and Stanford University
Downloads 329 (197,861)
Citation 1

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FX risk premium, leverage, machine learning, risk factors, SDF

6.

Arbitrage Free Dispersion

Swiss Finance Institute Research Paper No. 19-20
Number of pages: 78 Posted: 14 Jan 2019 Last Revised: 11 Apr 2019
Piotr Orłowski, Andras Sali and Fabio Trojani
HEC Montréal, Alphacruncher and University of Geneva
Downloads 241 (273,227)
Citation 7

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Arbitrage-Free Dispersion, Cumulant Generating Function, Convexity, Convex Inequalities, Jensen’s Gap, Pricing Kernel Bounds, Entropy, Long-Run Risk Models, Tests of Asset Pricing Models

7.

Informative Option Portfolios in Unscented Kalman Filter Design for Affine Jump Diffusion Models

Number of pages: 40 Posted: 25 Feb 2020
Piotr Orłowski
HEC Montréal
Downloads 160 (398,965)
Citation 2

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affine models, option pricing, filtering, unscented Kalman filter