Piotr Orłowski

HEC Montréal

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

785

SSRN CITATIONS

3

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

On the Nature of (Jump) Skewness Risk Premia

Swiss Finance Institute Research Paper No. 19-31
Number of pages: 73 Posted: 06 Jun 2019 Last Revised: 28 Jul 2021
Piotr Orłowski, Paul Schneider and Fabio Trojani
HEC Montréal, University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 273 (141,332)
Citation 2

Abstract:

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market crashes, jump risk premium, options, high-frequency data

2.

Extracting Tail Risk from High-Frequency S&P 500 Returns

Number of pages: 58 Posted: 31 Jul 2018 Last Revised: 13 Jan 2020
Caio Almeida, Kym Ardison, René Garcia and Piotr Orłowski
Princeton University, Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Université de Montréal - CIREQ - Département de sciences économiques and HEC Montréal
Downloads 190 (199,892)

Abstract:

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3.

Modeling Conditional Factor Risk Premia Implied by Index Option Returns

Number of pages: 82 Posted: 02 Sep 2021 Last Revised: 18 Oct 2021
Mathieu Fournier, Kris Jacobs and Piotr Orłowski
HEC Montreal, University of Houston - C.T. Bauer College of Business and HEC Montréal
Downloads 119 (292,141)

Abstract:

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

4.

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 Swiss Finance Institute
Downloads 114 (301,054)
Citation 5

Abstract:

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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

5.

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 52 (470,985)

Abstract:

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affine models, option pricing, filtering, unscented Kalman filter

6.

Benchmark Currency Stochastic Discount Factors

Number of pages: 65 Posted: 19 Oct 2021 Last Revised: 21 Oct 2021
Piotr Orłowski, Valeri Sokolovski and Erik Sverdrup
HEC Montréal, HEC Montreal - Department of Finance and Stanford University
Downloads 37 (538,209)

Abstract:

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FX risk premium, FX hedge funds, leverage, kernels, machine learning, SDF