Piotr Orłowski

HEC Montréal

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 29,669

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Top 29,669

in Total Papers Downloads

2,447

SSRN CITATIONS

3

CROSSREF CITATIONS

6

Scholarly Papers (7)

1.

Informed Options Strategies before Corporate Events

CFS Working Paper, No. 541, Journal of Financial Markets, Forthcoming, LawFin Working Paper No. 39
Number of pages: 72 Posted: 09 Oct 2016 Last Revised: 07 Jul 2022
McGill UniversityMcGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, HEC Montréal, HEC Montréal and New York University (NYU) - Leonard N. Stern School of Business
Downloads 992 (33,137)
Citation 3

Abstract:

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

2.

On the Nature of (Jump) Skewness Risk Premia

Swiss Finance Institute Research Paper No. 19-31
Number of pages: 66 Posted: 06 Jun 2019 Last Revised: 23 Feb 2022
Piotr Orłowski, Paul Schneider and Fabio Trojani
HEC Montréal, University of Lugano - Institute of Finance and University of Geneva
Downloads 400 (106,029)
Citation 2

Abstract:

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

3.

Modeling Conditional Factor Risk Premia Implied by Index Option Returns

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 71 Posted: 02 Sep 2021 Last Revised: 30 Nov 2021
Mathieu Fournier, Kris Jacobs and Piotr Orłowski
HEC Montreal, University of Houston - C.T. Bauer College of Business and HEC Montréal
Downloads 363 (118,346)

Abstract:

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

4.

High-Frequency Tail Risk Premium and Stock Return Predictability

Number of pages: 45 Posted: 31 Jul 2018 Last Revised: 21 Mar 2022
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 and HEC Montréal
Downloads 279 (156,239)

Abstract:

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

5.

Benchmark Currency Stochastic Discount Factors

Number of pages: 72 Posted: 19 Oct 2021 Last Revised: 05 Nov 2021
Piotr Orłowski, Valeri Sokolovski and Erik Sverdrup
HEC Montréal, HEC Montreal - Department of Finance and Stanford University
Downloads 167 (251,325)

Abstract:

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FX risk premium, FX hedge funds, leverage, machine learning, 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 160 (260,569)
Citation 6

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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 86 (404,824)

Abstract:

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affine models, option pricing, filtering, unscented Kalman filter