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

DOWNLOADS
Rank 23,322

SSRN RANKINGS

Top 23,322

in Total Papers Downloads

4,706

TOTAL CITATIONS
Rank 37,496

SSRN RANKINGS

Top 37,496

in Total Papers Citations

19

Scholarly Papers (7)

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
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

Abstract:

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

2.

High-Frequency Tail Risk Premium and Stock Return Predictability

Number of pages: 57 Posted: 31 Jul 2018 Last Revised: 27 Jul 2024
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)

Abstract:

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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)

Abstract:

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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

Abstract:

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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

Abstract:

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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

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

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

Abstract:

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affine models, option pricing, filtering, unscented Kalman filter