Author Page for Mathieu Fournier

The Factor Structure in Equity Options

Rotman School of Management Working Paper No. 2224270

Number of pages: 88 Posted: 25 Feb 2013 Last Revised: 14 Sep 2016

Peter Christoffersen, Mathieu Fournier and Kris Jacobs

University of Toronto - Rotman School of Management, HEC Montreal and University of Houston - C.T. Bauer College of Business

Downloads 1,440 (16,887)

Citation 6

Abstract:

2.

A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth

Rotman School of Management Working Paper No. 2334842

Number of pages: 76 Posted: 02 Oct 2013 Last Revised: 28 Feb 2018

Mathieu Fournier and Kris Jacobs

HEC Montreal and University of Houston - C.T. Bauer College of Business

Downloads 628 (54,514)

Citation 2

Abstract:

3.

Beta Risk in the Cross-Section of Equities

Downloads 613 ( 56,323)

Citation 3

2

Beta Risk in the Cross-Section of Equities

Rotman School of Management Working Paper No. 2926511

Number of pages: 86 Posted: 03 Mar 2017 Last Revised: 23 Jul 2019

Ali Boloor, Peter Christoffersen, Mathieu Fournier and Christian Gourieroux

Concordia University, University of Toronto - Rotman School of Management, HEC Montreal and University of Toronto - Department of Economics

Downloads 545 (64,561)

Citation 4

Abstract:

Beta Risk in the Cross-Section of Equities

Paris December 2018 Finance Meeting EUROFIDAI - AFFI

Number of pages: 86 Posted: 05 Jun 2018

Ali Boloor, Peter Christoffersen, Christian Gourieroux and Mathieu Fournier

Concordia University, University of Toronto - Rotman School of Management, University of Toronto - Department of Economics and HEC Montreal

Downloads 68 (424,237)

Abstract:

4.

Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk

Rotman School of Management Working Paper No. 2656412

Number of pages: 51 Posted: 06 Sep 2015 Last Revised: 14 Oct 2017

Peter Christoffersen, Mathieu Fournier, Kris Jacobs and Mehdi Karoui

University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and OMERS

Downloads 576 (60,706)

Citation 8

Abstract:

5.

The Low-Minus-High Portfolio and the Factor Zoo

Downloads 282 (138,512)

2

The Low-Minus-High Portfolio and the Factor Zoo

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC

Number of pages: 47 Posted: 07 May 2019 Last Revised: 19 Nov 2019

Daniel Andrei, Julien Cujean and Mathieu Fournier

McGill University, Ecole Polytechnique Fédérale de Lausanne and HEC Montreal

Downloads 282 (137,847)

Abstract:

The Low-Minus-High Portfolio and the Factor Zoo

Number of pages: 50 Posted: 04 Dec 2019

Daniel Andrei, Julien Cujean and Mathieu Fournier

McGill University, Institute for Financial Management and HEC Montreal

Downloads 0

Add to Cart

Abstract:

6.

Asset Variance Risk and Compound Option Prices

Number of pages: 54 Posted: 14 Jul 2021

Hitesh Doshi, Jan Ericsson, Mathieu Fournier and Sang Byung Seo

University of Houston - C.T. Bauer College of Business, McGill University, HEC Montreal and University of Wisconsin - Madison

Downloads 57 (457,631)

Abstract:

7.

Modeling Conditional Factor Risk Premia Implied by Index Option Returns

Number of pages: 71 Posted: 02 Sep 2021

Mathieu Fournier, Kris Jacobs and Piotr Orłowski

HEC Montreal, University of Houston - C.T. Bauer College of Business and HEC Montréal

Downloads 142

Mathieu Fournier

HEC Montreal

Assistant Professor in Finance

7

Top 17,305

3,738

Top 39,780

6

13

Scholarly Papers (7)

The Factor Structure in Equity Options

Abstract:

A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth

Abstract:

Beta Risk in the Cross-Section of Equities

Beta Risk in the Cross-Section of Equities

Abstract:

Beta Risk in the Cross-Section of Equities

Abstract:

Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk

Abstract:

The Low-Minus-High Portfolio and the Factor Zoo

The Low-Minus-High Portfolio and the Factor Zoo

Abstract:

The Low-Minus-High Portfolio and the Factor Zoo

Abstract:

Asset Variance Risk and Compound Option Prices

Abstract:

Modeling Conditional Factor Risk Premia Implied by Index Option Returns

Abstract: