Mathieu Fournier

HEC Montreal

Assistant Professor in Finance

3000, Chemin de la Côte-Sainte-Catherine

Montreal, Quebec H2X 2L3 H3T 2A7

Canada

SCHOLARLY PAPERS

8

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4,233

SSRN CITATIONS
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Top 39,206

in Total Papers Citations

6

CROSSREF CITATIONS

13

Scholarly Papers (8)

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1.

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 1,500 (17,720)
Citation 6

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factor models, equity options, implied volatility, option-implied beta

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 645 (58,148)
Citation 2

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Variance risk premium; market maker; inventory risk; financial constraints; option pricing

3.

Beta Risk in the Cross-Section of Equities

Downloads 637 ( 59,072)
Citation 3

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 563 (68,322)
Citation 4

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Factor Models, Stochastic Beta, Option-Implied Beta, Wishart Processes

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 74 (438,577)

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Factor models; stochastic beta; option-implied beta; Wishart processes

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 595 (64,421)
Citation 8

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Co-skewness, co-kurtosis, risk premia, options, cross-section, out-of-sample

5.

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 321 (132,655)

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

6.

The Low-Minus-High Portfolio and the Factor Zoo

Downloads 290 (147,529)

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 290 (146,812)

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CAPM, factor zoo, anomalies

The Low-Minus-High Portfolio and the Factor Zoo

CEPR Discussion Paper No. DP14153
Number of pages: 50 Posted: 04 Dec 2019
Daniel Andrei, Julien Cujean and Mathieu Fournier
McGill University, Institute for Financial Management and HEC Montreal
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7.

Understanding the Comovement between Corporate Bonds and Stocks: The Role of Default Risk

WBS Finance Group Research Paper Forthcoming
Number of pages: 85 Posted: 06 Jul 2022
Alexander Dickerson, Mathieu Fournier, Alexandre Jeanneret and Philippe Mueller
Warwick Business School, HEC Montreal, UNSW Business School and Warwick Business School Finance Group
Downloads 141 (283,239)

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Corporate bonds, stock-bond comovement, default risk, structural model, asset pricing

8.

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 104 (352,843)

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