Hello! I am a Postdoctoral Scholar in Finance at Vanderbilt's Owen Graduate School of Management. I graduated from EDHEC Business School with a PhD in Finance in 2016. I do research on financial markets, with a focus on options and securities lending.
I have also been teaching Derivatives Markets to the MBA and MSF students at Owen. In my spare time, I develop some R libraries.
Job Market Paper
The Term Structure of Securities Lending Fees
- I jointly estimate the term structure of implied securities lending fees and implied volatility from options
- The implied lending fees co-vary with the spot fee, but include a premium indicative of large, low-probability jump risk
- Median lending fee risk premium of 2% per annum, but much higher for hard-to-borrow stocks and shorter maturities
- Close to two-thirds of the risk premium can be predicted using the term structure of implied lending fees
- Evidence that the lending fee term structure might be more useful to model than the volatility term structure
Working Papers
Does Market Incompleteness Matter for Market Microstructure?
with
Ekkehart Boehmer and Abraham Lioui |
Revision coming soon
Passive Investing: The Potential Profitability of Securities Lending
with Jesse Blocher and Robert E. Whaley |
Revision coming soon
Snakes and Ladders: Asset Pricing with Household Disaster
Asset Prices and the Probability of Collective Action on Climate Change
with
Martina K. Linnenluecke, Tom Smith and
Robert E. Whaley |
Revision coming soon
Work in Progress
Option Pricing with Shorting Costs
with Robert E. Whaley
Money and Asset Prices: A Household Perspective
with Abraham Lioui and Olesya V. Grishchenko
Courses at Vanderbilt
Derivatives Markets (MGT 6533)
2016-2017 | Mod 1 and 2
2017-2018 | Mod 1, 2 and 4
Introduction to futures, options and other derivatives with a focus on fundamental
arbitrage equations, binomial and Black-Scholes pricing, and Monte-Carlo simulations.
International Financial Markets and Instruments (MGT 6433)
2017-2018 | Mod 4
Overview of international finance topics, highlighting how to think about
currency and hedging in a corporate setting.
Older courses
Sciences Po Paris (Euro-Asia campus)
2009-2010 | Fall and Spring semesters
- Introduction to Econometrics
- Quantitative Methods for Economics
- Public Sector Economics
- 2016 | PhD in Finance, EDHEC Business School
- 2010 | Master in Economics and Public Policy, Ecole Polytechnique/ENSAE/Sciences Po
- 2008 | Master in Finance, Sciences Po Paris