François Cocquemas

François Cocquemas

Postdoctoral Research Scholar in Finance at Vanderbilt University, Owen Graduate School of Management

Nashville, TN

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 asset pricing and market microstructure, with a focus on options and other derivatives.

I have also been teaching Derivatives Markets to the MBA and MSF students at Owen. In my spare time, I develop .

research

Working Papers

Snakes and Ladders: Asset Pricing with Household Disaster

Does Market Incompleteness Matter for Market Microstructure?

with Ekkehart Boehmer and Abraham Lioui | Revision coming soon

Asset Prices and the Probability of Collective Action on Climate Change

with Martina K. Linnenluecke, Tom Smith and Robert E. Whaley | Submitted

Passive Investing: The Potential Profitability of Securities Lending

with Jesse Blocher 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

teaching

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

education