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
Does Market Incompleteness Matter for Market Microstructure?
Passive Investing: The Potential Profitability of Securities Lending
Snakes and Ladders: Asset Pricing with Household Disaster
Asset Prices and the Probability of Collective Action on Climate Change
Work in Progress
Option Pricing with Shorting Costs
Money and Asset Prices: A Household Perspective
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.
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