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Since June 2015, I am an associate professor of finance at HEC Montreal, which I joined in 2010. I hold a professorship on the study of financial risk factors and derivatives, and I teach classes on investments (B.Com.) and derivatives (B.Com., M.Sc., MFE and Ph.D.). I am also Scientific Director and Research Fellow of the Canadian Derivatives Institute (CDI). In addition, I have the pleasure of co-hosting the Virtual Derivatives Workshop (VDW).

My research focuses on asset pricing, derivatives, macro-finance structural models, and volatility models.

Academic Positions

2015-present Associate Professor, HEC Montreal
2019-present Scientific Director
  and Research Fellow, Canadian Derivatives Institute (CDI)
Winter 2022 Visiting Associate Professor, UCLA Anderson
Teaching MGMTMFE406 – Derivative Markets
2013-2019 Scientific Coordinator, Canadian Derivatives Institute (CDI)
2018-2019 Interim Head of the PhD Program in Finance, HEC Montreal
2016-2017 Visiting Scholar, University of Maryland
2010-2015 Assistant Professor, HEC Montreal

Education

Ph.D. in Finance    2005–2010
Desautels Faculty of Management
McGill University
 Supervisors: Peter Christoffersen & Kris Jacobs
A scholarship to remember Peter... 		M.Sc. in Computer Science    2002–2004
and Operations Research
Department of Computer Science and Operations Research, Université de Montréal
 Supervisor: Yoshua Bengio
Congrats on the Turing award!!

Work in progress

Abolghasemi, A., H.S. Bhamra, C. Dorion, and A. Jeanneret (2025). Equity Prices in a Granular Economy.

Dorion, C., P. Orłosky, and Y. Song (2024). The Factor Structure of 0DTE Option Returns.

Dorion, C., A. Ekponon and A. Jeanneret (2020). What Drives Corporate Asset Prices: Short- or Long-Run Risk? (SSRN).

Chaigneau, P., C. Dorion and K. Tewou (2020). Are Three Moments Enough? What 1,378,317 option prices tell us about higher-order risk aversion

Publications

Bhamra, H.S., C. Dorion, A. Jeanneret and M. Weber (2023). High Inflation: Low Default Risk and Low Equity Valuations. Review of Financial Studies, 36:1192–1252. [SSRN]

Bégin, J.F., C. Dorion, and G. Gauthier (2020). Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options. Review of Financial Studies, 33:155–211. [SSRN, Code]

Dorion (2016). Option Valuation with Macro-Finance Variables. Journal of Financial and Quantitative Analysis, 51:1359–1389. [SSRN]

Boyer, Dorion et Stentoft (2015). Les modèles factoriels et la gestion du risque de longévité. L'Actualité économique, 91:531–565.

Christoffersen, P. F., C. Dorion, K. Jacobs, and L. Karoui (2014). Nonlinear Kalman Filtering in Affine Term Structure Models. Management Science, 60:2248–2268. [SSRN, Internet Appendix]

Dorion, C., P. François, G. Grass and A. Jeanneret (2014). Convertible Debt and Shareholder Incentives. Journal of Corporate Finance, 24:38–56. [SSRN]
    ⚬ Also featured in the World Scientific Reference on Contingent Claims Analysis in Corporate Finance

Christoffersen, P. F., C. Dorion, K. Jacobs, and Y. Wang (2010). Volatility Components, Affine Restrictions and Non-Normal Innovations. Journal of Business and Economic Statistics, 28:483–502. [SSRN]

Events Organized

Virtual Derivatives Workshop, since May 13, 2020
    ⚬ In collaboration with Neil Pearson and Dmitriy Muravyev.
    ⚬ More than 80 presentations posted on our YouTube channel

CDI Thirteenth Conference on Derivatives, September 19 & 20, 2024, Montreal
    ⚬ Keynote lecture by Torben Andersen
    ⚬ Congratulations to Petra Vokata for winning the Best Discussion Award!
    ⚬ Program

2023 Derivatives and Asset Pricing Conference, March 2-4, 2023, Cancun, Mexico.
    ⚬ In collaboration with Bjorn Eraker and Aurelio Vasquez.
    ⚬ Program

CDI Twelfth Conference on Derivatives, September 14 & 15, 2023, Montreal
    ⚬ Keynote lecture by Jun Pan
    ⚬ Congratulations to Mariana Khapko for winning the Best Discussion Award!
    ⚬ Program

CDI Eleventh Conference on Derivatives, September 22 & 23, 2022, Montreal
    ⚬ Keynote lecture by Darrell Duffie
    ⚬ Exceptionally this year, the best paper was awarded a $5,000 Peter Carr Memorial Grant, a modest tip of the hat in honour of one of our greatest minds passing way too soon. Congratulations to Valentin Haddad Alan Moreira and Tyler Muir for the best paper, Whatever It Takes? The Impact of Conditional Policy Promises
    ⚬ Congratulations to Geneviève Gauthier for winning the Best Discussion Award!
    ⚬ Program

CDI Tenth Conference on Derivatives, September 23 & 24, 2021, Montreal (hybrid)
    ⚬ Keynote lecture by Neil Pearson
    ⚬ Congratulations to Oleg Bondarenko for winning the Best Discussion Award!
    ⚬ Program

CDI Ninth Conference on Derivatives, September 2, 9, 16, 23 & 30, 2020, Montreal (online)
    ⚬ Thanks to all who made the virtual CDI 2020 conference a success! We had 167 participants, with an average of 69 participants per session.
    ⚬ Congratulations to Guillaume Roussellet, for winning the Best Discussion Award!
    ⚬ Congratulations to Charles Martineau, for winning the Best Discussion Award Runner-Up!
    ⚬ Program

Cancun Derivatives Workshop, February 20-22, 2020, Mexico
    ⚬ In collaboration with Aurelio Vasquez.

CDI Eighth Conference on Derivatives, September 12-13, 2019, Montreal
    ⚬ Keynote lecture by David S. Bates
    ⚬ Congratulations to Valentin Haddad for winning the Best Discussion Award!
    ⚬ Program

HEC Montreal & McGill Summer Finance Workshop, July 5-6, 2019, Montebello

CDI Seventh Conference on Derivatives, September 20-21, 2018, Montreal
    ⚬ Keynote lecture by Mikhail Chernov
    ⚬ Congratulations to Fabrice Tourre for winning the Best Discussion Award!
    ⚬ Program

HEC Montreal & McGill Spring Finance Workshop, May 11-12, 2018, Montebello

IFSID Sixth Conference on Derivatives, September 14-15, 2017, Montreal
    ⚬ Keynote lecture by Pietro Veronesi
    ⚬ Congratulations to Vadim Elenev for winning the Best Discussion Award!
    ⚬ Program

IFSID Fifth Conference on Derivatives, September 15-16, 2016, Montreal
    ⚬ Keynote lecture by Kris Jacobs
    ⚬ Congratulations to David S. Bates for winning the Best Discussion Award!
    ⚬ Program

IFSID Fourth Conference on Derivatives, September 25-26, 2015, Montreal
    ⚬ Keynote lecture by Pierre Collin-Dufresne
    ⚬ Congratulations to Andra Ghent for winning the Best Discussion Award!
    ⚬ Program

HEC Montreal & McGill Winter Finance Workshop, March 5-7, 2015, Mont-Sainte-Anne (co-organized with Jan Ericsson and Alexandre Jeanneret)

IFSID Third Conference on Derivatives, September 25-26, 2014, Montreal
    ⚬ Keynote lecture by Francis Longstaff

IFSID & Bank of Canada Second Conference on Structured Products and Derivatives: Tail Risk, September 19-20, 2013, Montreal (co-organized with Jean-Sébastien Fontaine)
    ⚬ Keynote lecture by Michael Johannes

HEC Montreal's Winter Finance Workshop, March 14-16, 2013, Mont-Sainte-Anne (co-organized with Alexandre Jeanneret)

IFSID's First Conference on Structured Products and Derivatives, October 12-14, 2012, Montreal
    ⚬ Keynote lecture by Steve Heston

Desautels-HEC-Rotman Winter Finance Workshop, March 16-19, 2011, Mont-Tremblant (co-organized with Jan Ericsson and Peter Christoffersen)

Program Committees and Ad-Hoc Refereeing

2013–2025 HEC Montreal-McGill Winter Finance Workshop 2017–2023 Paris December Finance Meeting; 2016, 2017 & 2021 CBOE/FMA Conference on Derivatives and Volatility; 2014 & 2021 Midwest Finance Association; 2020 Financial Management Conference; 2016–2018 & 2020 Northern Finance Association; 2018–2020 HEC-McGill Winter Finance Workshop; 2019 ITAM Finance Conference; 2019 Eastern Finance Association;

International Journal of Forecasting; Finance Research Letters; Journal of Applied Econometrics; Journal of Banking and Finance; Journal of Business and Economic Statistics; Journal of Empirical Finance; Journal of Finance; Journal of Financial and Quantitative Analysis; Journal of Financial Econometrics; Journal of Financial Markets; Journal of Futures Markets; Management Science; Quantitative Finance; Review of Asset Pricing Studies; Review of Derivatives Research; Review of Financial Studies; Revue Finance.

Presentations

  • 0DTE Factor Structure at:
    • 2024 FMA/Cboe Conference on Derivatives and Volatility, Nov. 15-16, 2024, Chicago, IL.
  • Discussion on How Exogenous Liquidity Affects Information Efficiency in the Options Market, by Li Wang and Sophie Xiaoyan Ni,
    • 2023 FMA/Cboe Conference on Derivatives and Volatility, Nov. 17-18, 2023, Chicago, IL.
  • Discussion on International Arbitrage Premia, by Mirela Sandulescu and Paul Schneider,
    • 2023 Canadian Derivatives Institute Conference, Sept. 14-15, 2023, Montréal, Canada.
  • Discussion on Costs of Executing Complex Options Trades, by Su Li, David K. Musto, and Neil D. Pearson,
    • 2023 Derivatives and Asset Pricing Conference, March 2-4, 2023, Cancun, Mexico.
  • Discussion on Retail Option Traders and the Implied Volatility Surface, by Gregory W. Eaton, T. Clifton Green, Brian S. Roseman, and Yanbin Wu,
    • 2022 Conference on Derivatives and Volatility, November 11-12, Chicago, IL.
  • Discussion on Decomposing the Systematic and Idiosyncratic Components of the Diffusive and Tail Risks in Individual Equity Options, by Mobina Shafaati, Don M. Chance, and Robert Brooks,
    • 2021 Midwest Finance Association Conference, March 18-21, Virtual Event.
  • Are Three Moments Enough? What 1,378,317 option prices tell us about higher-order risk aversion (formerly: Option-Implied Measures of Higher-Order Risk Aversion) at:
    • Cancun Derivatives Workshop, February 20-22, 2020, Mexico
    • CUHK Derivatives & Quantitative Investing Conference, October 26, 2018, Hong Kong.
  • Discussion on Common Factors in Equity Option Returns , by Alex Horenstein, Aurelio Vasquez, and Xiao Xiao
    • 2019 Financial Management Association Conference, October 23-26, New Orleans, LA.
  • Discussion on Crash Risk in Individual Stocks, by Paola Pederzoli
    • Eighth ITAM Finance Conference, May 31 - June 1, 2019, Mexico City, Mexico.
  • Discussion on Volatility Uncertainty and the Cross-Section of Option Returns, by Jie Cao, Aurelio Vasquez, Xiao Xiao, and Xintong Zhan
    • 2018 Northern Finance Association Conference, September 21-23, Charlevoix, Canada.
  • Discussion on Efficient Parameter Estimation for Multivariate Jump-Diffusions, by François Guay and Gustavo Schwenkler
    • 2018 HEC-McGill Winter Finance Workshop, March 9, Banff, Canada.
  • Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options (formerly: The Pricing of Idiosyncratic Risk in Option Markets) at:
    • 2017 FMA/CBOE Conference on Derivatives and Volatility, November 9-10, Chicago, IL.
    • 2017 Northern Finance Association Conference, September 15-17, Halifax, Canada.
    • Sixth ITAM Finance Conference, June 2-3, 2017, Mexico City, Mexico.
    • 2017 ESSEC-Amundi Asset & Risk Management Workshop, April 26, 2017, Paris, France.
    • University of Washington, Department of Finance, March 13, 2017, Seattle, WA.
    • 2017 FMA Latin American Conference, February 16, 2017, Mexico City, Mexico.
    • 2016 Paris December Finance Meeting, December 20, 2016, Paris, France.
    • University of Houston, Department of Finance, November 30, 2016, Houston, TX.
    • National Bank of Canada, Market Risk, October 21, 2016, Montréal, Canada.
    • University of Maryland, Department of Finance, October 5, 2016, College Park, MD.
    • 2016 European Finance Association annual meeting, August 17-20, Oslo, Norway.
    • The 9th International Computational and Financial Econometrics, December 12-14, 2015, London, U.K.
    • Fourth OptionMetrics Conference, October 19, 2015, New York, NY.
    • Université de Montréal, September 10, 2015, Montréal, Canada.
  • Low Inflation: High Default Risk AND High Equity Valuations (formerly: Deflation, Sticky Leverage and Asset Prices, then Deflation and Inflation: Opposites, but not Equals) at:
    • Advances in Fixed Income and Macro-Finance Research, organized by the Bank of Canada, the Federal Reserve Bank of San Francisco, and Simon Fraser University, August 17-18, 2017, Vancouver, Canada.
    • The Board of Governors of the Federal Reserve System, April 21, 2017, Washington, DC.
    • 2017 HEC-McGill Winter Finance Workshop, February 24, Fernie, Canada.
  • Discussion on On the Pricing Role of Idiosyncratic Risk, by Jun (Tony) RUAN, Qian SUN, and Yexiao XU
    • 2017 FMA Latin American Conference, February 16, 2017, Mexico City, Mexico.
  • Discussion on Size and Value Matter, But Not The Way You Thought, by Marie Lambert, Boris Fays, and Georges Hübner
    • 2016 Paris December Finance Meeting, December 20, 2016, Paris, France.
  • Discussion on Option Return Predictability, by Jie Cao, Bing Han, Qing Tong, and Xintong Zhan.
    • 2016 Northern Finance Association Conference, September 16-18, Mont-Tremblant, Canada.
  • Discussion on Pricing of Idiosyncratic Equity and Variance Risks, by Elise Gourier.
    • Fifth ITAM Finance Conference, June 3-4, 2016, Mexico City, Mexico.
  • On the Excessive Cost of Hedging Longevity Risk (under various titles) at:
    • Conference dinner of the CEQURA Conference on Advances in Financial and Insurance Risk Management, October 1 - 2, 2014, Munich, Germany
    • Innovation for Financial Services, October 16-17, 2014, Montreal, Canada.
  • Panel discussion: Longevity risk and its impact on pension fund management. Innovation for Financial Services, October 16-17, 2014, Montreal, Canada.
    • The Dynamics of the Equity Risk Premium.
      • The 8th International Conference on Computational and Financial Econometrics, Dec. 6-8, 2014, Pisa, Italy
      • The 2012 Mathematical Finance Days, May 3-4, 2012, HEC Montréal, Canada.
    • Discussion on The Importance of Volatility Risk Premium for Volatility Forecasting, by Marcel Prokopczuk and Chardin Wese Simen.
      • 2013 Financial Management Association Annual Meeting, October 17-19, Chicago, IL.
    • Option Valuation with Macro-Finance Variables (formerly Business Conditions, Market Volatility and Option Prices) at:
      • The 7th International Computational and Financial Econometrics, December 14-16, 2013, London, U.K.
      • 2011 European Finance Association Conference, August 17-20, Stockholm, Sweden.
      • The Third Annual Volatility Institute Conference at NYU Stern School of Business, Long Term Volatility and Economic Fundamentals, April 8, 2011, New York, NY.
      • The Desautels-HEC-Rotman Winter Finance Workshop, March 16-19, 2011, Mont-Tremblant, Canada.
    • Volatility Forecasting and Explanatory Variables: A Tractable Bayesian Approach to Stochastic Volatility at:
      • 2013 Financial Management Association Annual Meeting, October 17-19, Chicago, IL.
      • The 6th International Computational and Financial Econometrics, December 1-3, 2012, Oviedo, Spain.
      • IFSID's First Conference on Structured Products and Derivatives, October 12-14, 2012, Montreal, Canada.
      • The 54th Annual conference of the Canadian Operational Research Society, June 11-13, 2012, Niagara Falls, Canada.
      • The 2011 Mathematical Finance Days, May 10-11, 2011, HEC Montréal, Canada.
      • The 2011 Optimization Days, May 2-4, 2011, HEC Montréal, Canada.
      • The 2nd Annual CIRPÉE Applied Financial Time Series Workshop, February 19, 2011, HEC Montreal, Canada.
      • The 16th International Conference on Computing in Economics and Finance, July 15-17, 2010, London, U.K.
    • Convertible Debt and Shareholder Incentives at:
      • The 2013 Mathematical Finance Days, May 1-3, 2013, HEC Montréal, Canada.
    • Discussion on A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation, by Torben G. Andersen, Dobrislav Dobrev, and Ernst Schaumburg.
      • The Fourth Risk Management Conference, March 8-11, 2012, Mont-Tremblant, Canada.

      External Links

      My HEC Page
      My SSRN Page
      HEC's Finance Seminars
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