Dr Nikolaos Voukelatos from Kent Business School presented a working paper on the performance of option trading strategies in the EU at the 3rd annual conference of the Financial Engineering and Banking Society at the ESCP Europe Paris campus on June 6th.
The conference aimed to to provide a common forum for leading academics, regulators and practitioners to improve understanding of regulation policies and financial systems, with a view of providing public authorities with independent academic expertise and guidelines for actions.
Keynote speakers included Darrell Duffie (Stanford University) and Ike Mathur (Southern Illinois University).
Previous studies have highlighted the importance of options contracts in hedging various sources of market risk. The paper presented by Nikolaos Voukelatos provided new empirical evidence on the risk premia associated with various parts of the distribution of market returns by using information implied by the prices of index options. In addition, the paper highlighted the significant difference in terms of the willingness of market participants to hedge against different types of risk before and after the recent financial crisis.