By Dr Mathieu Fournier

Journal articles

Doshi H; Ericsson J; Fournier M; Seo SB, 2024, 'The risk and return of equity and credit index options', Journal of Financial Economics, 161, http://dx.doi.org/10.1016/j.jfineco.2024.103932

FOURNIER M; JACOBS K; ORŁOWSKI P; Fournier M, 2024, 'Modeling Conditional Factor Risk Premia Implied by Index Option Returns', The Journal of Finance, 79, pp. 2289 - 2338, http://dx.doi.org/10.1111/jofi.13324

Christoffersen P; Fournier M; Jacobs K; Karoui M, 2021, 'Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk', Journal of Financial and Quantitative Analysis, 56, pp. 65 - 91, http://dx.doi.org/10.1017/s002210902000023x

Boloorforoosh A; Christoffersen P; Fournier M; Gouriéroux C, 2020, 'Beta Risk in the Cross-Section of Equities', The Review of Financial Studies, 33, pp. 4318 - 4366, http://dx.doi.org/10.1093/rfs/hhz139

Fournier M; Jacobs K, 2020, 'A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth', Journal of Financial and Quantitative Analysis, 55, pp. 1117 - 1162, http://dx.doi.org/10.1017/s0022109019000462

Christoffersen P; Fournier M; Jacobs K, 2018, 'The Factor Structure in Equity Options', The Review of Financial Studies, 31, pp. 595 - 637, http://dx.doi.org/10.1093/rfs/hhx089

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