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Biography
Prof. Stylianos Perrakis
The John Molson School of Business
Concordia University, Canada
Professor


Email: Perrakis@jmsb.concordia.ca


Qualifications

1970 Ph.D., Industrial Engineering and Operations Research, University of California
1966 M.Sc., Industrial Engineering and Operations Research, University of California
1960 Diploma, Mechanical-Electrical Engineering, National Polytechnic Institute, Greece


Publications (selected)

  1. “Microstructure noise and price discovery in option markets: Theory and empirical evidence”, w. M. Czerwonko, N. Khoury and M. Savor, 4th International IFABS Conference, Valencia, June 2012, 19th Multinational Finance Society Conference, Cracow, June 2012, and the Frontiers of Finance 2012 Conference, Warwick, September 2012.
  2. “Structural Models of the Firm Under State-dependent Volatility and Jump Process Asset Dynamics”, w. Rui Zhong, 19th Multinational Finance Society Conference, Cracow, June 2012, the 2012 Mathematical Finance Days, HEC Montreal, May 2012, and Sixth Annual Risk Management Conference of the Risk Management Institute at Singapore, July, 2012.
  3. “Valuing Catastrophe Derivatives Under Limited Diversification: a Stochastic Dominance Approach”, w. A. Boloor Foroosh, IFM2, Mathematical Finance Days, Montreal, 2011, and Multinational Finance Society, Rome, June 2011, and Midwestern Finance Association, New Orleans, February 2012.
  4. “One Security, Four Markets: Canada-US Cross-Listed Options and Underlying Equities”, w. M. Czerwonko, N. Khoury and M. Savor, European Financial Management Association, Aarhus, June 2010, and Multinational Finance Society, Rome, June 2011.
  5. “Tick size, microstructure noise and volatility inversion effects on price discovery in option markets: Theory and empirical evidence”, w. M. Czerwonko, N. Khoury and M. Savor, 24th Australasian Finance and Banking Conference, Sydney, December 2011.
  6. “Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence”, w. G. Constantinides, M. Czerwonko and J. Jackwerth,Journal of Finance, 66 (2011), 4, 1407-1437.
  7. “Competition, Interlisting and Market Structure in Options Trading”, w. N. Khoury and M. Savor, Journal of Banking and Finance, 35 (2011), 104-117.
  8. Investments(with Z. Bodie, E. Kane, A. Marcus and P. Ryan), seventh Canadian edition, McGraw-Hill Ryerson, 2011, 936 pp.
  9. “PIP Transactions, Price Improvement, Informed Trades and Order Execution Quality”, w. N. Khoury and M. Savor, European Financial Management, 16 (2010), 2, 211-228.
  10. “Mispricing of S&P 500 Index Options”, w. G. Constantinides and J. Jackwerth,The Review of Financial Studies, 22 (2009), 3, 1247-1277.
  11. “Stochastic Dominance Bounds on American Option Prices in Markets with Frictions”, w. G. Constantinides,The Review of Finance, 11 (2007), 71-115.
  12. “The American Put under Transaction Costs”, w. J. Lefoll,Journal of Economic Dynamics and Control, 28, 5 (2004), 915-935.
  13. “Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs”, w. G. Constantinides,Journal of Economic Dynamics and Control, 26 (2002), 1323-1352.
  14. “Option Pricing Bounds and the pricing of the Volatility Smile”, w. J. Masson, The Review of Derivatives Research4, 1 (2000), 29-53.
  15. “Option Pricing and Replication with Transaction Costs and Dividends”, w. J. Lefoll, Journal of Economic Dynamics and Control24, 11-12 (2000), 1527-1561.
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