RBC Distinguished Professor in Financial Derivatives
Stylianos Perrakis holds a Diploma in Mechanical-Electrical Engineering from the National Technical University in Athens, Greece, and an MSc and PhD from the University of California at Berkeley. He has also taught as a full professor at the University of Ottawa, and as a Visiting Professor at the University of Geneva, Switzerland, the University of California, Santa Barbara, the École Supérieure de Commerce of Reims, France, and the Athens Laboratory of Business Administration in Greece.
Dr. Perrakis has published widely in Economics, Finance and Management Science over the last 40 years. His articles have appeared in (among others) The American Economic Review, The Review of Economic Studies, The International Economic Review, Management Science, The Journal of Finance, The Journal of Business, The Review of Financial Studies, The Journal of Financial and Quantitative Analysis, The Journal of Futures Markets, The Journal of Banking and Finance, The Journal of Economic Dynamics and Control, The International Journal of Industrial Organization, and Economic Letters. He is also author of a monograph on Canadian Industrial Organization and co-author of a textbook on Investments that is currently in its 8th edition. He acts as a referee for over 20 journals, has served on the editorial board of Finance, the official publication of the French Finance Association, and is currently Associate Editor of Risk and Decision Analysis and Editor of the Multinational Finance Journal. His latest research interests are option pricing under transaction costs, microstructure in option markets and credit derivatives.
Dr. Perrakis has been the recipient of various distinctions throughout his career. Most recently, he was elected Fellow of the Royal Society of Canada in July 2007, became a member of Concordia University's Provost Circle of Distinction in July 2009 and was appointed RBC Professor of Financial Derivatives in June 2010. In 2013 he was elected member of the Board of Governors of the University of Macedonia, Thessaloniki, Greece.
PhD (University of California, Berkeley)
View Stylianos Perrakis's CV
Please respect the copyright regulations on the working papers.
"From Innovation to Obfuscation: Continuous Time Finance Fifty Years Later", forthcoming in Financial Markets and Portfolio Management
“Financial oligopolies: theory and empirical evidence from theCredit Default Swap Markets”,with L. Kryzanowski and R. Zhong, forthcoming in Journal of Financial Markets. Advance copy available at the journal website
“SheddingLight in a Dark Matter: Jump Diffusion and Option Implied InvestorPreferences”, with H. Ghanbari and M. Oancea, European Financial Management 2021, 27,244-286
“MispricedOption Portfolios”, w. G. Constantinides and M. Czerwonko, 2020, Financial Management, 49, 2, 297-330.
“Mispricing of Index Options withRespect to Stochastic Dominance Bounds? A Reply,” with G. M.Constantinides, M. Czerwonko and J. C. Jackwerth,2017, Critical Finance Review, forthcoming.
“Catastrophe Futures and Reinsurance Contracts: an Incomplete Markets Approach”, with AliBoloorforoosh, Journal of Futures Markets, 38 (2018), 104-128.
"Price Discovery in Equity and CDS Markets", with Lawrence Kryzanowski and Rui Zhong, Journal of Financial Markets 35 (2017), 21-46
“Liquidity Risk and Volatility Risk in Credit SpreadModels: a Unified Approach”, with Rui Zhong, European Financial Management, forthcoming.
“Transaction Costs and Option Pricing”, invited contribution, Risk and Decision Analysis 6 (2017), 241-248.
“Portfolio selection with transaction costsand jump-diffusion asset dynamics II: economicimplications”, with Michal Czerwonko, QuarterlyJournal of Finance, vol. 6, No. 4 (2016), 1650019 (28 pages).
“Portfolio selection with transaction costsand jump-diffusion asset dynamics I: a numerical solution”, with MichalCzerwonko, Quarterly Journal of Finance,vol. 6, No. 4 (2016), 1650018 (23 pages).
"Credit Spreads and State-Dependent Volatility: Theory and Empirical Evidence", w. Rui Zhong, Journal of Banking and Finance 55 (2015), 215-231.
"From Stochastic Dominance to Black-Scholes: an Alternative Option Pricing Paradigm", w. I. M. Oancea, Risk and Decision Analysis 5, (2014), 99-112.
"Valuing Catastrophe Derivatives Under Limited Diversification: A Stochastic Dominance Approach”, w. Ali Boloorforoosh, Journal of Banking and Finance, 37 (2013), 3157-3168.
“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.
“Competition, Interlisting and Market Structure in Options Trading”, w. N. Khoury and M. Savor, Journal of Banking and Finance, 35 (2011), 104-117.
“PIP Transactions, Price Improvement, Informed Trades and Order Execution Quality”, w. N. Khoury and M. Savor, European Financial Management, 16 (2010), 2, 211-228.
“Mispricing of S&P 500 Index Options”, w. G. Constantinides and J. Jackwerth, The Review of Financial Studies, 22 (2009), 3, 1247-1277.
"Stochastic Dominance Bounds on American Option Prices in Markets with Frictions", w. G. Constantinides, The Review of Finance, 11 (2007), 71-115.
“The American Put under Transaction Costs”, w. J. Lefoll, Journal of Economic Dynamics and Control, 28, 5 (2004), 915-935.
“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.
“Option Pricing Bounds and the pricing of the Volatility Smile”, w. J. Masson, The Review of Derivatives Research 4, 1 (2000), 29-53.
“Option Pricing and Replication with Transaction Costs and Dividends”, w. J. Lefoll, Journal of Economic Dynamics and Control 24, 11-12 (2000), 1527-1561.
"Asymmetric Information and the Signaling Role of the Basis on the Winnipeg Commodity Exchange”, with N. Khoury, Canadian Journal of Administrative Sciences, 16, 3 (September 1999), 202-212.
"Free Entry May Reduce Total Willingness to Pay" (w. C. Constantatos), Economics Letters, 62 (1999), 105-112.
"Asymmetric Information in Commodity Futures Markets: Theory and Empirical Evidence", with N. Khoury, Journal of Futures Markets, 18, 7 (October 1998), 803-825.
"Minimum Quality Standards, Entry, and the Timing of the Quality Decision" (w. C. Constantatos), Journal of Regulatory Economics, 13, 1 (January 1998), 47-58.
"Derivative Asset Pricing with Transaction Costs: an Extension", (w. J. Lefoll), Computational Economics, 10, 4 (November 1997), 359-376.
"Vertical Differentiation: Entry and Market Coverage with Multiproduct Firms" (w. C. Constantatos), International Journal of Industrial Organization, 16, (1997), 81-103.
"Legislating Competition in the Russian Federation: A New Challenge for Antitrust Policy (w. R.A. Devlin)," Antitrust Bulletin, 40, 4 (Winter 1996), pp. 901-927.
"Unraveling the Rewards of Protected Index Notes", w. S. Brisebois, C. Pelland, and C. Larson, Canadian Investment Review, 8, 4 (Winter 1996), pp. 35-41.
"Transactions Costs and Option Bid-and-Ask Spread on the Swiss Options and Financial Futures Exchange (SOFFEX)", Canadian Journal of Administrative Sciences (with J. Lefoll), 12, 4 (December 1995), pp. 276-289.
"Différenciation verticale et structure du marché" (w. C. Constantatos), Actualité économique, 71, 1 (March 1995), pp. 71-98.
"Options on Thinly-Traded Stocks: Theory and Empirical Evidence", Canadian Journal of Administrative Sciences (with P. Ryan), 11, 1 (1994), pp. 24-42.
“Options for Multinomial Stock Returns for Diffusion and Jump Processes”, Canadian Journal of Administrative Sciences, 10, 1 (1993), pp. 68-82.
"Assessing Competition in Canada's Financial System: a Note", Canadian Journal of Economics, 24,3 (August 1991), pp. 727-732.
"Les contributions de la théorie financière à la solution de problèmes en organisation industrielle et microéconomie appliquée", Actualité économique, vol. 65, no. 4, (décembre 1989) pp. 518-554.
“Preference-Free Option Prices when the Stock Returns Can Go Up, Go Down, or Stay the Same”, Advances in Futures and Options Research, 3 (1988), pp. 209-235.
"An International Duopoly Model Under Exchange Rate Uncertainty", Revue Economique, (with R. Owen), Vol. 39, No. 5, (September 1988), pp. 1035 1059.
“Option Bounds in Discrete Time and the Pricing of Corporate Debt”, Advances in Futures and Options Research, 2 (1987), pp. 179-207.
"Uncertainty, Economies of Scale and Barriers to Entry" (with G. Warskett), Oxford Economic Papers, 38, Supplement, (November 1986), pp. 58-74.
“Option Bounds in Discrete Time: Extensions and the Pricing of the American Put”, Journal of Business, 59, 1, (January 1986), pp. 119-142.
"The Profitability and Risk of Television Stations in Canada" (with J. Silva-Echnique), Applied Economics, 17 (August 1985), pp. 745-759.
“Option Pricing Bounds in Discrete Time”, Journal of Finance, 39, 2 (June 1984), pp. 519-525 (with P. Ryan).
"Optimal Replacement Policies with Two of More Loaded Sliding Standbys", (with Claude Henin), Naval Research Logistics Quarterly, 30 (December 1983), pp. 583-599.
"The Profitability and Risk of CATV Operations in Canada" (with J. Silva-Echenique), Applied Economics, 15, 6 (December 1983), pp. 745-758.
"Capacity and Entry Under Demand Uncertainty" (w. G. Warskett), The Review of Economic Studies, 50 (July 1983), pp. 495-511.
"An Empirical Analysis of Monopoly Regulation Under Uncertainty" (with J. Zerbinis), Applied Economics, 13, 1 (March 1981), pp. 109-125.
"Factor-Price Uncertainty with Variable Proportions: A Note", American Economic Review, 70, 5 (December 1980), pp. 1083-1088.
"Capital Budgeting and Timing Uncertainty within the Capital Asset Pricing Model", Financial Management, 8, 3 (Autumn 1979), pp. 32-40.
"On the Technological Implications of the Spanning Theorem", Canadian Journal of Economics, 12, 3 (August 1979), pp. 501-511.
"Identifying the SSD Portion of the EV Frontier: A Note, Journal of Financial and Quantitative Analysis, 13, 1 (March 1978), pp. 167-71 (with J. Zerbinis).
"Moment Inequalities for a Class of Single Server Queues, INFOR. 14, 2 (June 1976), pp. 144-152 (with I. Sahin).
"On the Regulated Price-Setting Monopoly Firm with a Random Demand Curve", American Economic Review, 66, 3 (June 1976), pp. 410-416.
"On Risky Investments with Random Timing of Cash Returns and Fixed Planning Horizon", Management Science, 22, 7 (March 1976), pp. 799-809 (with I. Sahin).
"A Note on Optimal Equity Financing of the Corporation", Journal of Financial and Quantitative Analysis, 11, 1 (March 1976), pp. 157-164.
"Rate-of-Return Regulation of a Monopoly Firm with Random Demand", International Economic Review, 17, 1 (February 1976), pp. 149-162.
"Certainty Equivalents and Timing Uncertainty", Journal of Financial and Quantitative Analysis, 10, 1 (March 1975), pp. 109-118.
"The Evaluation of Risky Investments with Random Timing of Cash Returns" Management Science 21, 1 (September 1974), pp. 79-86 (with C. Henin).
"Resource Allocation and Scale of Operations in a Monopoly Firm: A Dynamic Analysis" International Economic Review 13, 2 (June 1972) pp. 399-407 (with I. Sahin).
"The Labor Surplus Model and Wage Behavior in Mexico", Industrial Relations, 11, 1 (February 1972), pp. 80-95.
Canadian Industrial Organization, Prentice-Hall Canada Inc., 1990, 393 pp.
Investments (with Z. Bodie,E. Kane, A. Marcus and P. Ryan), first Canadian edition, Irwin Canada, 1993, 1024 pp.
Investments (with Z. Bodie, E. Kane, A. Marcus and P. Ryan), second Canadian edition, Irwin Canada, 1997, 1058 pp.
Investments (with Z. Bodie, E. Kane, A. Marcus and P. Ryan), third Canadian edition, McGraw-Hill Ryerson, 2000, 935 pp.
Investments (with Z. Bodie, E. Kane, A. Marcus and P. Ryan), fourth Canadian edition, McGraw-Hill Ryerson, 2003, 933 pp.
Investments (with Z. Bodie, E. Kane, A. Marcus and P. Ryan), fifth Canadian edition, McGraw-Hill Ryerson, 2005, 916 pp.
Investments (with Z. Bodie, E. Kane, A. Marcus and P. Ryan), sixth Canadian edition, McGraw-Hill Ryerson, 2008, 914 pp.
Investments(with Z. Bodie, E. Kane, A. Marcus and P. Ryan), eigthCanadian edition, McGraw-Hill Ryerson, 2014, 1006 pp.
Stochastic Dominance Option Pricing: an AlternativeApproach to Option Market Research, Palgrave MacMillan, 2019, 277pp.
, Nova Science Publishers,2012, 31-55.
“Mispriced option portfolios”, with G. Constantinidesand M. Czerwonko, doctoral seminar, McGill University, October 2015.
“Financial oligopolies:theory and empirical evidence from the Credit Default Swap Markets”,with L. Kryzanowski and R. Zhong, presented at doctoral seminar, Department ofEconomic,, University of Victoria, August 2015, and fourth IFSID conference,September 2015.
“TransactionCosts and Call Option Bid and Ask Spread: A Stochastic Dominance Approach”,co-authored with M. Czerwonko, invited presentation, Finance and RiskEngineering Department of New York University, April 2014.
“Catastrophe Derivatives and Reinsurance Contracts: An IncompleteMarkets Approach”, w. A. BoloorForoosh, presented at the 56th Canadian Operational Research SocietyConference(CORS), Ottawa, May 2014.
“Rollover Risk and Volatility Risk in Credit Spread Models: A UnifiedApproach”, w. Rui Zhong, 2013 Mathematical Finance Days, HEC Montreal, April, 2013, International Symposium onFinancial Engineering and Risk Management, Beijing, China, 2014, and FinancialManagement Association (FMA) Annual Meeting, October, 2014, Nashville, Tennesse.
"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.
“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.
“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, 2012 Mathematical Finance Days, HEC Montreal, May 2012, Sixth Annual Risk Management Conference of the Risk Management Institute at Singapore, July, 2012, Financial Management Association Meetings, Atlanta, October 2012, and Midwest Finance Association (MFA) Annual Conference, Chicago, March, 2013,.
“Market Efficiency and Default Risk: Evidence of an Anomaly from the CDS and loan CDS Markets”, w. L. Kryzanowski and R. Zhong, 23rd Annual Derivatives Securities and Risk Management Conference organized by Cornell University, University of Houston and FDIC (Federal Deposit and Insurance Corporation) at Arlington, March, 2013, 20th Multinational Finance Society Conference, Izmir, July 2013, Northern Finance Association, Quebec, September 2013, Financial Management Association Meetings, Chicago, October 2013, Frontiers of Finance 2014Conference, Warwick Business School, United Kingdom, April, 2014, 12thChina International Conference in Finance, Chengdu, China, July, 2014, and theThird International Conference on Futures and Derivative Markets, Shanghai,November 2014.
“Valuing Catastrophe Derivatives Under Limited Diversification: a Stochastic Dominance Approach”, w. A. Boloor Foroosh, IFM2, Mathematical Finance Days, Montreal, 2011.
“Tick Size Reduction and Price Discovery in Option Markets: an Empirical Investigation”, w. M. Czerwonko, N. Khoury and M. Savor, IFM2, Mathematical Finance Days, Montreal, 2011.
“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.
“Jump-Diffusion Option Valuation without a Representative Investor: a Stochastic Dominance Approach”, w. I. M. Oancea, Multinational Finance Society, Barcelona, June 2010 and Northern Finance Association, Winnipeg, September 2010.
“Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics: a Numerical Approach”, w. M. Czerwonko, European Financial Management Association, Aarhus, June 2010 and IFM2, Mathematical Finance Days, Montreal, 2010.
“Can the Black-Scholes-Merton Model Survive Under Transaction Costs? An Affirmative Answer,” w. M. Czerwonko, Northern Financial Association Conference, Calgary, 2008 (R),
Quantitative Methods in Finance Conference, Sydney, Dec. 2008 (R), Jerusalem Finance Conference in Honour of Haim Levy (invited paper), August 2009.
Conference How the Greek-Euro Crisis is Transforming Europe…and Greece, jointlysponsored by the Papachristidis Chair in Modern Greek Studies, McGillUniversity, and the RBC Professorship in Financial Derivatives, ConcordiaUniversity. At McGill University, April 4, 2013. Title of presentation: “It’s theGovernance Stupid! Structural Reforms and Microeconomic Policy in the GreekCrisis”.
Videoavailable at http://bcooltv.mcgill.ca/Viewer2/?rid=a8a9938a-f5d2-4505-bfab-332b5d82ced0
Videoavailable at http://bcooltv.mcgill.ca/Viewer2/?rid=a8a9938a-f5d2-4505-bfab-332b5d82ced0
© Concordia University