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Grigory Vilkov             

Professor of Finance                           
Frankfurt School of Finance & Management

E-mail: vilkov(at)vilkov.net
SSRN:
click here

Phone 1: +49 (069) 154008-842 (office)
Skype: droplet5001

Location: 
Frankfurt, Sonnemannstrasse, 9-11,
Office 418

Curriculum Vitae: Download PDF

     

 NEWS

  1. [2016-01-29] OUT: Adrian Buss, Bernard Dumas, Raman Uppal, and Grigory Vilkov (2016). The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
  2. [2015-11-23] OUT: Some new papers -- check update! Semyon Malamud and Grigory Vilkov (2015). Non-Myopic Betas
  3. [2015-09-01] OUT: NEW VERSION: Asymmetric Volatility Risk: Evidence from Option Markets, with Jens Jackwerth
  4. [2014-07-07] OUT: updated code for computing implied moments! -- included interpolated/ non-interpolated versions, and some more! 
  5. [2014-07-07] OUT: NEW VERSION: Asymmetric Volatility Risk: Evidence from Option Markets, with Jens Jackwerth, link in Research->Papers
  6. [2013-12-11] OUT: Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs, with Adrian Buss and Raman Uppal, link in Research->Papers
  7. [2013-09-19] OUT: OptionMetrics Conference Program: here
  8. [2013-09-12] OUT: Asymmetric Volatility Risk: Evidence from Option Markets, with Jens Jackwerth, link in Research->Papers
  9. [2013-07-09] OUT: data for S&P500-based implied betas are online: check Research->Code
  10. [2012-11-14] OUT: new presentation in Research->PapersOption-Implied Information in Asset Allocaton Decisions
  11. [2012-11:14] OUT: updated version of implied correlations' paper in Research->Papers
  12. [2012-08-08] OUT: code for MFIV/MFIS/MFIK (BKM2003) + CX Corridor MFIV (AB2007) + VIX/SKEW (CBOE): check Research->Code
  13. [2012-07-26] The status of two papers changed from <<working>> to <<forthcoming>>: check Research->Papers 
  14. [2012-07-25] New code for Corridor MFIV, and VIX/ SKEW/IC based on CBOE methodology is coming soon (Aug 2012!): check Research->Code
  15. [2012-07-25] New code and data for S&P500-based implied betas are coming soon (Aug 2012!): check Research->Code