Jeroen Dalderop is CERF's first fully funded PhD Scholar (2013-2016). King's College, Cambridge.
CERF PhD Scholar: Jeroen Dalderop
PhD Supervisor: Professor Oliver Linton
University of Cambridge, Faculty of Economics
PhD Title and Abstract:
Empirical Analysis of Derivative Prices
Understanding the workings of derivative markets is of increasing interest to
academics, policy makers and regulators. While advanced theoretical models
have been developed building on the seminal work by Black and Scholes in the
early 70s, their empirical verification has lagged behind. My proposed research
aims to develop methods to test these models empirically, paying specific
attention to tail risk and its perception by investors. Apart from its relevance, my
motivation for this topic stems from its interdisciplinary nature, combining
insights from financial mathematics, time series econometrics, and economic
theory.
Report July 2016:
Report March 2016:
Report April 2015:
Report September 2014:
Report April 2014: