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Cambridge Endowment for Research in Finance (CERF)


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


Report July 2016:

Report March 2016:

Report April 2015:

Report September 2014:

Report April 2014: