Professor Robert Goldstein (Chair of the Department of Finance), Pierre Collin Dufresne (Columbia University) and Fan Yang (PhD candidate in finance at the Carlson School) were honored with the CME Group Award for the Best Paper on Derivative Markets at the 2010 Western Finance Association Meetings in Victoria, British Columbia, Canada .
The paper, "On the Relative Pricing of Long Maturity SP500 Index Options and CDX Tranches," discussed the proper way to calibrate firm level dynamics, using both SP500 option prices to determine "market dynamics" and short- and long-maturity credit spreads on individual firms to identify firm-specific dynamics. In contrast to the previous literature, the authors found that the market was pricing the different tranches well, both before and after the credit crisis began.
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