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Oleg Bondarenko

Head and shoulders photo of Oleg Bondarenko
  • Professor of Finance

Office: 2416 UH
Phone: (312) 996-2362
 

Education

  • Ph.D. Social Sciences, 1998 – California Institute of Technology
  • MS Banking and Finance, 1993 – International University in Moscow
  • MS Applied Mathematics and Computational Methods, 1991 – Moscow Institute of Physics and Technology 

Experience

  • University of Illinois at Chicago, Professor, 2015-present, Associate Professor, 2004-2015, Assistant Professor, 1997-2004
  • Northwestern University, Kellogg School of Management, Visiting Scholar, 2006-2007, 2010-present
  • Washington University in St. Louis, Olin School of Business, Visiting Associate Professor, 2004-2005 

Classes Taught

  • Investments
  • Advanced Investments
  • Asset Management

Research & Publications

Recent Publications
  • “Exploring Return Dynamics via Corridor Implied Volatility,” with T. Andersen and M. Gonzalez-Perez, 2015, Review of Financial Studies, Vol 28, p. 2902-2945
  • “The Fine Structure of Equity-Index Option Dynamics,” with T. Andersen, V. Todorov, and G. Tauchen, 2015, Journal of Econometrics, Vol. 187, p. 532-546
  •  “Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence,” with T. Andersen, 2015, Review of Finance, Vol. 19, p. 1-54, the lead article
  • “Variance Trading and Market Price of Variance Risk,” 2014, Journal of Econometrics, Vol. 180, p. 81-97
  • “Why are Put Options So Expensive?” 2014, Quarterly Journal of Finance, Vol. 4 (3), 1450015 [50 pages], the editor’s choice paper
  • “VPIN and the Flash Crash,” with T. Andersen, 2014, Journal of Financial Markets, Vol. 17, p. 1-46, the lead article
  • “Reflecting on the VPIN Dispute,” with T. Andersen, 2014, Journal of Financial Markets, Vol. 17, p. 53-64
Commissioned Work
  • “An Analysis of Index Option Writing with Monthly and Weekly Rollover,” 2016, Research study commissioned by CBOE

Awards & Affiliations

Awards
  • REAP Fellowship, Caltech; 1993-1995
  • Diploma with Honors, Moscow Institute of Physics and Technology, 1991
  • Silver Medal, The 26th International Mathematical Olympiad, Helsinki, Finland; 1985
Research Grants
  • “Raising the Research Profile of CBA”, Dean’s Research Grant, 2011-2014
  • Financial Markets and Risk Management Research Grant, CME Group Foundation, with T. Andersen, 2014-2015
  • IFSID Research Grant, with C. Bernard and S. Vanduffel, 2015-2017