Oleg Bondarenko
Professor, Director of the International Center for Futures and Derivatives (ICFD)
Department of Finance
Contact
Building & Room:
UH 2123
Address:
601 S. Morgan St., Chicago, IL 60607
Office Phone:
Email:
CV Link:
About
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
Selected Grants
UIC College of Business Administration, Raising the Research Profile of CBA, Grant Recipient
CME Group Foundation, Financial Markets and Risk Management Research Grant, Grant Recipient
IFSID, Research Grant, Grant Recipient
Selected 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
Notable Honors
1993-1995, REAP Fellowship, Caltech
1991, Diploma with Honors, Moscow Institute of Physics and Technology
1985, Silver Medal, The 26th International Mathematical Olympiad
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