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:
Related Sites:
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 (2011-2014), Raising the Research Profile of CBA, Grant Recipient
CME Group Foundation (2014), Financial Markets and Risk Management Research Grant, Grant Recipient
IFSID (2015-2018), Research Grant, Grant Recipient
CDI (2021-2022), Research Grant, Grant Recipient
CDI (2021-2023), Research Grant, Grant Recipient
CBOE Options Institute (2023-2024), Research Grant, Grant Recipient
Selected Publications
Recent Publications
- “Option Implied Dependence and Correlation Risk Premium” with C. Bernard, 2024, Journal of Financial and Quantitative Analysis, Vol. 59(7), p. 3139-3189
- “Market Return Around the Clock: A Puzzle,” with D. Muravyev, Journal of Financial and Quantitative Analysis, 2023, Vol. 58(3), p. 939-967,
- “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
- “Cboe Buffer Protect Indices for Risk Reduction and Smoother Returns,” with D. Myravyev, 2024, Research study commissioned by CBOE
- “Historical Performance of Put-Writing Strategies,” 2019, Research study commissioned by CBOE
- “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 Applied Mathematics and Computational Methods, 1991 – Moscow Institute of Physics and Technology