Viktor Todorov
Viktor Todorov is Harold H. Hines Jr. Professor of Risk Management and Professor of Finance at the Kellogg School of Management, Northwestern University. Professor Todorov is a Fellow of the Society for Financial Econometrics and the Journal of Econometrics. His research interests are in the areas of theoretical and empirical asset pricing, econometrics and applied probability. He has published extensively in these fields. His recent work focuses on the robust estimation of asset pricing models using high-frequency financial data as well as the development and application of parametric and nonparametric methods of inference for studying risks and risk premia using derivatives markets data. He currently serves as a Co-Editor for Econometric Theory, and is on the editorial board of a number of leading academic journals, including Econometrica and the Journal of Econometrics. He received his PhD in Economics from Duke University in 2007.
- Asset pricing
- econometrics
- applied probability
- Derivatives
- investments
-
-
-
PhD, 2007, Economics, Duke University
MA, 2002, Economics, Central European University
BA, 1999, Finance, Varna University of Economics -
Professor of Finance, Kellogg School of Management, Northwestern University, 2015-present
Associate Professor of Finance, Kellogg School of Management, Northwestern University, 2011-2015
Assistant Professor of Finance, Kellogg School of Management, Northwestern University, 2007-2011 -
Bates-White Prize for the Best Paper at the 2022 Annual Meeting for the paper `` Intraday Cross-Sectional Distributions of Systematic Risk'', Society for Financial Econometrics
Best Associate Editor Award from Journal of Econometrics
Best Paper Award at the 2017 CBOE Conference on Derivatives and Volatility for the paper ``Nonparametric Option-Implied Volatility'', Financial Management Association
Finalist for the AQR Insight Award for the paper ``The Risk Premia Embedded in Index Options'', AQR, Greenwich, CT
Elected Fellow, Journal of Econometrics
Elected Felllow, Society for Financial Econometrics
Arnold Zellner Thesis for best Thesis in Business and Economic Statistics, American Statistical Association -
Co-Editor, Journal of Econometrics, 2023-2025
Editor, Econometric Theory, 2017-2023
Associate Editor, Econometrica, 2016-2022
Associate Editor, Journal of Financial Econometrics, 2012-2016
Associate Editor, Journal of Econometrics, 2012-2023
Associate Editor, Econometric Theory, 2014-2017
Introduction to Econometrics (FINC-584-0)
This course provides an introduction to graduate level econometrics. The first part of the course introduces basic probability and statistical tools that are essential for econometric analysis. The second part of the course covers basic econometric techniques for estimation and hypothesis testing, which are of direct use in various applications in economics and finance. The focus will be on results most relevant for practical applications rather than formal proofs of theorems, with the various econometric techniques illustrated through problems in both economics and finance.
Derivatives (KELLG_FE-314-0)
Use and pricing of forwards and futures, swaps, and options. Strategies for speculation and risk management, no-arbitrage pricing for forward contracts, binomial and Black-Scholes option pricing models, applications of pricing models in other contexts.
Investments (KELLG_FE-312-0)
Active portfolio strategies in bonds and stocks, optimal portfolio selection from the perspective of individual and institutional investors, and the role of style and performance benchmarks in portfolio management. Performance evaluation, trading costs, and other special topics.
Derivatives Markets (FINC-465-0)
This course introduces forwards, futures, options and related financial contracts, which are widely used for risk management in the form of standardized derivative securities, but also represent features that are found in common corporate securities, not typically thought of as derivatives. The course develops in depth a conceptual and analytical framework for understanding the pricing of these features, as well as strategies for managing risk. Covered topics include the following. Basic risk-management strategies using forward contracts, call and put options. Arbitrage relationship between spot prices and forward prices based on the role of dividends, cost of carry and convenience yields, with applications to securities lending, commodities and foreign exchange. An overview of futures markets: OTC markets versus exchanges, mark-to-market, margins, the role of clearinghouses. Statistical hedging with futures and the notion of basis risk. Introduction to swaps as a natural extension of forwards and futures. Fundamental option-pricing results such as put-call parity (including for hard-to-short stocks), general patterns in the optimal exercise of American options, and how the pricing of risk relates to the time horizon. Binomial pricing and hedging, and its limiting Black-Scholes model and associated hedging and market-making techniques. Overview of option pricing applications in corporate and other settings.
Capital Markets (FINC-450-0)
This course develops the key concepts necessary to understand financial markets using, where possible, the perspective of personal investing. Some of the personal investing topics covered include: Retirement planning, the cost of investing in mutual funds, how to select mutual funds, how to measure a portfolio's performance, factor investing, and arbitrage trading.
This class provides students with a structure for thinking about financial markets and the pricing of financial securities. The financial securities we study and price include stocks, bonds, futures, and options.
The class teaches how to address investment problems in a systematic manner using case studies. They are used to examine issues in the selection and implementation of investment strategies. In the process, the class examines current academic work about financial markets and their applications to investing.
