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| | | Assistant Professor Ornthanalai joined the College of Management in the fall of 2009. He received his Ph.D. in finance from the Desautels Faculty of Management, McGill University.
He also received a B.Eng. from McGill University. Prior to his PhD study, he worked on several research projects for Defense Canada.
His teaching and research interests lie in the area of asset pricing, credit risk, fixed-income, and financial econometrics. His recent research focuses on investigating the role of systematic risks in explaining the cross section of option prices, and analyzing jump risks in credit derivatives. His research work has been published in the Journal of Financial Economics.Areas of SpecializationAsset pricing Credit risk & fixed-income Derivative markets Financial econometrics EducationPh.D., B.Eng., McGill University |
| Featured Publications and Papers | - Redouane Elkamhi, Chayawat Ornthanalai, “The market crash risk implicit in individual equities: evidence from options and returns”.
- Peter Christoffersen, Kris Jacobs, and Chayawat Ornthanalai, “Exploring time-varying jump intensities: evidence from S&P 500 returns and options”.
- Chayawat Ornthanalai, “A new class of asset pricing models with Lévy processes: theory and applications”.
- Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai, and Yintian Wang. “Option valuation with long-run and short-run volatility components”, Journal of Financial Economics 90 (2008), 272-297.
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