Grigory Vilkov
Professor of Finance • Professor
Professor of Finance
Grigory Vilkov is the Professor in the Department of Finance at Frankfurt School of Finance & Management. Grigory received his Diploma in finance from the Finance Academy of the Government of Russia, then got an MBA from the University of Rochester William E. Simon School, continued his study in INSEAD to get the M.Sc. and Ph.D. in Management. In 2008 he joined the Goethe University Frankfurt as Assistant Professor and stayed there until 2014, when he moved to Frankfurt School of Finance & Management. In the Fall 2013 he also visited University of Mannheim as Professor of Finance. Starting in 2013 Grigory is acting as principal investigator in the Center of Excellence SAFE (Sustainable Architecture for Finance in Europe).
He worked a number of years in derivatives trading, and then managed a privately held fund trading on the equity and equity derivatives markets. After some short experience with large banks, he worked as a partner in a company specialized on market execution systems for algorithmic trading on the stock and option markets, and a company building a grid computing technology used on Wall Street, and some others. Grigory's professional designations include FRM (Financial Risk Manager) from GARP and PRM (Professional Risk Manager) from PRMIA.
Grigory's preferred topic so far has been the use of derivative instruments and option-implied information in asset pricing and portfolio management, and general equilibrium modeling with frictions.
He worked a number of years in derivatives trading, and then managed a privately held fund trading on the equity and equity derivatives markets. After some short experience with large banks, he worked as a partner in a company specialized on market execution systems for algorithmic trading on the stock and option markets, and a company building a grid computing technology used on Wall Street, and some others. Grigory's professional designations include FRM (Financial Risk Manager) from GARP and PRM (Professional Risk Manager) from PRMIA.
Grigory's preferred topic so far has been the use of derivative instruments and option-implied information in asset pricing and portfolio management, and general equilibrium modeling with frictions.
- Finance department
- Professor
- Faculty
PUBLICATIONS
Pazarbasi, A., Schneider, P., Vilkov, G., 2024. Dispersion of Beliefs Bounds: Sentimental Recovery, Management Science Vol. 70(12), pp. 8284-8300.
Menkveld, A., Vilkov, G., et al., 2024. Non-Standard Errors, Journal of Finance Vol. 79(3), pp. 2339-2390.
Sautner, Z., Lent, L., Vilkov, G., Zhang, R., 2023. Firm-level Climate Change Exposure, Journal of Finance Vol. 78(3), pp. 1449-1498.
Chabi-Yo, F., Dim, C., Vilkov, G., 2023. Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks, Management Science Vol. 69(2), pp. 922-939.
Lent, L., Sautner, Z., Vilkov, G., Zhang, R., 2023. Pricing Climate Change Exposure, Management Science Vol. 69(12), pp. 7540-7561.
Ilhan, E., Sautner, Z., Vilkov, G., 2021. Carbon Tail Risk, Review of Financial Studies Vol. 34(3), pp. 1540-1571.
Jackwerth, J., Vilkov, G., 2019. Asymmetric Volatility Risk: Evidence from Option Markets, Review of Finance Vol. 23(4), pp. 777-799.
Malamud, S., Vilkov, G., 2018. Non-Myopic Betas, Journal of Financial Economics Vol. 129(2), pp. 357-381.
Buss, A., Dumas, B., Uppal, R., Vilkov, G., 2016. The Intended and Unintended Consequences of Financial-Market Regulations: a General-Equilibrium Analysis, Journal of Monetary Economics Vol. 81, pp. 25-43.
DeMiguel, V., Plyakha, Y., Uppal, R., Vilkov, G., 2013. Improving Portfolio Selection Using Option-Implied Volatility and Skewness, Journal of Financial and Quantitative Analysis Vol. 48(6), pp. 1813-1845.
Buss, A., Vilkov, G., 2012. Measuring Equity Risk with Option-Implied Correlations, Review of Financial Studies Vol. 25(10), pp. 3113-3140.
Driessen, J., Maenhout, P., Vilkov, G., 2009. The Price of Correlation Risk: evidence from Equity Options, Journal of Finance Vol. 64(3), pp. 1377-1406.
Menkveld, A., Vilkov, G., et al., 2024. Non-Standard Errors, Journal of Finance Vol. 79(3), pp. 2339-2390.
Sautner, Z., Lent, L., Vilkov, G., Zhang, R., 2023. Firm-level Climate Change Exposure, Journal of Finance Vol. 78(3), pp. 1449-1498.
Chabi-Yo, F., Dim, C., Vilkov, G., 2023. Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks, Management Science Vol. 69(2), pp. 922-939.
Lent, L., Sautner, Z., Vilkov, G., Zhang, R., 2023. Pricing Climate Change Exposure, Management Science Vol. 69(12), pp. 7540-7561.
Ilhan, E., Sautner, Z., Vilkov, G., 2021. Carbon Tail Risk, Review of Financial Studies Vol. 34(3), pp. 1540-1571.
Jackwerth, J., Vilkov, G., 2019. Asymmetric Volatility Risk: Evidence from Option Markets, Review of Finance Vol. 23(4), pp. 777-799.
Malamud, S., Vilkov, G., 2018. Non-Myopic Betas, Journal of Financial Economics Vol. 129(2), pp. 357-381.
Buss, A., Dumas, B., Uppal, R., Vilkov, G., 2016. The Intended and Unintended Consequences of Financial-Market Regulations: a General-Equilibrium Analysis, Journal of Monetary Economics Vol. 81, pp. 25-43.
DeMiguel, V., Plyakha, Y., Uppal, R., Vilkov, G., 2013. Improving Portfolio Selection Using Option-Implied Volatility and Skewness, Journal of Financial and Quantitative Analysis Vol. 48(6), pp. 1813-1845.
Buss, A., Vilkov, G., 2012. Measuring Equity Risk with Option-Implied Correlations, Review of Financial Studies Vol. 25(10), pp. 3113-3140.
Driessen, J., Maenhout, P., Vilkov, G., 2009. The Price of Correlation Risk: evidence from Equity Options, Journal of Finance Vol. 64(3), pp. 1377-1406.
Plyakha, Y., Uppal, R., Vilkov, G., 2021, Equal or Value Weighting? Implications for Asset-Pricing Tests, in: Constantin Zopounidis, Ramzi Benkraiem, Iordanis Kalaitzoglou (eds): Financial Risk Management and Modeling, 1. Ed., Cham: Springer, pp. 295-347.
Buss, A., Uppal, R., Vilkov, G., 2021. Investor Sophistication and Portfolio Dynamics. (submitted)
Buss, A., Schönleber, L., Vilkov, G., 2017. Expected Stock Returns and the Correlation Risk Premium.
Schönleber, L., Vilkov, G., Buss, A., 2016. Option Implied Correlations, Factor Models, and Market Risk.
Malamud, S., Vilkov, G., 2015. Betting Against Betas and their Factor Structure.
Malamud, S., Vilkov, G., 2015. Non-Myopic Betas, New York: Social Science Research Network.
Buss, A., Dumas, B., Uppal, R., Vilkov, G., 2014. Comparing Different Regulatory Measures to Control Stock Market Volatility: a General Equilibrium Analysis.
Plyakha, Y., Uppal, R., Vilkov, G., 2014. Equal or Value Weighting?: Implications for Asset-Pricing Tests, EDHEC Working Paper Series.
Buss, A., Uppal, R., Vilkov, G., 2014. Where Experience Matters: asset Allocation and Asset Pricing with Opaque and Illiquid Assets, INSEAD Working Paper Series 2014/68/FIN, Fontainebleau.
Veraart, A., Mele, A., Distaso, W., Vilkov, G., 2013. Asset Prices Driven by Stochastic String Shocks.
Buss, A., Uppal, R., Vilkov, G., 2013. Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs, INSEAD Working Paper No. 2014/01/FIN.
Jackwerth, J., Vilkov, G., 2013. Asymmetric Volatility Risk: evidence from Option Markets. (Revise and resubmit)
Driessen, J., Maenhout, P., Vilkov, G., 2013. Option-Implied Correlations and the Price of Correlation Risk, Advanced Risk & Portfolio Management Paper. (Revise and resubmit)
Vilkov, G., Xiao, Y., 2013. Option-Implied Information and Predictability of Extreme Returns, SAFE Working Paper 5.
Dumas, B., Uppal, R., Vilkov, G., 2013. Real Effects of Sentiment.
Marchuk, T., Vilkov, G., 2013. Skewness in Asset Pricing: a Review.
Plyakha, Y., Uppal, R., Vilkov, G., 2012. Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?, Nice: EDHEC Risk Institute.
Buss, A., Schlag, C., Vilkov, G., 2009. CAPM with Option-Implied Betas: another Rescue Attempt.
Hansis, A., Schlag, C., Vilkov, G., 2009. The Dynamics of Risk-Neutral Implied Moments: evidence from Individual Options.
Plyakha, Y., Vilkov, G., 2008. Portfolio Policies with Stock Options.
Ur Rehman, Z., Vilkov, G., 2008. Risk-Neutral Skewness: return Predictability and Its Sources.
Vilkov, G., 2008. Variance Risk Premium Demystified.
Horn, D., Schneider, E., Vilkov, G., 2007. Hedging Options in the Presence of Microstructural Noise.
Buss, A., Schönleber, L., Vilkov, G., 2017. Expected Stock Returns and the Correlation Risk Premium.
Schönleber, L., Vilkov, G., Buss, A., 2016. Option Implied Correlations, Factor Models, and Market Risk.
Malamud, S., Vilkov, G., 2015. Betting Against Betas and their Factor Structure.
Malamud, S., Vilkov, G., 2015. Non-Myopic Betas, New York: Social Science Research Network.
Buss, A., Dumas, B., Uppal, R., Vilkov, G., 2014. Comparing Different Regulatory Measures to Control Stock Market Volatility: a General Equilibrium Analysis.
Plyakha, Y., Uppal, R., Vilkov, G., 2014. Equal or Value Weighting?: Implications for Asset-Pricing Tests, EDHEC Working Paper Series.
Buss, A., Uppal, R., Vilkov, G., 2014. Where Experience Matters: asset Allocation and Asset Pricing with Opaque and Illiquid Assets, INSEAD Working Paper Series 2014/68/FIN, Fontainebleau.
Veraart, A., Mele, A., Distaso, W., Vilkov, G., 2013. Asset Prices Driven by Stochastic String Shocks.
Buss, A., Uppal, R., Vilkov, G., 2013. Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs, INSEAD Working Paper No. 2014/01/FIN.
Jackwerth, J., Vilkov, G., 2013. Asymmetric Volatility Risk: evidence from Option Markets. (Revise and resubmit)
Driessen, J., Maenhout, P., Vilkov, G., 2013. Option-Implied Correlations and the Price of Correlation Risk, Advanced Risk & Portfolio Management Paper. (Revise and resubmit)
Vilkov, G., Xiao, Y., 2013. Option-Implied Information and Predictability of Extreme Returns, SAFE Working Paper 5.
Dumas, B., Uppal, R., Vilkov, G., 2013. Real Effects of Sentiment.
Marchuk, T., Vilkov, G., 2013. Skewness in Asset Pricing: a Review.
Plyakha, Y., Uppal, R., Vilkov, G., 2012. Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?, Nice: EDHEC Risk Institute.
Buss, A., Schlag, C., Vilkov, G., 2009. CAPM with Option-Implied Betas: another Rescue Attempt.
Hansis, A., Schlag, C., Vilkov, G., 2009. The Dynamics of Risk-Neutral Implied Moments: evidence from Individual Options.
Plyakha, Y., Vilkov, G., 2008. Portfolio Policies with Stock Options.
Ur Rehman, Z., Vilkov, G., 2008. Risk-Neutral Skewness: return Predictability and Its Sources.
Vilkov, G., 2008. Variance Risk Premium Demystified.
Horn, D., Schneider, E., Vilkov, G., 2007. Hedging Options in the Presence of Microstructural Noise.
Buss, A., Uppal, R., Vilkov, G.
Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
Jackwerth, J., Vilkov, G.
Asymmetric Volatility Risk: Evidence from Option Markets
Buss, A., Dumas, B., Uppal, R., Vilkov, G.
Comparing Different Regulatory Measures to Control Stock Market Volatility: a General Equilibrium Analysis
Buss, A., Uppal, R., Vilkov, G.
Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
Jackwerth, J., Vilkov, G.
Asymmetric Volatility Risk: Evidence from Option Markets
Buss, A., Dumas, B., Uppal, R., Vilkov, G.
Comparing Different Regulatory Measures to Control Stock Market Volatility: a General Equilibrium Analysis
Driessen, J., Maenhout, P., Vilkov, G.
Option-Implied Correlations and the Price of Correlation Risk
Vilkov, G.
Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
Vilkov, G.
Asymmetric Volatility Risk: Evidence from Option Markets
Buss, A., Dumas, B., Uppal, R., Vilkov, G.
Comparing Different Regulatory Measures to Control Stock Market Volatility: a General Equilibrium Analysis
Vilkov, G.
Option-Implied Correlations and the Price of Correlation Risk
Vilkov, G., Xiao, Y.
Option-Implied Information and Predictability of Extreme Returns
Buss, A., Uppal, R., Vilkov, G.
Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
Buss, A., Uppal, R., Vilkov, G.
Asset Prices in General Equilibrium with Recursive Utility and illiquidity Induced by Transactions Costs
Plyakha, Y., Uppal, R., Vilkov, G.
Equal or Value Weighting?: Implications for Asset-Pricing Tests
Vilkov, G.
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
Vilkov, G.
Option-Implied Correlations and the Price of Correlation Risk
Vilkov, G.
Option-Implied Information and Predictability of Extreme Returns
Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
| American Finance Association, 76th Annual Meeting, 2016, San Francisco, CA. |
Jackwerth, J., Vilkov, G.
Asymmetric Volatility Risk: Evidence from Option Markets
| Western Finance Association, 50th Annual Conference, 2015, Seattle, WA. |
Buss, A., Dumas, B., Uppal, R., Vilkov, G.
Comparing Different Regulatory Measures to Control Stock Market Volatility: a General Equilibrium Analysis
| Carnegie Mellon University, 84th Meeting of the Carnegie-Rochester-NYU Conference on Public Policy, 2015, Pittsburgh, PA. | |
| Financial Intermediation Research Society, 10th Annual FIRS Finance Conference, 2015, Rejkjavik. |
Buss, A., Uppal, R., Vilkov, G.
Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
| Northern Finance Association, 27th Annual Conference, 2015, Banff. | |
| European Finance Association, 42nd Annual Meeting, 2015, Wien. | |
| McGill Univ., 7th Biennial McGill Global Asset Management Conference, 2015, Montreal. | |
| Coller Institute of Private Equity, 8th Private Equity Findings Symposium, 2015, London. | |
| Brunel Univ., Brunel Studies in Finance and Economics Conference, 2015, London. | |
| EDHEC-Risk Institute, Princeton Univ., Edhec-Princeton Institutional Money and Management Conference, Academia meets Practice, 2015, New York. |
Jackwerth, J., Vilkov, G.
Asymmetric Volatility Risk: Evidence from Option Markets
| Montreal Institute of Structured Finance and Derivatives, 3rd Conference on Derivatives, 2014, Montreal. |
Buss, A., Dumas, B., Uppal, R., Vilkov, G.
Comparing Different Regulatory Measures to Control Stock Market Volatility: a General Equilibrium Analysis
| Center of Excellence SAFE, Goethe-Univ., Conference on Behavioral Aspects in Macroeconomics and Finance, 2014, Mailand. | |
| European Finance Association, 41st Annual Meeting, 2014, Lugano. | |
| Society for Financial Econometrics, Systemic Risk and Financial Regulation Conference, 2014, Paris. | |
| Western Finance Association, 49th Annual Conference, 2014, Monterey Bay. | |
| Banque de France, 10th Journée of the Foundation, 2014, Paris. |
Driessen, J., Maenhout, P., Vilkov, G.
Option-Implied Correlations and the Price of Correlation Risk
| Financial Management Association International, Asian Conference, 2014, Tokyo. |
Vilkov, G.
Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
| European Finance Association, 40th Annual Conference, 2013, Cambridge. |
Vilkov, G.
Asymmetric Volatility Risk: Evidence from Option Markets
| OptionMetrics Users Conference, 2013, New York. | |
| Centre for Economic Policy Research, European Summer Symposium in Financial Markets, 2013, Gerzensee. |
Buss, A., Dumas, B., Uppal, R., Vilkov, G.
Comparing Different Regulatory Measures to Control Stock Market Volatility: a General Equilibrium Analysis
| Stockholm Institut for Financial Research, Conference on Re-Thinking Beta, 2013, Stockholm. | |
| Univ. of British Columbia, UBC Summer Finance Conference 2013, 2013, Vancouver. | |
| Centre for Economic Policy Research, European Summer Symposium in Financial Markets, 2013, Gerzensee. | |
| The Paul Woolley Centre, London School of Economics, 6th Annual Conference, 2013, London. |
Vilkov, G.
Option-Implied Correlations and the Price of Correlation Risk
| French Finance Association, 30th International Conference, 2013, Lyon. |
Vilkov, G., Xiao, Y.
Option-Implied Information and Predictability of Extreme Returns
| Swiss Society for Financial Market Research, 16th Annual Conference, 2013, Zürich. |
Buss, A., Uppal, R., Vilkov, G.
Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
| Cass Business School, Asset Pricing Retreat, 2012, London. | |
| American Finance Association, Annual Meeting, 2012, Chicago. |
Buss, A., Uppal, R., Vilkov, G.
Asset Prices in General Equilibrium with Recursive Utility and illiquidity Induced by Transactions Costs
| China Center for Financial Research, China International Conference in Finance, 2012, Chongqing. |
Plyakha, Y., Uppal, R., Vilkov, G.
Equal or Value Weighting?: Implications for Asset-Pricing Tests
| China Center for Financial Research, China International Conference in Finance, 2012, Chongqing. | |
| Multinational Finance Society, 19th Annual Conference, 2012, Krakau. |
Vilkov, G.
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
| OptionMetrics, Users Conference, 2012, New York. |
Vilkov, G.
Option-Implied Correlations and the Price of Correlation Risk
| OptionMetrics, User Conference, 2012, New York. |
Vilkov, G.
Option-Implied Information and Predictability of Extreme Returns
| OptionMetrics, Users Conference, 2012, New York. |
Vilkov, G.
Non-Myopic Betas, Goethe University Frankfurt, Finance Brown Bag Seminar, 2015/11/11, Frankfurt a.M..
Vilkov, G.
Non-Myopic Betas, HEC Lausanne and EPFL, Finance Research Seminar supported by Unigestion, 2015/11/06, Lausanne.
Non-Myopic Betas, Goethe University Frankfurt, Finance Brown Bag Seminar, 2015/11/11, Frankfurt a.M..
Vilkov, G.
Non-Myopic Betas, HEC Lausanne and EPFL, Finance Research Seminar supported by Unigestion, 2015/11/06, Lausanne.
OFFICE HOURS
During the lecture period
By appointment
Room
3.16
OFFICE HOURS
During the lecture period
By appointment
Room
3.16