Neil Pearson

Neil Pearson

Harry A. Brandt Distinguished Professor of Financial Markets and Options

  • Email

Contact

419 Wohlers Hall

1206 S. Sixth

Champaign, IL 61820

217-244-0490

pearson2@illinois.edu

SSRN

Listings

Educational Background

  • Ph.D., Finance, Massachusetts Institute of Technology, 1990
  • A.B., Summa Cum Laude, Princeton University, 1981

Positions Held

  • Harry A. Brandt Distinguished Professor in Financial Markets and Options, University of Illinois at Urbana-Champaign, 2006 to present
  • Director of PhD Program, Department of Finance, University of Illinois, 2003-2008
  • Professor of Finance, University of Illinois at Urbana-Champaign, 2003 to present
  • Associate Professor of Finance, University of Illinois, 1997-2003
  • Assistant Professor of Finance, University of Illinois, 1995-1997
  • Consultant, Rutter Associates and other clients, 1995 to present
  • Visiting Academic Fellow, United States Securities and Exchange Commission, 1994-1995
  • Assistant Professor of Finance, University of Rochester, 1989-1995

Recent Publications

  • Pearson, N., Ge, L., & Lin, T. (2016). Why Does the Option to Stock Volume Ratio Predict Stock Returns? Journal of Financial Economics, 120 (3), 601-622.
  • Pearson, N., & Yilmaz, H. (2016). Maximum Likelihood Estimation of Covariance Matrices with Constraints on the Efficient Frontier. International Journal of Computational Economics and Econometrics, 6 (1), 71-91.

Other Publications

Articles

  • Pearson, N., & Kitwiwattanachai, C. (2015). Inferring Correlations of Asset Values and Distances-to-Default from CDS Spreads: A Structural Model Approach. Review of Asset Pricing Studies, 112-154.
  • Pearson, N., Henderson, B., & Wang, L. (2015). New Evidence on the Financialization of Commodity Markets. Review of Financial Studies, 28 (5), 1285-1311.
  • Muravyev, D., Pearson, N., & Paul, B. (2013). Is there price discovery in equity options? Journal of Financial Economics, 107 (2), 259-283.
  • Pearson, N., Muravyev, D., & Broussard, J. (2013). Is There Price Discovery in Equity Options? Journal of Financial Economics, 107 (2), 259–283.
  • Pearson, N. (2011). What Role do Retail Structured Products have in Investors' Portfolios? Panel Session Highlights from the 2010 FMA Annual Meeting. Journal of Applied Finance, (1), Journal of Applied Finance.
  • Pearson, N., & Henderson, B. (2011). The Dark Side of Financial Innovation: A Case Study of the Pricing of a Retail Financial Product. Journal of Financial Economics, 100 227-247.
  • Pearson, N., Menassa, C., & Pena-Mora, F. (2010). A Study of Real Options with Exogenous Competitive Entry to Analyze Dispute Resolution Ladder Investments in Architecture,Engineering and Construction Projects. Journal of Construction Engineering and Management, 136 (3), 377-390.
  • Pearson, N., Pena-Mora, F., & Menassa, C. (2009). Option Pricing Model to Analyze Cost–Benefit Trade-Offs of ADR Investments in AEC Projects. Journal of Construction Engineering and Management, 135 (3), 156-168.
  • Pearson, N., & Smithson, C. (2008). Valuing Tranches of CDOs II: CDOs of ABS. Journal of Risk, 21 (3), 84-87.
  • Pearson, N., & Smithson, C. (2007). Valuing Tranches of CDOs I. Journal of Risk, 20 (12), 92-95.
  • Lakonishok, J., Lee, I., Pearson, N., & Poteshman, A. (2007). Option Market Activity. Review of Financial Studies, 20 (3), 813-857.
  • Ni, X., Pearson, N., & Poteshman, A. (2005). Stock Price Clustering on Option Expiration Dates. Journal of Financial Economics, 78 49-87.
  • Li, M., Pearson, N., & Poteshman, A. (2004). Conditional Estimation of Diffusion Processes. Journal of Financial Economics, 74 (1), 31-66.
  • Pearson, N., & Kandel, E. (2002). Option Value, Uncertainty, and Investment Decisions. Journal of Financial and Quantitative Analysis.
  • Pearson, N., & Smithson, C. (2002). VAR-The State of Play. Review of Financial Economics, 11 175-189.
  • Pearson, N., & Chapman, D. (2001). What Can Be Learned From Recent Advances in Estimating Models of the Term Structure? Financial Analysts Journal, 57 (4).
  • Pearson, N., & Kandel, E. (2001). Flexibility versus Commitment in Personnel Management. Journal of the Japanese and the International Economies, 15 515-556.
  • Pearson, N., & Linsmeier, T. (2000). Value at Risk. Financial Analysts Journal, 56 (2).
  • Pearson, N. (2000). VAR-A Work in Progress. Journal of Risk, 13 (10), 49-51.
  • Pearson, N., & Chapman, D. (2000). Is the Short Rate Drift Actually Nonlinear? Journal of Finance, 55 (1), 355-388.
  • Pearson, N., & Smithson, C. (2000). Beyond VAR. Journal of Risk, 13 (12), 85-87.
  • Pearson, N., & Ju, X. (1999). Using Value-at Risk to Control Risk Taking: How Wrong Can You Be? Journal of Risk, 1 (2), 5-36.
  • Pearson, N., Chapman, D., & Long, Jr., J. (1999). Using Proxies for the Short-Rate: When are Three Months Like an Instant? Review of Financial Studies, 12 (4).
  • Weisbach, M., Barclay, M., & Pearson, N. (1998). Open-End Mutual Funds and Capital Gains Taxes. Journal of Financial Economics, 49 3-43.
  • Pearson, N., & Linsmeier, T. (1997). Quantitative Disclosures of Market Risk in the SEC Release. Accounting Horizons, 11 (1), 107-135.
  • Pearson, N. (1995). An Efficient Approach for Pricing Spread Options. Journal of Derivatives, 3 (1), 76-91.
  • Pearson, N., & Kandel, E. (1995). Differential Interpretation of Public Information and Trade in Speculative Markets. Journal of Political Economy, 103 (4), 831-871.
  • Pearson, N., & Sun, T. (1994). Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model. Journal of Finance, 49 (4), 1279-1304.
  • Pearson, N., & He, H. (1991). Consumption and Portfolio Policies with Incomplete Markets and Short-sale Constraints: The Finite Dimensional Case. Mathematical Finance, 1 (3), 1-10.
  • Pearson, N., & He, H. (1991). Consumption and Portfolio Policies with Incomplete Markets and Short-sale Constraints: The Infinite Dimensional Case. Journal of Economic Theory, 54 259-304.

Book Chapters

  • Pearson, N. (2003). Markowitz Mean-Variance Portfolio Theory. History of Risk Management London: Risk Publications.
  • Pearson, N., J. Jay Choi and Michael R. Powers (Ed.) (2002). What's New in Value-at-Risk? A Selective Survey,". Global Risk Management: Financial, Operational and Insurance Strategies Kidlington, UK: Elsevier Science Publishers.
  • Pearson, N., & Zhou, A., L. Hughston (Ed.) (2000). A Non-Parametric Analysis of the Forward Rate Volatilities. The New Interest Rate Models London: Risk Publications.
  • Pearson, N., N. Jegadeesh and B. Tuckman (Ed.) (2000). Fixed Income Subtleties and the Pricing of Long Bonds,". Advanced Fixed Income Valuation Tools New York: John Wiley & Sons.
  • Pearson, N., & Linsmeier, T. (1997). Risk Measurement. FX: Managing Global Currency Risk: The Definitive Handbook for Corporations and Financial Institutions Glenlak Publishing Company.
  • Pearson, N., & Linsmeier, T. (1997). Risk Measurement Disclosures. Treasury Risk Management London: Risk Publications.

Books and Monographs

  • Pearson, N. (2002). Risk Budgeting: Portfolio Problem Solving with Value-at-Risk. ( pp. 1-319). John Wiley & Sons, Inc.

Presentations

  • Pearson, N. (2019). Pre-Trade Hedging: Evidence from the Issuance of Retail Structured Products. China International Conference in Finance, SAIF and MIT.
  • Pearson, N. (2019). Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees. 4th NTU Finance Conference, Nanyang Technological University Department of Banking and Finance.
  • Pearson, N. (2019). The Chinese Warrants Bubble: Evidence from Brokerage Account Records. Chapman University Economics Seminar, Chapman University Department of Economics.
  • Pearson, N. (2019). Why Does Options Market Information Predict Stock Returns? 8th ITAM Finance Conference, Institute Technologico Autonomo de Mexico.
  • Pearson, N. (2019). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices. Baylor University Finance Seminar, Baylor University Finance Department.
  • Pearson, N. (2019). Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options. Dolomites Winter Finance Conference, Free University of Belzano.
  • Pearson, N. (2019). Pre-Trade Hedging: Evidence from the Issuance of Retail Structured Products. Florida State University Finance Seminar, Florida State University.
  • Pearson, N. (2018). Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees. CUHK Derivatives Conference, Chinese University of Hong Kong Department of Finance.
  • Pearson, N. (2018). Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees. York University Finance Seminar, York University Department of Finance.
  • Pearson, N. (2018). Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees. Tsinghua University School of Economics and Management, Tsinghua University School of Economics and Management.
  • Pearson, N. (2018). Bond Lending and Bond Returns. China International Conference in Finance.
  • Muravyev, D., Pearson, N., & Pollet, J. (2018). Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options. American Finance Association Annual Meetings.
  • Pearson, N. (2017). Evidence about Bubble Mechanisms: Precipitating Event, Feedback Trading, and Social Contagion. Helsinki Finance Summit.
  • Pearson, N. (2017). Is There A Risk Premium in the Stock Lending Market: Evidence from Equity Options. China International Conference in Finance.
  • Pearson, N., Yang, Z., & Zhang, Q. (2017). Evidence about Bubble Mechanisms: Precipitating Event, Feedback Trading, and Social Contagion. Financial Management Association Asia/Pacific Conference.
  • Pearson, N., Muravyev, D., & Pollet, J. (2017). Is There A Risk Premium in the Stock Lending Market: Evidence from Equity Options. HEC-McGill Winter Finance Workshop.
  • Pearson, N., Yang, Z., & Zhang, Q. (2016). Evidence about Bubble Mechanisms: Precipitating Event, Feedback Trading, and Social Contagion. Miami Behavioral Finance Conference.
  • Pearson, N., Choi, J., & Sandy, S. (2016). A First Glimpse into the Short Side of Hedge Funds. Luxembourg Asset Management Summit.
  • Pearson, N., Cao, J., Jin, Y., & Tang, D. (2016). Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options. IFSID.
  • Pearson, N., Muravyev, D., & Pollet, J. (2016). Risk Premia in the Stock Lending Market: Evidence from Equity Options. NUS Risk Management Conference.
  • Pearson, N., Ge, L., & Lin, T. (2015). Why Does the Option to Stock Volume Ratio Predict Stock Returns? IFSID.
  • Pearson, N., & Muravyev, D. (2015). Option Trading Costs Are Lower Than You Think. China International Conference in Finance.
  • Pearson, N., & Muravyev, D. (2015). Option Trading Costs Are Lower Than You Think. Financial Intermediation Research Society.
  • Pearson, N., & Muravyev, D. (2015). Option Trading Costs Are Lower Than You Think. European Winter Finance Conference.
  • Pearson, N., & Muravyev, D. (2014). Option Trading Costs Are Lower Than You Think. IFSID.
  • Pearson, N., & Yang, Z. (2014). Investor Trading During the Chinese Warrants Bubble. China International Conference in Finance.
  • Pearson, N., & Muravyev, D. (2014). Negative Externality of Algorithmic Trading: Evidence from the Option Market. Workshop on High Frequency and Algorithmic Trading (City U. of Hong Kong.
  • Pearson, N., & Yang, Z. (2014). Investor Trading During the Chinese Warrants Bubble. Asian Finance Association Annual Meetings.
  • Pearson, N., & Yang, Z. (2014). Investor Trading During the Chinese Warrants Bubble. Financial Intermediation Research Society.
  • Pearson, N., Henderson, B., & Wang, L. (2014). New Evidence on the Financialization of Commodity Markets. American Finance Association Annual Meetings.
  • Pearson, N., Henderson, B., & Wang, L. (2013). New Evidence on the Financialization of Commodity Markets. IFMA Conference.
  • Pearson, N., Henderson, B., & Wang, L. (2013). New Evidence on the Financialization of Commodity Markets. European Finance Association Annual Meeting.
  • Pearson, N., Henderson, B., & Wang, L. (2013). New Evidence on the Financialization of Commodity Markets. University of British Columbia Winter Finance Conference.
  • Pearson, N., Henderson, B., & Wang, L. (2013). New Evidence on the Financialization of Commodity Markets. ZEF-IPRI Workshop on Food Price Volatility.
  • Pearson, N. (2012). The Impact of Derivatives on Their Underlying Asset Markets. Financial Management Association.
  • Pearson, N. (2012). Writing a Referee Report (Talk in the Doctoral Student Consortium). Financial Management Association Meeting.
  • Pearson, N., Henderson, B., & Wang, L. (2012). New Evidence on the Financialization of Commodity Markets. NBER Meeting on Economics of Commodity Markets.
  • Pearson, N., Henderson, B., & Wang, L. (2012). New Evidence on the Financialization of Commodity Markets. International Symposium on Financial Engineering and Risk Management.
  • Pearson, N., Henderson, B., & Wang, L. (2012). New Evidence on the Financialization of Commodity Markets. China International Conference in Finance.
  • Pearson, N., Henderson, B., & Wang, L. (2012). New Evidence on the Financialization of Commodity Markets. SKBI Annual Conference on Financial Economics.
  • Pearson, N., & Muravyev, D. (2011). Is There Price Discovery in Equity Options? China International Conference in Finance.
  • Pearson, N., Muravyev, D., & Broussard, J. (2011). Is There Price Discovery in Equity Options? Fifth Annual Risk Management Conference.
  • Pearson, N., & Henderson, B. (2011). The Price Impact of Large Hedging Trades. Financial Intermediation Research Society.
  • Pearson, N., Muravyev, D., & Broussard, J. (2011). Is There Price Discovery in Equity Options? Derivative Securities and Risk Management Conference.
  • Pearson, N., & Yang, Z. (2010). The Chinese Put Warrants Bubble. Financial Research Association.
  • Pearson, N., & Henderson, B. (2010). The Price Impact of Large Hedging Trades. Financial Management Association.
  • Pearson, N., & Henderson, B. (2010). The Price Impact of Large Hedging Trades. CRSP Forum 2010.
  • Pearson, N., Poteshman, A., & White, J. (2010). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? China International Conference in Finance.
  • Pearson, N., & Henderson, B. (2010). The Price Impact of Large Hedging Trades. International Symposium on Financial Engineering and Risk Management.
  • Pearson, N. (2010). Valuing Hard-to-Value Securities: How do you value “toxic” (AKA “legacy” ) securities? Ri$kMinds.
  • Pearson, N., & Henderson, B. (2010). The Dark Side of Financial Innovation. IIEP-IMF conference “Financial Regulation and Supervision: Lessons from the Crisis".
  • Pearson, N., & Henderson, B. (2010). The Dark Side of Financial Innovation. Adam Smith Asset Pricing Conference.
  • Pearson, N., & Henderson, B. (2010). The Price Impact of Large Hedging Trades. UIUC Finance Brown Bag Seminar.
  • Pearson, N., & Henderson, B. (2010). The Dark Side of Financial Innovation. Mont Tremblant Risk Management Conference.
  • Pearson, N., & Henderson, B. (2009). Dark Side of Financial Innovation. 2009 China International Conference in Finance.
  • Pearson, N., & Henderson, B. (2009). Dark Side of Financial Innovation. 2009 Financial Intermediation Research Society.
  • Pearson, N. (2008). Panel discussion on the financial crisis. Wellesley College.
  • Pearson, N. (2008). Panel discussion on the financial crisis. Massachusetts Institute of Technology.
  • Pearson, N., & Li, M. (2008). Deviations from the Black-Scholes Formula Follow a Simple Pattern. 2008 China International Conference in Finance.
  • Pearson, N., White, J., & Poteshman, A. (2008). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? Financial Intermediation Research Society.
  • Pearson, N., Poteshman, A., & White, J. (2008). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?”. American Finance Association Annual Meetings.
  • Pearson, N. (2007). Valuing CDO's of Corporates. 2007 Meetings of the International Association of Credit Portfolio Managers.
  • Pearson, N. (2007). Using Extreme Value Theory With VaR. A Quantitative Approach to Calculating and Applying VaR, sponsored by Risk.
  • Pearson, N., Poteshman, A., & White, J. (2007). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?”. University of British Columbia Summer Finance Institute.
  • Pearson, N., White, J., & Poteshman, A. (2007). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? Utah Winter Finance Conference.
  • Pearson, N., & Li, M. (2006). Deviations from the Black-Scholes Formula Follow a Simple Pattern. American Finance Association Annual Meetings.
  • Pearson, N., Ni, X., & Poteshman, A. (2005). Stock Price Clustering on Option Expiration Dates. Boston College.
  • Ivkovich, Z., & Pearson, N. (2004). Everything is Relative: The Disposition Effect and Households' Stock Trades. Boston College.
  • Pearson, N., Ni, X., & Poteshman, A. (2004). Stock Price Clustering on Option Expiration Dates. University of Iowa.
  • Pearson, N., Ni, X., & Poteshman, A. (2004). Stock Price Clustering on Option Expiration Dates. Louisiana State University.
  • Pearson, N., Ni, X., & Poteshman, A. (2004). Stock Price Clustering on Option Expiration Dates. Rutgers University.
  • Pearson, N., Ni, X., & Poteshman, A. (2003). Stock Price Clustering on Option Expiration Dates. Tulane University.
  • Pearson, N., Ni, X., & Poteshman, A. (2003). Stock Price Clustering on Option Expiration Dates. University of Florida.
  • Pearson, N. (2003). Conditional Estimation of Diffusion Processes. European Financial Managment Association Conference.
  • Pearson, N. (2003). Conditional Estimation of Diffusion Processes. Pennsylvania State University.
  • Pearson, N. (2002). Conditional Estimation of Diffusion Processes. University of Illinois.
  • Pearson, N. (2001). Conditional Estimation of Diffusion Processes. Risk Theory Society.
  • Pearson, N. (2001). Conditional Estimation of Diffusion Processes. University of Illinois.
  • Pearson, N. (2001). What's New in VaR? The Economist.
  • Pearson, N. (2001). Conditional Estimation of Diffusion Processes. Western Finance Association Annual Meetings, 2011.
  • Pearson, N. (2001). Conditional Estimation of Diffusion Processes. University of Texas-Austin.
  • Pearson, N. (2001). What's New in VaR? Temple University.
  • Pearson, N. (2001). Risk Decomposition (talk based on VaR book). GARP Conference.
  • Pearson, N. (1998). Is the Short Rate Drift Actually Nonlinear. UIUC Finance Seminar.

Working Papers

  • Muravyev, D., Pearson, N., & Pollet, J. Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees.
  • Pearson, N., & Muravyev, D. Option Trading Costs Are Lower Than You Think.
  • Pearson, N., Cao, J., Jin, Y., & Tang, D. Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options.
  • Pearson, N., Choi, J., Sandy, S., & Park, J. A First Glimpse into the Short Side of Hedge Funds.
  • Pearson, N., Henderson, B., & Wang, L. Pre-Trade Hedging: Evidences from Issuances of Structured Equity Products.
  • Pearson, N., Park, Y., & Lee, I. Repurchases after Being Well Known as Good News.
  • Pearson, N., Poteshman, A., White, J., & Ni, X. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices.
  • Pearson, N., & Kitwiwattanachai, C. The Illiquidity of CDS Market: Evidence from Index Inclusions.
  • Pearson, N. A Simple Approach to Valuing CDOs of ABS.
  • Pearson, N., & Li, M. A Horse Race Among Competing Option Pricing Models using S&P 500 Index Options.
  • Pearson, N., & Yang, J. Maximum Likelihood Estimation of Stochastic Volatility Models Using Option Prices.

Honors and Awards

  • Best Paper in Market Microstructure, Financial Management Association Annual Meeting, 2017

Service

  • Associate Editor, Journal of Risk, 2006 to present
  • Associate Editor, Economics Bulletin, 2000 to present
  • Associate Editor, Journal of Financial and Quantitative Analysis, 1998 to present
  • Associate Editor, Journal of Financial Economics, 1993 to present

Teaching Interests

Teaches courses in financial derivatives, financial engineering, and financial risk management.

Research Interests

Research interests include models for pricing and hedging financial derivatives, and risk management.

Current Courses

  • Financial Engineering II (FIN 514) Presents the main ideas and techniques of modern option pricing theory, including: the Black-Scholes-Merton analysis; risk-neutral probabilities and the probabilistic solution; numerical techniques for computing option prices; an introduction to term structure modeling; and perhaps other topics, at the discretion of the instructor.
  • Financial Risk Management (FIN 567) This course covers selected topics in financial risk management. The focus is on statistical techniques used in financial risk management rather than risk management practice, cases, or valuation issues. The course will cover the value-at-risk (VaR) measure and expected shortfall, statistical techniques useful to model financial market returns, and techniques used to model the joint distribution of defaults on fixed income instruments. The course will also cover additional topics such as retail credit risk, risk budgeting, and economic capital modelling. 4 graduate hours. No professional credit.

Contact

419 Wohlers Hall

1206 S. Sixth

Champaign, IL 61820

217-244-0490

pearson2@illinois.edu

SSRN