Christian Dorion
Portrait of Christian Dorion

Christian Dorion

I am a professor of finance at HEC Montréal, which I joined in 2010. My research is in asset pricing and derivatives: what option prices reveal about risk and risk preferences, how macro-finance forces shape equity and credit valuations, and the econometrics needed to take these models to the data. I teach investments and derivatives, from the B.Com. to the Ph.D. level.

For over a decade I helped build the Canadian Derivatives Institute, first as Scientific Coordinator and then as Scientific Director. An applied research mandate I led through the CDI, on measuring the risk of structured products, eventually outgrew the Institute and became Delta Vega, the firm I now lead as CEO. I also co-host the Virtual Derivatives and Asset Pricing (VDAP) workshop.

Email SSRNHEC MontréalDelta VegaLinkedIn

Research

Work in progress

  1. 2026

    What Drives Expected Stock Returns? Long-Run Risk and Endogenous Leverage

    Dorion, C., A. Ekponon, and A. Jeanneret Under review

    Abstract SSRN

    We study how leverage and default shape the pricing of macroeconomic risk. In a consumption-based model, firms face transitory consumption and persistent expected-growth risk while choosing debt and default optimally. Long-run risk accounts for three-quarters of the equity premium and most of its countercyclical variation despite deleveraging. Ignoring the optimal financing response roughly doubles the premium. Priced systematic risk and leverage also govern how idiosyncratic volatility, itself unpriced, lowers premia. Using seventy-five years of U.S. data, we find that firms with more persistent cash-flow exposure earn higher returns and choose more conservative capital structures, consistent with the model.

  2. 2026

    The Factor Structure of 0DTE Option Returns

    Dorion, C., P. Orłowski, and Y. Song Under review

    Abstract SSRN

    Zero-days-to-expiration (0DTE) options have become half of SPX trading volume. We ask which systematic risks their returns compensate and whether their prices are efficient. Six factors: three realized return moments and three variance-dynamics components, span 30-minute SPX option returns at maturities from 45 minutes up to 15 days and price 0DTEs jointly with longer-dated contracts. Warehousing gamma and absorbing jump-skewness exposure earn premiums; the variance-component premiums differ but sum to zero intraday. Remaining alpha concentrates in 0DTEs, yet a factor-neutral strategy becomes infeasible under minimal transaction costs. Option alphas fall as inventories build and, secondarily, intermediary balance sheet conditions tighten.

  3. 2025

    Asset Pricing in a Concentrated Economy

    Abolghasemi, A., H.S. Bhamra, C. Dorion, and A. Jeanneret

    Abstract Slides

    Market concentration drives the cross-sectional price of systematic risk. We develop a general equilibrium asset pricing model in which the distribution of firm sizes governs expected returns. Kimball demand gives larger firms higher markups, so rising concentration raises aggregate profits today; creative destruction then weakens as incumbents dominate, slowing productivity growth tomorrow. Higher concentration is therefore associated with lower expected dividend growth in the model, qualifying it as an observable long-run-risk state variable under recursive preferences. We take this mechanism to U.S. equity data from 1973 to 2024. Rising concentration coincides with macroeconomic and financial bad-state variables. Exposure to concentration risk is priced negatively in the cross-section, and the pricing is orthogonal to the Fama–French factors. The slope of the Security Market Line flips from positive in falling-concentration months to negative in rising-concentration months. The concentration premium is most visible in the Betting-Against-Beta strategy, which earns 3.7% per month more when concentration rises than when it falls. These results identify the industrial structure of the economy as an observable source of time-varying risk prices.

  4. 2020

    Are Three Moments Enough? What 1,378,317 Option Prices Tell Us about Higher-Order Risk Aversion

    Chaigneau, P., C. Dorion, and K. Tewou

Publications

  1. 2023

    High Inflation: Low Default Risk and Low Equity Valuations

    Bhamra, H.S., C. Dorion, A. Jeanneret, and M. Weber. Review of Financial Studies, 36:1192–1252

    RFS SSRN

  2. 2020

    Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options

    Bégin, J.F., C. Dorion, and G. Gauthier. Review of Financial Studies, 33:155–211

    RFS SSRN

  3. 2016

    Option Valuation with Macro-Finance Variables

    Dorion, C. Journal of Financial and Quantitative Analysis, 51:1359–1389

    JFQA SSRN

  4. 2015

    Les modèles factoriels et la gestion du risque de longévité

    Boyer, M.M., C. Dorion, and L. Stentoft. L'Actualité économique, 91:531–565

    ActEcon

  5. 2014

    Nonlinear Kalman Filtering in Affine Term Structure Models

    Christoffersen, P.F., C. Dorion, K. Jacobs, and L. Karoui. Management Science, 60:2248–2268

    ManSci SSRNInternet Appendix

  6. 2014

    Convertible Debt and Shareholder Incentives

    Dorion, C., P. François, G. Grass, and A. Jeanneret. Journal of Corporate Finance, 24:38–56

    JCF SSRNAlso featured in the World Scientific Reference on Contingent Claims Analysis in Corporate Finance.

  7. 2010

    Volatility Components, Affine Restrictions, and Non-Normal Innovations

    Christoffersen, P.F., C. Dorion, K. Jacobs, and Y. Wang. Journal of Business and Economic Statistics, 28:483–502

    JBES SSRN

From research to practice

Delta Vega

Delta Vega provides an independent, forward-looking risk score for structured products: a single digit, from 1 to 10, that lets investors compare notes whose risks are otherwise buried in a term sheet.

The score did not start in a business plan. It is the product of a five-year applied research mandate I led through the Canadian Derivatives Institute for a major Canadian issuer, on how to measure the risk of structured products in a way that is rigorous yet readable. When the work was done, it became clear that its greatest value lay not in a journal, but in becoming an industry standard that empowers investors.

Delta Vega was founded to make that happen. Its four co-founders, Tolga Cenesizoglu, Mathieu Fournier, Pascal François and I, are all finance professors whose careers owe a great deal to the CDI. One of Delta Vega’s founding objectives is to return the favour, by one day becoming a lasting source of funding for the Institute.

Visit deltavega.ca

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One digit, from 1 to 10, for the risk of a structured note.

Events

CDI Conference on Derivatives

Fifteen editions, 2012–2026, Montréal

  • Keynotes by Ian Martin, Bryan Kelly, Torben Andersen, Jun Pan, Darrell Duffie, Neil Pearson, David Bates, Mikhail Chernov, Pietro Veronesi, Kris Jacobs, Pierre Collin-Dufresne, Francis Longstaff, Michael Johannes and Steve Heston
  • A Best Discussion Award thanks the discussants for their invaluable input

Recent

  1. CDI Fifteenth Conference on Derivatives

    September 17–18, 2026, Montréal · with Patrick Augustin and Piotr Orłowski

  2. 2026 Derivatives and Asset Pricing Conference

    February 26–28, 2026, Cozumel, Mexico · with Bjorn Eraker and Aurelio Vasquez

  3. CDI Fourteenth Conference on Derivatives

    September 11–12, 2025, Montréal · with Patrick Augustin and Piotr Orłowski

  4. 2025 Derivatives and Asset Pricing Conference

    February 27–March 1, 2025, Cancún, Mexico · with Bjorn Eraker and Aurelio Vasquez

Earlier events (21)

  1. CDI Thirteenth Conference on Derivatives

    September 19–20, 2024, Montréal

  2. 2024 Derivatives and Asset Pricing Conference

    February 29–March 2, 2024, Cancún, Mexico · with Bjorn Eraker and Aurelio Vasquez

  3. CDI Twelfth Conference on Derivatives

    September 14–15, 2023, Montréal

  4. 2023 Derivatives and Asset Pricing Conference

    March 2–4, 2023, Cancún, Mexico · with Bjorn Eraker and Aurelio Vasquez

  5. CDI Eleventh Conference on Derivatives

    September 22–23, 2022, Montréal

  6. CDI Tenth Conference on Derivatives

    September 23–24, 2021, Montréal (hybrid)

  7. CDI Ninth Conference on Derivatives

    September 2, 9, 16, 23 & 30, 2020, online

  8. Cancún Derivatives Workshop

    February 20–22, 2020, Cancún, Mexico · with Aurelio Vasquez

  9. CDI Eighth Conference on Derivatives

    September 12–13, 2019, Montréal

  10. HEC Montréal & McGill Summer Finance Workshop

    July 5–6, 2019, Montebello

  11. CDI Seventh Conference on Derivatives

    September 20–21, 2018, Montréal

  12. HEC Montréal & McGill Spring Finance Workshop

    May 11–12, 2018, Montebello

  13. IFSID Sixth Conference on Derivatives

    September 14–15, 2017, Montréal

  14. IFSID Fifth Conference on Derivatives

    September 15–16, 2016, Montréal

  15. IFSID Fourth Conference on Derivatives

    September 25–26, 2015, Montréal

    • Keynote lecture by Pierre Collin-Dufresne
    • Best Discussion Award to Andra Ghent

  16. HEC Montréal & McGill Winter Finance Workshop

    March 5–7, 2015, Mont-Sainte-Anne · with Jan Ericsson and Alexandre Jeanneret

  17. IFSID Third Conference on Derivatives

    September 25–26, 2014, Montréal

  18. IFSID & Bank of Canada Second Conference on Structured Products and Derivatives: Tail Risk

    September 19–20, 2013, Montréal · with Jean-Sébastien Fontaine

    • Keynote lecture by Michael Johannes

  19. HEC Montréal Winter Finance Workshop

    March 14–16, 2013, Mont-Sainte-Anne · with Alexandre Jeanneret

  20. IFSID First Conference on Structured Products and Derivatives

    October 12–14, 2012, Montréal

  21. Desautels-HEC-Rotman Winter Finance Workshop

    March 16–19, 2011, Mont-Tremblant · with Jan Ericsson and Peter Christoffersen

Background

Positions

  1. 2015–present

    Associate Professor of Finance, HEC Montréal

    Professorship on the study of financial risk factors and derivatives.

  2. 2024–present

    Co-founder & Chief Executive Officer, Delta Vega

  3. 2013–present

    Canadian Derivatives Institute ↗

    • 2025– Director of Innovation & Technology Transfer
    • 2019– Research Fellow
    • 2019–2025 Scientific Director
    • 2013–2019 Scientific Coordinator
  4. Winter 2022

    Visiting Associate Professor, UCLA Anderson

    Taught MGMTMFE406, Derivative Markets.

  5. 2018–2019

    Interim Head, Ph.D. Program in Finance, HEC Montréal

  6. 2016–2017

    Visiting Scholar, University of Maryland

  7. 2010–2015

    Assistant Professor of Finance, HEC Montréal

Education

  1. 2005–2010

    Ph.D. in Finance, Desautels Faculty of Management, McGill University

    Supervisors: Peter Christoffersen and Kris Jacobs. A scholarship remembers Peter.

  2. 2002–2004

    M.Sc. in Computer Science and Operations Research, Université de Montréal

    Supervisor: Yoshua Bengio, 2018 Turing Award laureate.

Teaching

  • Investments (B.Com.)
  • Derivatives (B.Com., M.Sc., MFE and Ph.D.)

Service & talks

Program committees

  • 2013–2026 HEC Montréal-McGill Winter Finance Workshop
  • 2017–2023 Paris December Finance Meeting
  • 2016, 2017 & 2021 Cboe/FMA Conference on Derivatives and Volatility
  • 2014 & 2021 Midwest Finance Association
  • 2020 Financial Management Conference
  • 2016–2018 & 2020 Northern Finance Association
  • 2019 ITAM Finance Conference
  • 2019 Eastern Finance Association

Referee for

Finance Research Letters · International Journal of Forecasting · Journal of Applied Econometrics · Journal of Banking and Finance · Journal of Business and Economic Statistics · Journal of Empirical Finance · Journal of Finance · Journal of Financial and Quantitative Analysis · Journal of Financial Econometrics · Journal of Financial Markets · Journal of Futures Markets · Journal of Risk and Insurance · Management Science · Quantitative Finance · Review of Asset Pricing Studies · Review of Derivatives Research · Review of Finance · Review of Financial Studies · Revue Finance

Presentations and discussions (26)

  1. Discussion Term Funding and the Long-Dated Cross-Currency Basis, by Ljubica Georgievska, Benjamin Karner, and Olav Syrstad

    • 2026 Northern Finance Association Conference, September 25–27, 2026, Québec City, Canada

  2. The Factor Structure of 0DTE Option Returns (formerly Intraday Pricing and Mispricing of Short-Maturity SPX Options, 0DTE Factor Structure)

    • Concordia University, April 8, 2026, Montréal, Canada
    • 2026 Derivatives and Asset Pricing Conference, February 26–28, 2026, Cozumel, Mexico
    • Queen's University, November 22, 2024, Kingston, Canada
    • 2024 FMA/Cboe Conference on Derivatives and Volatility, November 15–16, 2024, Chicago, IL

  3. Discussion The Derivative Payoff Bias, by Guido Baltussen, Julian Terstegge, and Paul Whelan

    • 2025 Derivatives and Asset Pricing Conference, February 27–March 1, 2025, Cancún, Mexico

  4. Discussion How Exogenous Liquidity Affects Information Efficiency in the Options Market, by Li Wang and Sophie Xiaoyan Ni

    • 2023 FMA/Cboe Conference on Derivatives and Volatility, November 17–18, 2023, Chicago, IL

  5. Discussion International Arbitrage Premia, by Mirela Sandulescu and Paul Schneider

    • 2023 Canadian Derivatives Institute Conference, September 14–15, 2023, Montréal

  6. Discussion Costs of Executing Complex Options Trades, by Su Li, David K. Musto, and Neil D. Pearson

    • 2023 Derivatives and Asset Pricing Conference, March 2–4, 2023, Cancún, Mexico

  7. Discussion Retail Option Traders and the Implied Volatility Surface, by Gregory W. Eaton, T. Clifton Green, Brian S. Roseman, and Yanbin Wu

    • 2022 Conference on Derivatives and Volatility, November 11–12, 2022, Chicago, IL

  8. Discussion Decomposing the Systematic and Idiosyncratic Components of the Diffusive and Tail Risks in Individual Equity Options, by Mobina Shafaati, Don M. Chance, and Robert Brooks

    • 2021 Midwest Finance Association Conference, March 18–21, 2021, virtual

  9. Are Three Moments Enough? What 1,378,317 Option Prices Tell Us about Higher-Order Risk Aversion (formerly Option-Implied Measures of Higher-Order Risk Aversion)

    • Cancún Derivatives Workshop, February 20–22, 2020, Mexico
    • CUHK Derivatives & Quantitative Investing Conference, October 26, 2018, Hong Kong

  10. Discussion Common Factors in Equity Option Returns, by Alex Horenstein, Aurelio Vasquez, and Xiao Xiao

    • 2019 Financial Management Association Conference, October 23–26, 2019, New Orleans, LA

  11. Discussion Crash Risk in Individual Stocks, by Paola Pederzoli

    • Eighth ITAM Finance Conference, May 31–June 1, 2019, Mexico City, Mexico

  12. Discussion Volatility Uncertainty and the Cross-Section of Option Returns, by Jie Cao, Aurelio Vasquez, Xiao Xiao, and Xintong Zhan

    • 2018 Northern Finance Association Conference, September 21–23, 2018, Charlevoix, Canada

  13. Discussion Efficient Parameter Estimation for Multivariate Jump-Diffusions, by François Guay and Gustavo Schwenkler

    • 2018 HEC-McGill Winter Finance Workshop, March 9, 2018, Banff, Canada

  14. Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options (formerly The Pricing of Idiosyncratic Risk in Option Markets)

    • 2017 FMA/Cboe Conference on Derivatives and Volatility, November 9–10, 2017, Chicago, IL
    • 2017 Northern Finance Association Conference, September 15–17, 2017, Halifax, Canada
    • Sixth ITAM Finance Conference, June 2–3, 2017, Mexico City, Mexico
    • 2017 ESSEC-Amundi Asset & Risk Management Workshop, April 26, 2017, Paris, France
    • University of Washington, Department of Finance, March 13, 2017, Seattle, WA
    • 2017 FMA Latin American Conference, February 16, 2017, Mexico City, Mexico
    • 2016 Paris December Finance Meeting, December 20, 2016, Paris, France
    • University of Houston, Department of Finance, November 30, 2016, Houston, TX
    • National Bank of Canada, Market Risk, October 21, 2016, Montréal, Canada
    • University of Maryland, Department of Finance, October 5, 2016, College Park, MD
    • 2016 European Finance Association Annual Meeting, August 17–20, 2016, Oslo, Norway
    • 9th International Conference on Computational and Financial Econometrics, December 12–14, 2015, London, UK
    • Fourth OptionMetrics Conference, October 19, 2015, New York, NY
    • Université de Montréal, September 10, 2015, Montréal, Canada

  15. Low Inflation: High Default Risk AND High Equity Valuations (formerly Deflation, Sticky Leverage and Asset Prices, Deflation and Inflation: Opposites, but not Equals)

    • Advances in Fixed Income and Macro-Finance Research (Bank of Canada, Federal Reserve Bank of San Francisco and Simon Fraser University), August 17–18, 2017, Vancouver, Canada
    • Board of Governors of the Federal Reserve System, April 21, 2017, Washington, DC
    • 2017 HEC-McGill Winter Finance Workshop, February 24, 2017, Fernie, Canada

  16. Discussion On the Pricing Role of Idiosyncratic Risk, by Jun (Tony) Ruan, Qian Sun, and Yexiao Xu

    • 2017 FMA Latin American Conference, February 16, 2017, Mexico City, Mexico

  17. Discussion Size and Value Matter, But Not The Way You Thought, by Marie Lambert, Boris Fays, and Georges Hübner

    • 2016 Paris December Finance Meeting, December 20, 2016, Paris, France

  18. Discussion Option Return Predictability, by Jie Cao, Bing Han, Qing Tong, and Xintong Zhan

    • 2016 Northern Finance Association Conference, September 16–18, 2016, Mont-Tremblant, Canada

  19. Discussion Pricing of Idiosyncratic Equity and Variance Risks, by Elise Gourier

    • Fifth ITAM Finance Conference, June 3–4, 2016, Mexico City, Mexico

  20. On the Excessive Cost of Hedging Longevity Risk (formerly various titles)

    • Innovation for Financial Services, October 16–17, 2014, Montréal, Canada (also a panel on longevity risk and pension fund management)
    • Conference dinner, CEQURA Conference on Advances in Financial and Insurance Risk Management, October 1–2, 2014, Munich, Germany

  21. The Dynamics of the Equity Risk Premium

    • 8th International Conference on Computational and Financial Econometrics, December 6–8, 2014, Pisa, Italy
    • 2012 Mathematical Finance Days, May 3–4, 2012, HEC Montréal, Canada

  22. Discussion The Importance of Volatility Risk Premium for Volatility Forecasting, by Marcel Prokopczuk and Chardin Wese Simen

    • 2013 Financial Management Association Annual Meeting, October 17–19, 2013, Chicago, IL

  23. Option Valuation with Macro-Finance Variables (formerly Business Conditions, Market Volatility and Option Prices)

    • 7th International Conference on Computational and Financial Econometrics, December 14–16, 2013, London, UK
    • 2011 European Finance Association Conference, August 17–20, 2011, Stockholm, Sweden
    • Third Annual Volatility Institute Conference at NYU Stern: Long Term Volatility and Economic Fundamentals, April 8, 2011, New York, NY
    • Desautels-HEC-Rotman Winter Finance Workshop, March 16–19, 2011, Mont-Tremblant, Canada

  24. Volatility Forecasting and Explanatory Variables: A Tractable Bayesian Approach to Stochastic Volatility

    • 2013 Financial Management Association Annual Meeting, October 17–19, 2013, Chicago, IL
    • 6th International Conference on Computational and Financial Econometrics, December 1–3, 2012, Oviedo, Spain
    • IFSID First Conference on Structured Products and Derivatives, October 12–14, 2012, Montréal, Canada
    • 54th Annual Conference of the Canadian Operational Research Society, June 11–13, 2012, Niagara Falls, Canada
    • 2011 Mathematical Finance Days, May 10–11, 2011, HEC Montréal, Canada
    • 2011 Optimization Days, May 2–4, 2011, HEC Montréal, Canada
    • 2nd Annual CIRPÉE Applied Financial Time Series Workshop, February 19, 2011, HEC Montréal, Canada
    • 16th International Conference on Computing in Economics and Finance, July 15–17, 2010, London, UK

  25. Convertible Debt and Shareholder Incentives

    • 2013 Mathematical Finance Days, May 1–3, 2013, HEC Montréal, Canada

  26. Discussion A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation, by Torben G. Andersen, Dobrislav Dobrev, and Ernst Schaumburg

    • Fourth Risk Management Conference, March 8–11, 2012, Mont-Tremblant, Canada