Christian Dorion, HEC Montréal

Research

Option Returns Factor Models 0DTE Options Market Efficiency

Latest funding

Risk Premiums Across Markets
SSHRC · 2025 · Co-investigator
$29,828
Factor Structure of Ultra-Short Maturity Options
SSHRC · 2025 · Principal investigator
$55,229
Dynamics and determinants of the equity risk premium
SSHRC · 2016 · Co-investigator
$115,115

All 4 grants and awards

Risk Premiums Across Markets

Co-investigatorSSHRC2025Insight Grants

Principal investigators: Gauthier, Geneviève

Keywords: Green finance; Derivative securities; financial econometric

$29,828

Factor Structure of Ultra-Short Maturity Options

Principal investigatorSSHRC2025Insight Grants

Principal investigators: Dorion, Christian

Keywords: Option Returns; Factor Models; 0DTE Options; Market Efficiency

$55,229

Dynamics and determinants of the equity risk premium

Co-investigatorSSHRC2016Insight Grants

Principal investigators: Jeanneret, Alexandre

Keywords: equity risk premium; capital structure; deflation; contingent claims; corporate finance

$115,115

Asset Pricing, Uncertainty and Macro-Finance Variables

Principal investigatorSSHRC2014Insight Development Grant

Principal investigators: Dorion, Christian

Keywords: Asset pricing; Volatility; Uncertainty; Macro-finance variables; Recessions; Systematic risk; Financial Derivatives; Commodities

$57,500

From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.

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Applying for

Mention their SSHRC grant from 2025

Subject: Prospective PhD student: Option Returns Dear Professor Dorion, My name is [your name], and I am a [your current degree or role] at [your institution]. I am applying for a PhD position starting in [term and year]. Your research on option returns connects closely to my own work on [your research topic]. [One or two sentences on what you did and what you learned.] I also saw your SSHRC-funded project "Factor Structure of Ultra-Short Maturity Options" (2025), and I would be glad to contribute to work in that direction. Are you accepting new PhD students for [term and year]? I have attached my CV and transcripts, and I would be glad to talk at a time that suits you. Thank you for your time. Kind regards, [your name]