Stylianos Perrakis

Professor, Department of Finance & RBC Distinguished Professor in Financial Derivatives

Stylianos Perrakis holds a Diploma in Mechanical-Electrical Engineering from the National Technical University in Athens, Greece, and an MSc and PhD from the University of California at Berkeley. He has also taught as a full professor at the University of Ottawa, and as a Visiting Professor at the University of Geneva, Switzerland, the University of California, Santa Barbara, the École Supérieure de Commerce of Reims, France, and the Athens Laboratory of Business Administration in Greece.

Dr. Perrakis has published widely in Economics, Finance and Management Science over the last 40 years. His articles have appeared in (among others) The American Economic Review, The Review of Economic Studies, The International Economic Review, Management Science, The Journal of Finance, The Journal of Business, The Review of Financial Studies, The Journal of Financial and Quantitative Analysis, The Journal of Futures Markets, The Journal of Banking and Finance, The Journal of Economic Dynamics and Control, The International Journal of Industrial Organization, and Economic Letters. He is also author of a monograph on Canadian Industrial Organization and co-author of a textbook on Investments that is currently in its 6th edition. He acts as a referee for over 20 journals and has served on the editorial board of Finance, the official publication of the French Finance Association. His latest research interests are option pricing under transaction costs and capital structure in differentiated industries.

Dr. Perrakis has been the recipient of various distinctions throughout his career. Most recently, he was elected Fellow of the Royal Society of Canada in July 2007, became a member of Concordia University's Provost Circle of Distinction in July 2009 and was appointed RBC Professor of Financial Derivatives in June 2010.

Recent Working Papers

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Selected Research

Refereed Journal Articles

“Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence”, w. G. Constantinides, M. Czerwonko and J. Jackwerth, Journal of Finance, 66 (2011), 4, 1407-1437.

“Competition, Interlisting and Market Structure in Options Trading”, w. N. Khoury and M. Savor, Journal of Banking and Finance, 35 (2011), 104-117.

“PIP Transactions, Price Improvement, Informed Trades and Order Execution Quality”, w. N. Khoury and M. Savor, European Financial Management, 16 (2010), 2, 211-228.

“Mispricing of S&P 500 Index Options”, w. G. Constantinides and J. Jackwerth, The Review of Financial Studies, 22 (2009), 3, 1247-1277.

"Stochastic Dominance Bounds on American Option Prices in Markets with Frictions", w. G. Constantinides, The Review of Finance, 11 (2007), 71-115.

“The American Put under Transaction Costs”, w. J. Lefoll, Journal of Economic Dynamics and Control, 28, 5 (2004), 915-935.

“Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs”, w. G. Constantinides, Journal of Economic Dynamics and Control, 26 (2002), 1323-1352.

“Option Pricing Bounds and the pricing of the Volatility Smile”, w. J. Masson, The Review of Derivatives Research 4, 1 (2000), 29-53. 

“Option Pricing and Replication with Transaction Costs and Dividends”, w. J. Lefoll, Journal of Economic Dynamics and Control 24, 11-12 (2000), 1527-1561.

"Asymmetric Information and the Signaling Role of the Basis on the Winnipeg Commodity Exchange”, with N. Khoury, Canadian Journal of Administrative Sciences, 16, 3 (September 1999), 202-212.

"Free Entry May Reduce Total Willingness to Pay" (w. C. Constantatos), Economics Letters, 62 (1999), 105-112.

"Asymmetric Information in Commodity Futures Markets: Theory and Empirical Evidence", with N. Khoury, Journal of Futures Markets, 18, 7 (October 1998), 803-825.

"Minimum Quality Standards, Entry, and the Timing of the Quality Decision" (w. C. Constantatos), Journal of Regulatory Economics, 13, 1 (January 1998), 47-58. 

"Derivative Asset Pricing with Transaction Costs:  an Extension", (w. J. Lefoll), Computational Economics, 10, 4 (November 1997), 359-376.

"Vertical Differentiation: Entry and Market Coverage with Multiproduct Firms" (w. C. Constantatos), International Journal of Industrial Organization, 16, (1997), 81-103.

"Legislating Competition in the Russian Federation: A New Challenge for Antitrust Policy (w. R.A. Devlin)," Antitrust Bulletin, 40, 4 (Winter 1996), pp. 901-927.

"Unraveling the Rewards of Protected Index Notes", w. S. Brisebois, C. Pelland, and C.  Larson, Canadian Investment Review, 8, 4 (Winter 1996), pp. 35-41.

"Transactions Costs and Option Bid-and-Ask Spread on the Swiss Options and Financial Futures Exchange (SOFFEX)", Canadian Journal of Administrative Sciences (with J. Lefoll), 12, 4 (December 1995), pp. 276-289.

"Différenciation verticale et structure du marché" (w. C. Constantatos), Actualité économique, 71, 1 (March 1995), pp. 71-98.

"Options on Thinly-Traded Stocks:  Theory and Empirical Evidence", Canadian Journal of Administrative Sciences (with P. Ryan), 11, 1 (1994), pp. 24-42.

“Options for Multinomial Stock Returns for Diffusion and Jump Processes”, Canadian Journal of Administrative Sciences, 10, 1 (1993), pp. 68-82.

"Assessing Competition in Canada's Financial System:  a Note", Canadian Journal of Economics, 24,3 (August 1991), pp. 727-732.

"Les contributions de la théorie financière à la solution de problèmes en organisation industrielle et microéconomie appliquée", Actualité économique, vol. 65, no. 4, (décembre 1989) pp. 518-554.

“Preference-Free Option Prices when the Stock Returns Can Go Up, Go Down, or Stay the Same”, Advances in Futures and Options Research, 3 (1988), pp. 209-235.

"An International Duopoly Model Under Exchange Rate Uncertainty", Revue Economique, (with R. Owen), Vol. 39, No. 5, (September 1988), pp. 1035 1059.

“Option Bounds in Discrete Time and the Pricing of Corporate Debt”, Advances in Futures and Options Research, 2 (1987), pp. 179-207.

"Uncertainty, Economies of Scale and Barriers to Entry" (with G. Warskett), Oxford Economic Papers, 38, Supplement, (November 1986), pp. 58-74.

“Option Bounds in Discrete Time: Extensions and the Pricing of the American Put”, Journal of Business, 59, 1, (January 1986), pp. 119-142.

"The Profitability and Risk of Television Stations in Canada" (with J. Silva-Echnique), Applied Economics, 17 (August 1985), pp. 745-759.

“Option Pricing Bounds in Discrete Time”, Journal of Finance, 39, 2 (June 1984), pp. 519-525 (with P. Ryan).

"Optimal Replacement Policies with Two of More Loaded Sliding Standbys", (with Claude Henin), Naval Research Logistics Quarterly, 30 (December 1983), pp. 583-599.

"The Profitability and Risk of CATV Operations in Canada" (with J. Silva-Echenique), Applied Economics, 15, 6 (December 1983), pp. 745-758.

"Capacity and Entry Under Demand Uncertainty" (w. G. Warskett), The Review of Economic Studies, 50 (July 1983), pp. 495-511.

"An Empirical Analysis of Monopoly Regulation Under Uncertainty" (with J. Zerbinis), Applied Economics, 13, 1 (March 1981), pp. 109-125.

"Factor-Price Uncertainty with Variable Proportions:  A Note", American Economic Review, 70, 5 (December 1980), pp. 1083-1088.

"Capital Budgeting and Timing Uncertainty within the Capital Asset Pricing Model", Financial Management, 8, 3 (Autumn 1979), pp. 32-40.

"On the Technological Implications of the Spanning Theorem", Canadian Journal of Economics, 12, 3 (August 1979), pp. 501-511.

"Identifying the SSD Portion of the EV Frontier:  A Note, Journal of Financial and Quantitative Analysis, 13, 1 (March 1978), pp. 167-71 (with J. Zerbinis).

"Moment Inequalities for a Class of Single Server Queues, INFOR. 14, 2 (June 1976), pp. 144-152 (with I. Sahin).

"On the Regulated Price-Setting Monopoly Firm with a Random Demand Curve", American Economic Review, 66, 3 (June 1976), pp. 410-416.

"On Risky Investments with Random Timing of Cash Returns and Fixed Planning Horizon", Management Science, 22, 7 (March 1976), pp. 799-809 (with I. Sahin).

"A Note on Optimal Equity Financing of the Corporation", Journal of Financial and Quantitative Analysis, 11, 1 (March 1976), pp. 157-164.

"Rate-of-Return Regulation of a Monopoly Firm with Random Demand", International Economic Review, 17, 1 (February 1976), pp. 149-162.

"Certainty Equivalents and Timing Uncertainty", Journal of Financial and Quantitative Analysis, 10, 1 (March 1975), pp. 109-118.

"The Evaluation of Risky Investments with Random Timing of Cash Returns" Management Science 21, 1 (September 1974), pp. 79-86 (with C. Henin).

"Resource Allocation and Scale of Operations in a Monopoly Firm:  A Dynamic Analysis" International Economic Review 13, 2 (June 1972) pp. 399-407 (with I. Sahin).

"The Labor Surplus Model and Wage Behavior in Mexico", Industrial Relations, 11, 1 (February 1972), pp. 80-95.

Books

Canadian Industrial Organization, Prentice-Hall Canada Inc., 1990, 393 pp.

Investments (with Z. Bodie,E. Kane, A. Marcus and P. Ryan), first Canadian edition, Irwin Canada, 1993, 1024 pp.

Investments (with Z. Bodie, E. Kane, A. Marcus and P. Ryan), second Canadian edition, Irwin Canada, 1997, 1058 pp.

Investments (with Z. Bodie, E. Kane, A. Marcus and P. Ryan), third Canadian edition, McGraw-Hill Ryerson, 2000, 935 pp.

Investments (with Z. Bodie, E. Kane, A. Marcus and P. Ryan), fourth Canadian edition, McGraw-Hill Ryerson, 2003, 933 pp.

Investments (with Z. Bodie, E. Kane, A. Marcus and P. Ryan), fifth Canadian edition, McGraw-Hill Ryerson, 2005, 916 pp.

Investments (with Z. Bodie, E. Kane, A. Marcus and P. Ryan), sixth Canadian edition, McGraw-Hill Ryerson, 2008, 914 pp.

Investments (with Z. Bodie, E. Kane, A. Marcus and P. Ryan), seventh Canadian edition, McGraw-Hill Ryerson, 2011, 936 pp.

Book Chapters

“Option Pricing: Real and Risk Neutral Distributions” (with G. Constantinides and J. Jackwerth), in J. Birge and V. Linetsky, eds., Financial Engineering, Handbooks in Operations Research and Management Science, Elsevier/North Holland, 2007, 565-591.

“Vertical Differentiation: Entry and Market Coverage with Multiproduct Firms”(with C. Contantatos), in The Economics of Price Discrimination, George Norman, ed., part of the series The International Library of Critical Writings in Economics, Mark Blaug, series editor, Edward Elgar Publishing, 1999.

"Transactions Costs and Option Bid-and-Ask Spread:  an Empirical Investigation in the Swiss Financial Markets", (with J. Lefoll), in Applied Stochastic Models and Data Analysis, vol. 1, (J. Jansen and C.H. Skiadas, eds.), World Scientific, 1993, pp. 529-550.

"Le partage et la gestion du risque et les nouveaux instruments financiers" (avec P. Ryan) in J. Jabes (ed.) Gestion Stratégique Internationale, Economica, 1988, pp. 203-226.

"Uncertainty, Economies of Scale and Barrier to Entry", (with G. Warskett) in P.J. Morris, P.J.N. Sinclair, M.D.E. Slater and J.S. Vickers (eds.) Strategic Behaviour and Industrial Competition, Oxford University Press, 1986, pp. 58-74.

"Uncertainty, Competition and Public Policy", in B. Bazoge and G. Paquet (eds.) Administration:  Unity and Diversity, University of Ottawa Press, 1986, pp. 85-95.

"The Value of the Firm Under Regulation and the Theory of the Firm Under Uncertainty:  an Integrated Approach", in L. Courville, A. de Fontenay and R. Dobell (eds.) Economic Analysis of Telecommunications, North Holland, 1983, pp. 397-413.

Refereed Conference Presentations (last six years)

“Valuing Catastrophe Derivatives Under Limited Diversification: a Stochastic Dominance Approach”, w. A. Boloor Foroosh, IFM2, Mathematical Finance Days, Montreal, 2011.

“Tick Size Reduction and Price Discovery in Option Markets: an Empirical Investigation”, w. M. Czerwonko, N. Khoury and M. Savor, IFM2, Mathematical Finance Days, Montreal, 2011.

“One Security, Four Markets: Canada-US Cross-Listed Options and Underlying Equities”, w. M. Czerwonko, N. Khoury and M. Savor, European Financial Management Association, Aarhus, June 2010.

“Jump-Diffusion Option Valuation without a Representative Investor: a Stochastic Dominance Approach”, w. I. M. Oancea, Multinational Finance Society, Barcelona, June 2010 and Northern Finance Association, Winnipeg, September 2010.

“Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics: a Numerical Approach”, w. M. Czerwonko, European Financial Management Association, Aarhus, June 2010 and IFM2, Mathematical Finance Days, Montreal, 2010.

“Can the Black-Scholes-Merton Model Survive Under Transaction Costs? An Affirmative Answer,” w. M. Czerwonko, Northern Financial Association Conference, Calgary, 2008 (R),
Quantitative Methods in Finance Conference, Sydney, Dec. 2008 (R), Jerusalem Finance Conference in Honour of Haim Levy (invited paper), August 2009.

“Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence,” with G. M. Constantinides, M. Czerwonko and J. C. Jackwerth, European Financial Management Association, Vienna, 2007 (R), McGill University Second Risk Management Conference, Mont Tremblant, 2008 (R), Bachelier Finance Society Fifth World Congress, London 2008 (R), and European Summer Symposium on Financial Markets, Karlsruhe, 2008 (R).

“Stochastic Dominance and Option Pricing in Discrete and Continuous Time: an Alternative Paradigm”, with I. M. Oancea, 5th Conference on Research on Economic Theory and Econometrics, Rethymno, Greece, 2006.

“Mispricing of S&P 500 Index Options”, with G. Constantinides and J. Jackwerth, Third Bachelier Conference, Chicago, 2004 (R), and European Finance Association, Moscow, 2005 (R).

“Market Incompleteness and Option Pricing: a Unifying Approach”, with I. M. Oancea, Multinational Finance Society, Athens, 2005, and Northern Finance Association, Vancouver, 2005 (R).

“Transaction Costs, Stochastic Dominance and Risky Arbitrage in the Index Futures Option Market”, with M. Czerwonko, Financial Management Association, Multinational Finance Society, Istanbul, 2004 (R).