Profile image of David Bates
C. Woody Thompson Professor of Finance

Contact

Positions

  • Professor of Finance

    Tippie College of Business

Education

  • PhD in Economics, Princeton University, 1988
  • MA in Economics, Princeton University, 1985
  • MPA in Economics and Public Policy, Princeton University, 1981
  • BS in Mathematics, Massachusetts Institute of Technology, 1978

Areas of Interest

  • Asset pricing
  • Derivatives
  • Estimation of latent-variable models of volatility and jump risk
  • Informational content of currency and stock index option prices
  • Options

Professional Memberships

  • National Bureau of Economic Research, 1989

Selected Awards & Honors

  • Senior Faculty Research Award, Tippie College of Business, 2015
  • Career Development Award, 2003

Selected Publications

  • Bates, D. S. (2019). How Crashes Develop: Intradaily Volatility and Crash Evolution. Journal of Finance/American Finance Association 74 (1) 193-238.
  • Bates, D. S. (2012). U.S. Stock Market Crash Risk, 1926-2010. Journal of Financial Economics 105 (2) 229-259.
  • Bates, D. S. (2010). The Bates and Scott Models. Encyclopedia of Quantitative Finance/Wiley.
  • Bates, D. S. (2008). The Market for Crash Risk. Journal of Economic Dynamics and Control 32 (7) 2291-2321.
  • Haug, E. G. & Bates, D. S. (2007). Derivatives: Models on Models. pp. 335-342. John Wiley & Sons Ltd.
  • Bates, D. S. (2006). Maximum Likelihood Estimation of Latent Affine Processes. (Vols. 19). pp. 909-965. Review of Financial Studies.
  • Bates, D. S. (2005). Hedging the Smirk. (Vols. 2, Issue 4). pp. 195-200. Finance Research Letters.
  • Bates, D. S. (2003). Empirical Option Pricing: A Retrospection. (Vols. 116). pp. 387-404. Journal of Econometrics.
  • Bates, D. S. (2000). Post-'87 Crash Fears in the S&P 500 Futures Option Market. (Vols. 94). pp. 181-238. Journal of Econometrics.
  • Bates, D. S. (1999). Financial Markets' Assessment of EMU. (Vols. 51). pp. 229-269. Carnegie-Rochester Conference Series on Public Policy.

Selected Presentations

  • Bates, D. S. (2019, September) Jumps versus Stochastic Volatility: A Long-term View. Keynote/Plenary Address presented at CDI 2019 - Eighth Conference on Derivatives, Montreal, Canada.
  • Bates, D. S. (2017, June) How Crashes Develop: Intradaily Volatility and Crash Evolution. Conference Presentation presented at SoFiE annual conference, New York City, New York.
  • Bates, D. S. (2017, June) Discussion of "Crash Risk in Individual Stocks", by Paola Pederzoli. Conference Presentation presented at SoFiE annual conference, New York City, New York.
  • Bates, D. S. (2017, June) How Crashes Develop: Intradaily Volatility and Crash Evolution. Seminar Lausanne, Switzerland.
  • Bates, D. S. (2017, March) How Crashes Develop: Intradaily Volatility and Crash Evolution. Conference Presentation presented at 2017 Annual Meeting, Chicago, Illinois.
  • Bates, D. S. (2016, November) How Crashes Develop: Intradaily Volatility and Crash Evolution. Conference Presentation presented at 2016 Conference on Derivatives and Volatility, Chicago, Illinois.
  • Bates, D. S. (2016, September) Discussion of "The Volatility Risk Premium and the Predictability of Index Option Returns". Conference Presentation presented at 5th IFSID Conference on Structured Products and Derivatives, Montreal, Canada.
  • Bates, D. S. (2016, June) How Crashes Develop: Intradaily Volatility and Crash Evolution. Seminar Moncalieri, Italy.
  • Bates, D. S. (2014, March) Volatility Spikes and Jumps: Intradaily Volatility and Crash Evolution. Seminar presented at Tippie finance seminar, Tippie College of Business.
  • Bates, D. S. (2014, March) Volatility Spikes and Jumps: Intradaily Volatility and Crash Evolution. Seminar presented at Fifth Risk Management Conference, Mont Tremblant, Quebec.

Professional Service

  • Society for Financial Econometrics Program Committee, Member.
  • European Finance Association Program Committee, Member.
  • Western Finance Association Program Committee, Member.
  • Midwest Finance Association, Academic Director, October 2013 - March 2013.
  • American Finance Association Program Committee, Organized & chaired the Options session, March 2013 - January 2013.

Editorial & Review Activities

  • various journals, Referee.