Canadian Derivatives Institute Recognizes PhD Student in Finance with $30,000 Grant

Mobina and Chance photo

 PhD Student Mobina Shafaati and Professor Don Chance 

January 2, 2019

MONTREAL, QUEBEC, CANADA - The research of Department of Finance PhD Student Mobina Shafaati has been recognized with a $30,000 (Canadian) grant from the Canadian Derivatives Institute. Shafaati’s research, entitled Decomposing the Systematic and Idiosyncratic Components of the Diffusive and Tail Risks in Individual Equity Options, examines the measurement of the effects of sudden and extreme price movements on the risk of individual stocks as observed in the prices of options on those stocks.

Shafaati’s research is being conducted with James C. Flores Endowed Chair of MBA Studies Professor Don Chance of LSU’s E. J. Ourso College of Business and Professor Robert Brooks of the University of Alabama. Shafaati, from Tehran, Iran, will receive her PhD from LSU in May 2019 and has accepted a position as an assistant professor of finance at Old Dominion University in Norfolk, Virginia.

Chance said that “Mobina is a promising young researcher in the area of risk measurement and derivative pricing. This award is a recognition of the potential significance of her study and highlights the outstanding research done in the Department of Finance at LSU’s E. J. Ourso College of Business.”

The Canadian Derivatives Institute (CDI) aims at promoting collaborations between academics and professionals in research projects dealing with derivatives markets. “I would like to thank CDI for this research grant, which helps us to conduct a more comprehensive study to understand how investors perceive and price the risk of rare price movements in equities,” says Shafaati. “I am very grateful for the mentorship and guidance of my advisor, Professor Chance, and also Professor Brooks from the University of Alabama, and am very excited to learn more about the known and explore the unknown.”

Professor Rajesh Narayanan, Chair of the Department of Finance, hopes that Shafaati’s success will shine a positive light on the E. J. Ourso College of Business. “This grant not only validates the interest in the knowledge being created by the Department of Finance,” says Narayanan, “but also affirms the need for funding fundamental research by faculty and students that transform ideas into actionable intelligence.”

About the Department of Finance
The Department of Finance offers high-quality curricula to undergraduate and graduate students interested in careers in corporate finance, asset management, real estate, insurance, banking, financial planning and business law. The department boasts internationally renowned research faculty in several areas, including derivatives, asset management, banking and spatial econometrics. The department’s Securities Markets Analysis Research & Trading Lab utilizes the Bloomberg Professional service, the platform used by more than 300,000 leading business and financial professionals worldwide to make informed business decisions, and an extensive library of financial databases including the Wharton WRDS System. Additionally, the department encourages, supports and conducts research in real estate by housing the nationally renowned Real Estate Research Institute. For more information, visit our home page or call 225-578-6291.

About the E. J. Ourso College of Business
Since its establishment in 1928, the E. J. Ourso College of Business has continuously improved and expanded its offerings for students and alumni. Additionally, the college has made it a priority to provide its faculty with the resources it needs to further research in every aspect of the business world and to produce industry leaders for a global work environment. For more news and information about the E. J. Ourso College, visit lsu.edu/business.

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Contact: Wendy Marx
LSU E. J. Ourso College of Business
225-578-8865