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About Yisong S. Tian
My primary research interest is in the area of option pricing, volatility estimation, capital market efficiency, and executive compensation. In particular, I am interested in developing numerical methods for the valuation of complex derivative securities, estimating and forecasting volatility for the valuation of traded and non-traded options, empirically testing capital market efficiency, examining the incentive effects of equity based managerial compensation, and investigating the effectiveness of corporate board of directors in monitoring managerial decisions and its impact on firm performance.
Honours
2009-2010, 2006-2007, 2000-2001, and 1999-2000 Merit Award for excellence in teaching, research and service, Schulich School of Business, York University.
2005-2007, and 1999-2000 Schulich Research Fellowship Award
2003 Barclays Global Investors Research Award for paper Incentive Fees, Valuation and Performance of Labor Sponsored Investment Funds, with Scott Andersen.
2001 Conference Best Paper Award at the 2001 annual meeting of the Northern Finance Association, Halifax, NS, for paper entitled “Optimal Contract, Incentive Effects and the Valuation of Executive Stock Options.”
Recent Publications
“Enhancing managerial equity incentives with moving average payoffs,” Journal of Futures Markets 40 (10), 1562-1583, 2020, https://ssrn.com/abstract=3613409.
“Director Networks, Institutional Investors, and Initial Public Offerings,” with Yi Feng and Keke Song, Journal of Banking and Finance 106, 246-264, 2019, http://ssrn.com/abstract=3613786.
“Managerial Gaming of Stock and Option Grants,” Financial Markets, Institutions, and Instruments, 26 (3), 127-152, 2017, http://ssrn.com/abstract=3002839.
“Implied Binomial Trees with Cubic Spline Smoothing,” Journal of Derivatives 22, 40-55, 2015, http://ssrn.com/abstract=2004605.
“Ironing out the Kinks in Executive Compensation: Linking Incentive Pay to Average Stock Prices,” Journal of Banking and Finance 37, 415-432, 2013, http://ssrn.com/abstract=2146997.
“Extracting Risk-Neutral Density and its Moments from American Option Prices,” Journal of Derivatives 18(3), 17-34, 2011, http://ssrn.com/abstract=1905555.
“Forecasting Volatility Using Long Memory and Comovements: An application to option valuation under SFAS 123R,” with George J. Jiang, Journal of Financial and Quantitative Analysis, 45(2): 503-533, 2010, http://ssrn.com/abstract=890702.
“Managerial Compensation and Corporate Fraud: The sources of incentives matter,” with Shane A. Johnson and Harley E. Ryan, Review of Finance 13(1), 115-145, 2009 (abstracted by CFA Digest http://www.cfapubs.org/doi/abs/10.2469/dig.v39.n3.39), http://ssrn.com/abstract=1328779.
“Extracting Model-Free Volatility from Option Prices: Implementation problems of the CBOE’s new volatility index and a simple solution,” with George J. Jiang, Journal of Derivatives 14(3), 35-60, 2007
“The Model-Free Implied Volatility and Its Information Content,” with George Jiang, Review of Financial Studies 18(4), 1305-1342, 2005.
“The Value and Incentive Effects of Non-traditional Executive Stock Option Plans,” with Shane A. Johnson, Journal of Financial Economics 57, 3-34, 2000.
“Indexed Executive Stock Options,” with Shane A. Johnson, Journal of Financial Economics 57, 35-64, 2000.
Courses Taught
FINE3810, FINE4800, FINE5200, FINE6200, FINE6800, MFIN5400, FNEN6850, FINE7300Grants
Project Title Role Award Amount Year Awarded Granting Agency Project TitleStock-based compensation and corporate risk management RolePrincipal Investigator Award Amount$94,927.00 Year Awarded2016-2022 Granting AgencySocial Sciences and Humanities Research Council Project TitleIroning Out the Wrinkles in Executive Compensation: Linking Incentive Pay to Average Stock Prices RolePrincipal Investigator Award Amount$63,509.00 Year Awarded2011-2014 Granting AgencySocial Sciences and Humanities Research Council - Standard Research Grant Project TitleCorporate Governance, Managerial Equity Incentives, and Firm Productivity RolePrincipal Investigator Award Amount$62,000.00 Year Awarded2007-2010 Granting AgencySocial Sciences and Humanities Research Council - Standard Research Grant Project TitleExecutive stock options, hidden action and moral hazard: theory and evidence RolePrincipal Investigator Award Amount$97,823.00 Year Awarded2002-2005 Granting AgencySocial Sciences and Humanities Research Council - Standard Research Grant
Yisong S. Tian
Professor of Finance
MBA & PhD (York)BSc (Nankai, China)