Overview
biography
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Dr. Dupoyet has published in the Journal of Futures Markets, the Journal of Economic Dynamics and Control, Macroeconomic Dynamics, Frontiers in Finance and Economics, Applied Financial Economics, Journal of Banking and Finance, Physica A, Journal of Derivatives, and the Journal of Alternative Investments. His main research areas are in derivatives, portfolio allocation, and asset pricing.
His teaching experience includes such courses as Portfolio Management, Options and Futures Markets, Advanced Investments, Corporate Finance, Financial Theory, Capital Budgeting, Business Economics, PhD Seminar in derivative securities, and Advanced Financial Risk Management. He is the recipient of numerous awards, including the FIU university-wide Teaching Award and over 20 Best Course and Best Professor Awards in the Master of Science in Finance program.
Dr. Dupoyet has also presented research papers at numerous conferences, including the Western Finance Association Meetings, the Financial Management Association Meetings, the Society for Computational Economics, the World Finance Conference, and the Multinational Finance Society Conference among others.
He has also been an article reviewer for the Journal of Financial and Quantitative Analysis, the Journal of Futures Markets, the Journal of Economic Dynamics and Control, Quantitative Finance, the European Journal of Finance, Financial Decisions, Frontiers in Finance and Economics, and the NBER National Science Foundation grant program.
research interests
- Options and Futures; Portfolio Analysis; Asset Pricing
Scholarly & Creative Works
selected scholarly works & creative activities
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Article
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2023Tax policies and agency costs. JOURNAL OF FINANCIAL RESEARCH. 46:383-409.Full Text via DOI: 10.1111/jfir.12321 Web of Science: 000929358200001
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2023The information content of currency option-implied volatilities: implications for ex-ante forecasts of global equity correlations. EUROPEAN JOURNAL OF FINANCE.Full Text via DOI: 10.1080/1351847X.2023.2189020 Web of Science: 000954095200001
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2023A new take on the relationship between interest rates and credit spreads. APPLIED ECONOMICS.Full Text via DOI: 10.1080/00036846.2023.2168614 Web of Science: 000918887400001
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2020The relationship between psychopathy and financial risk and time preferences. STUDIES IN ECONOMICS AND FINANCE. 38:32-49.Full Text via DOI: 10.1108/SEF-11-2019-0435 Web of Science: 000543489700001
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2019A dimension-invariant cascade model for VIX futures. JOURNAL OF FUTURES MARKETS. 39:1214-1227.Full Text via DOI: 10.1002/fut.22042 Web of Science: 000477166300001
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2018Oil prices implied volatility or direction: Which matters more to financial markets?Full Text via DOI: 10.1007/s11408-018-0314-7 Web of Science: 000446511300002
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2017Spicing Up a Portfolio with Commodity Futures: Still a Good Recipe?. JOURNAL OF ALTERNATIVE INVESTMENTS.Full Text via DOI: 10.3905/jai.2017.2017.1.053
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2017Spicing Up a Portfolio with Commodity Futures: Still a Good Recipe?. JOURNAL OF ALTERNATIVE INVESTMENTS. 19:8-23.Full Text via DOI: 10.3905/jai.2017.19.4.008 Web of Science: 000412644500002
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2016The Implied Convexity of VIX Futures. JOURNAL OF DERIVATIVES. 23:73-90.Full Text via DOI: 10.3905/jod.2016.23.3.073 Web of Science: 000371197300006
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2016The Implied Convexity of VIX Futures. JOURNAL OF DERIVATIVES.Full Text via DOI: 10.3905/jod.2016.2016.1.049
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2015Interest Rates and Credit Spread Dynamics. JOURNAL OF DERIVATIVES. 23:25-39.Full Text via DOI: 10.3905/jod.2015.23.1.025 Web of Science: 000361111200003
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2012Arbitrage-free self-organizing markets with GARCH properties: Generating them in the lab with a lattice model. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. 391:4350-4363.Full Text via DOI: 10.1016/j.physa.2012.04.017
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2011Replicating financial market dynamics with a simple self-organized critical lattice model. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. 390:3120-3135.Full Text via DOI: 10.1016/j.physa.2011.04.017
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2011A simplified pricing model for volatility futures. JOURNAL OF FUTURES MARKETS. 31:307-339.Full Text via DOI: 10.1002/fut.20471
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2010Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. 389:107-116.Full Text via DOI: 10.1016/j.physa.2009.09.002
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2009Asset pricing with incomplete information and fat tails. JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 33:1314-1331.Full Text via DOI: 10.1016/j.jedc.2009.01.002 Web of Science: 000266211500009
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2008A behavioral explanation for the negative asymmetric return-volatility relation. JOURNAL OF BANKING & FINANCE. 32:2254-2266.Full Text via DOI: 10.1016/j.jbankfin.2007.12.046 Web of Science: 000259909400022
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2007Intrinsic bubbles and fat tails in stock prices: A note. MACROECONOMIC DYNAMICS. 11:405-422.Full Text via DOI: 10.1017/S1365100507060178 Web of Science: 000246372400006
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2007The impact of fat tails on equilibrium rates of return and term premia. JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 31:887-905.Full Text via DOI: 10.1016/j.jedc.2006.03.001 Web of Science: 000244552400007
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2006Information content of cross-sectional option prices: A comparison of alternative currency option pricing models on the japanese yen. JOURNAL OF FUTURES MARKETS. 26:33-59.Full Text via DOI: 10.1002/fut.20177
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Preprint
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2019From Currency Volatilities to Global Equity CorrelationsFull Text via DOI: 10.2139/ssrn.3355787
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2019The Relationship between Psychopathy and Financial Risk and Time PreferencesFull Text via DOI: 10.2139/ssrn.3355774
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2016A New Take on the Relationship between Interest rates and Credit SpreadsFull Text via DOI: 10.2139/ssrn.3355722
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2008A Behavioral Explanation for the Negative Asymmetric Return-Volatility RelationFull Text via DOI: 10.2139/ssrn.3362617
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2006Intrinsic Bubbles and Fat Tails in Stock Prices: A NoteFull Text via DOI: 10.2139/ssrn.3361214
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2005Asset Pricing with Incomplete Information Under Stable ShocksFull Text via DOI: 10.2139/ssrn.839926
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2005Asset Pricing with Incomplete Information Under Stable ShocksFull Text via DOI: 10.2139/ssrn.682446
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2004Debt and Equity Valuation of it Companies: A Real Option ApproachFull Text via DOI: 10.2139/ssrn.627064
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2004The Impact of Fat Tails on Equilibrium Rates of Return and Term PremiaFull Text via DOI: 10.2139/ssrn.627067
Contact
full name
- Brice Dupoyet
Identifiers
ORCID iD
- https://orcid.org/0000-0001-7223-8542 (confirmed)
visualizations
publication subject areas
Citation index-derived subject areas the researcher has published in