Peter Christoffersen is Professor of Finance at Rotman School of Management, Canada. He earned the PhD degree from University of Pennsylvania in 1996 after studies at the University of Copenhagen. His main research interests are in volatility modeling for option valuation as well as in developing backtesting procedures for risk management systems. He has published his research in leading finance and econometrics journals including Journal of Financial Economics, Journal of Econometrics, Management Science, and Review of Economics and Statistics. He is currently an associate editor of Journal of Applied Econometrics and the Journal of Risk.

• Christoffersen, Peter, K. Jacobs and K. Mimouni. Models for S&P 500 Volatility Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices. Review of Financial Studies (forthcoming).
• Christoffersen, Peter, R. Elkamhi, B. Feunou, and K. Jacobs. Option Valuation with Conditional Heteroskedasticity and Non-Normality. Review of Financial Studies (forthcoming).
• Christoffersen, Peter, S. Heston and K. Jacobs. The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. Management Science (forthcoming).
• Berkowitz, J., Peter Christoffersen and D. Pelletier. Evaluating Value-at-Risk Models with Desk-Level Data, Management Science (forthcoming).
• Christoffersen, Peter, C. Dorion, K. Jacobs and Y. Wang. Volatility Components: Affine Restrictions and Non-normal Innovations. Journal of Business and Economic Statistics (forthcoming).
• Christoffersen, Peter, K. Jacobs, C. Ornthanalai and Y. Wang. 2008. Option Valuation with Long-run and Short-run Volatility Components. Journal of Financial Economics 90, 272-297.
• Christoffersen, Peter, F. Diebold, R. Mariano, A. Tay and Y. Tse. 2007. Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics. International Evidence, Journal of Financial Forecasting 1, Fall, 3-24.