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I received a master’s and PhD degree in Financial Engineering from HEC Montreal. Prior to joining Laurier in 2016, I worked as an assistant professor of Finance at the University of Quebec in Montreal.
My research program includes empirical asset pricing, credit risk, and derivative pricing. In recent years, my research has focused on the analysis of high frequency prices.
- Goldberg Family Foundation Fellow in Finance
- SSHRC Insight Development Grant
- IVADO Fundamental Research Project Grant
- Canadian Derivatives Institure Research Grant
- NFA Best Paper Award in Derivatives, 2017
- Institut de Finance Mathématique de Montréal (IFM2), Faculty Recruitment Program, 2012-2014
- Diego Amaya, Jean-François Bégin, Geneviève Gauthier. (2021). "The Informational Content of High-Frequency Option Prices." Management Science, forthcoming.
- Diego Amaya, Jean-François Bégin, Geneviève Gauthier, Marie-Ève Malette. (2020). "On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach." SIAM Journal on Mathematical Finance. 11(4), 1168-1208.
- Diego Amaya, Michael Brolley, and Brian Smith. (2020). "Diamonds in the rough: the value of scouting for early-stage funding." North American Journal of Economics and Finance. 52, 101-131.
- Diego Amaya, Mathieu Broudreault, and Don McLeish. (2019). "Maximum likelihood estimation of first-passage structural credit risk models correcting for survivorship bias." Journal of Economic Dynamics and Control. 100, 297-313.
- Diego Amaya, Jean-Yves Filbien, Cédric Okou, and Alexandre Roch. (2018). "Distilling liquidity costs from limit order books." Journal of Banking and Finance. 94, 16-34.
- Diego Amaya, Peter Christoffersen, Kris Jacobs, and Aurelio Vasquez. (2015). "Does realized skewness predict the cross-section of equity returns?" Journal of Financial Economics. 118(1), 135-167.
- Diego Amaya, Geneviève Gauthier, and Thomas-Olivier Léautier. (2015). "Dynamic risk management: investment, capital structure, and hedging in the presence of financial frictions." Journal of Risk and Insurance. 82(2), 359-399.
- Diego Amaya and Jean-Yves Filbien. (2015). "The similarity of ECB’s communications." Finance Research Letters. 13, 234-242.
BU493 Options, Futures, Swaps
BU623 Derivatives and Financial Risk Management
BU493v Investment Strategies
Contact Info:
Office location: LH4068
Office hours: Tuesdays and Thursdays, by appointment.
Languages spoken: English, French, Spanish