Becoming a Golden Hawk means more than just cheering on our (really good) varsity teams – it means being a student who cares about your community, who works hard in the classroom, and who takes advantage of all the learning opportunities that can happen outside the classroom, too.
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.
Research Interests / Ongoing Projects
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.
Awards and Achievements
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, Michael Brolley, and Brian Smith. (2019). "Diamonds in the rough: the value of scouting for early-stage funding." North American Journal of Economics and Finance. Forthcoming.
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.