Many people have played an important part (knowingly or unknowingly) in the writing of this book. Without implication, I would like to acknowledge the following people for stimulating discussions on topics covered in this book:

My coauthors, in particular Kris Jacobs, but also Torben Andersen, Jeremy Berkowitz, Tim Bollerslev, Frank Diebold, Peter Doyle, Jan Ericsson, Vihang Errunza, Bruno Feunou, Eric Ghysels, Silvia Goncalves, Rusland Goyenko, Jinyong Hahn, Steve Heston, Atsushi Inoue, Roberto Mariano, Nour Meddahi, Amrita Nain, Denis Pelletier, Til Schuermann, Torsten Sloek, Norm Swanson, Anthony Tay, and Rob Wescott.

My Rotman School colleagues, especially John Hull, Raymond Kan, Tom McCurdy, Kevin Wang, and Alan White.

My Copenhagen Business School colleagues, especially Ken Bechman, Soeren Hvidkjaer, Bjarne Astrup Jensen, Kristian Miltersen, David Lando, Lasse Heje Pedersen, Peter Raahauge, Jesper Rangvid, Carsten Soerensen, and Mads Stenbo.

My CREATES colleagues including Ole Barndorff-Nielsen, Charlotte Christiansen, Bent Jesper Christensen, Kim Christensen, Tom Engsted, Niels Haldrup, Peter Hansen, Michael Jansson, Soeren Johansen, Dennis Kristensen, Asger Lunde, Morten Nielsen, Lars Stentoft, Timo Terasvirta, Valeri Voev, and Allan Timmermann.

My former McGill University colleagues, especially Francesca Carrieri, Benjamin Croitoru, Adolfo de Motta, and Sergei Sarkissian.

My former PhD students, especially Bo-Young Chang, Christian Dorion, Redouane Elkamhi, Xisong Jin, Lotfi Karoui, Karim Mimouni, Jaideep Oberoi, Chay Ornthanalai, Greg Vainberg, Aurelio Vasquez, and Yintian Wang.

I would also like to thank the following academics and practitioners whose work and ideas form the backbone of the book: Gurdip Bakshi, Bryan Campbell, Jin Duan, Rob Engle, John Galbraith, Rene Garcia, Eric Jacquier, Chris Jones, Michael Jouralev, Philippe Jorion, Ohad Kondor, Jose Lopez, Simone Manganelli, James MacKinnon, Saikat Nandi, Andrew Patton, Andrey Pavlov, Matthew Pritsker, Eric Renault, Garry Schinasi, Neil Shephard, Kevin Sheppard, Jean-Guy Simonato, and Jonathan Wright.

I have had a team of outstanding students working with me on the manuscript and on the Excel workbooks in particular. In the first edition they were Roustam Botachev, Thierry Koupaki, Stefano Mazzotta, Daniel Neata, and Denis Pelletier. In the second edition they are Kadir Babaoglu, Mathieu Fournier, Erfan Jafari, Hugues Langlois, and Xuhui Pan.

For financial support of my research in general and of this book in particular I would like to thank CBS, CIRANO, CIREQ, CREATES, FQRSC, IFM2, the Rotman School, and SSHRC.

I would also like to thank my editor at Academic Press, Scott Bentley, for his encouragement during the process of writing this book and Kathleen Paoni and Heather Tighe for keeping the production on track.

Finally, I would like to thank Susan for constant moral support, and Nicholas and Phillip for helping me keep perspective.