Associate Professor of Finance
Research Interests: models of the term structure, optimal policies and equilibrium with incomplete markets and portfolio constraints, pricing and hedging of derivative instruments
FNCE892 - Financial Engineering
This class covers advanced pricing models for equity, fixed income and credit derivatives. It aims at: 1) Introducing the main models used in practical applications to price and hedge derivatives; 2) Understanding their comparative advantages and limitations, as well as how they are calibrated and applied. As part of team assignments, students will be asked to calibrate and implement the models introduced in the class using software of their choice. In spite of the fact that every effort will be made to introduce the various models and techniques as intuitively as possible, the class is by its nature very quanitative and will require a significant amount of work.
FNCE922 - Continuous-Time Financial Economics
This course covers some advanced material on the theory of financial markets developed over the last two decades. The emphasis is on dynamic asset pricing and consumption choices in a continuous time setting. The articles discussed include many classical papers in the field as well as some of the most recent developments. The lectures will emphasize the concepts and technical tools needed to understand the articles.