Luca Benzoni
 Senior Financial Economist
 Research Department
 Federal Reserve Bank of Chicago
 230 S. LaSalle Street
 Chicago, IL 60604
 Phone 312-322-8499
 Fax:    312-322-5943

 

Curriculum Vitae 

Publications:

"Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash," with P. Collin-Dufresne and R. Goldstein, 2011

"Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models,'' with T. G. Andersen, 2010  

"Conflict of Interest and Certification in the U.S. IPO Market," with C. Schenone, 2010

"Life-Cycle Investment Decisions and Labor Income Risk," with R. S.  Goldstein, 2010

"Stochastic Volatility," with T. G. Andersen, 2009

"Realized Volatility,'' with T. G. Andersen, 2009

"Portfolio Choice over the Life-Cycle when the Stock and Labor Markets are Cointegrated," with Pierre Collin-Dufresne and Robert S. Goldstein, 2007

"An Empirical Investigation of Continuous-Time Equity Return Models," with Torben G. Andersen and Jesper Lund, 2002

  • Nominated for the 2002 Smith Breeden Best Paper Award
  • Older versions "Towards an Empirical Foundation for Continuous-Time Equity Return Models'' and "Estimating Jump-Diffusions for Equity Returns''
 
Working Papers and Work in Progress:

"Core and `Crust': Consumer Prices and the Term Structure of Interest Rates,'' with A. Ajello and O. Chyruk, 2011

"Modeling Credit Contagion via the Updating of Fragile Beliefs,'' with R. Goldstein, P. Collin-Dufresne, and J. Helwege, 2011

"The Determinants of Interest Rate Volatility in the U.S. Treasury Market,'' with T. G. Andersen

"Stochastic Volatility, Mean Drift and Jumps in the Short Term Interest Rate," 2004, with Torben G. Andersen and Jesper Lund

"Pricing Options under Stochastic Volatility: An Empirical Investigation," 2002

  • Older version: "Pricing Options under Stochastic Volatility: An Econometric Analysis"
 

Other Links: 

My web page at SSRN

My web page at the Federal Reserve Bank of Chicago 

My web page at Google Scholar


The views expressed herein are those of the author and not necessarily those of the Federal Reserve Bank of Chicago or the Federal Reserve System.