Río Hondo No. 1, 
      Col. Progreso Tizapán
      México, D.F.
      México, 01080

      Phone: 52 (55) 5628 4000 x6518

      Email: aurelio.vasquez@itam.mx



I am currently working as an Assistant professor at ITAM in Mexico City.


My research interests include Empirical Asset pricing, Derivatives, Risk Management and Fixed income.


Amaya, D., P. Christoffersen, K. Jacobs, A. Vasquez, 2015, Does Realized Skewness Predict the Cross-Section of Equity Returns?Journal of Financial Economics, 118, 135-167.

Vasquez A., 2017, Equity Volatility Term Structures and the Cross-Section of Option Returns, Journal of Financial and Quantitative Analysis, forthcoming.

Working Papers:

Vasquez, A., X. Xiao, 2016, Firm Leverage and Equity Option Returns.

Amaya, D., A. Vasquez, 2013, The Cross-Section of Intraday Jumps.

Every year I organize the ITAM Finance Conference