Nicola Fusari

Professor of Finance

Johns Hopkins University

Carey Business School

E-mail: nicola.fusari@gmail.com

Latest CV: here

Biography

Nicola Fusari is a Professor of Finance at the Johns Hopkins Carey Business School. Fusari's research focuses on asset pricing and financial econometrics, with a particular emphasis on derivative markets. He has published extensively in top-tier finance, economics, and econometrics journals, such as the Journal of Finance, the Journal of Financial Economics, Econometrica, and the Journal of Econometrics. He currently serves as an Associate Editor for the Journal of Financial Econometrics. Fusari holds a Ph.D. in Finance from the Swiss Finance Institute.

Research Areas

• Asset Pricing

• Derivative Pricing

• Financial Econometrics

• Risk Management

New

0DTE Option Pricing (with Federico Bandi and Roberto Reno'), Journal of Finance, forthcoming
Structural Equity Option Pricing: Implications for Credit Risk (with Sujan Lamichhane)
Ultra-short-term volatility surfaces (with Federico Bandi, Guido Gazzani, and Roberto Reno'), 2026.
Coming Soon: Matlab Toolbox for Option Pricing

Feel free to contact me if you would like to receive a preliminary version of the Toolbox.

Working papers

Structural Stochastic Volatility (with Federico Bandi and Roberto Reno'), 2022 (Reject and Resubmit, Review of Financial Studies).
Structural Equity Option Pricing: Implications for Credit Risk (with Sujan Lamichhane), 2025.
Inference for VIX and Related Option Portfolios (with Torben G. Andersen, Viktor Todorov, and Rasmus T. Varneskov), 2022 (work in progress).
Ultra-short-term volatility surfaces (with Federico Bandi, Guido Gazzani, and Roberto Reno'), 2026.

Publications

0DTE Option Pricing (with Federico Bandi and Roberto Reno'), Journal of Finance, forthcoming.
Testing for Asset Price Bubbles using Options Data (with Robert Jarrow and Sujan Lamichhane), Journal of Business & Economics Statistics, 43:4, 2025, 807-821.
Asset Pricing with Cohort-Based Trading in MBS Markets (with Wei Li, Haoyang Liu, and Zhaogang Song), Journal of Finance, 77:6 (2022), 3249-3287.
Spatial Dependence in Option Observation Errors (with Torben G. Andersen, Viktor Todorov, and Rasmus T. Varneskov), Econometric Theory, 37:2 (2021), 205-247.
Options Market Trading Activity and the Estimation of the Pricing Kernel: a Bayesian Approach (with G. Barone-Adesi, A. Mira, and C. Sala), Journal of Econometrics, 216:2 (2020), 430-449.
The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets (with T. G. Andersen and V. Todorov), Journal of Business & Economic Statistics, 38:3 (2020), 662-678.
Inference for Option Panels in Pure Jump Settings (with Torben G. Andersen, Viktor Todorov, and Rasmus T. Varneskov), Econometric Theory, 35:5 (2019), 901-942.
Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span (with Torben G. Andersen, Viktor Todorov, and Rasmus T. Varneskov), Journal of Econometrics, 212:1 (2019), 4-25.
Short-Term Market Risks Implied by Weekly Options (with T. G. Andersen and V. Todorov), Journal of Finance, 72:3 (2017), 1540-6261.
The Risk Premia Embedded in Index Options (with T. G. Andersen and V. Todorov), Journal of Financial Economics, 117:3 (2015), 558-584.
AQR Honorable Mention, 2014
Parametric Inference and Dynamic State Recovery from Option Panels (with T. G. Andersen and V. Todorov), Econometrica, 83 (2015), 1081-1145.
Realizing Smiles: Option Pricing with Realized Volatility (with F. Corsi and D. La Vecchia), Journal of Financial Economics, 107:2 (2013), 284-304.
Valuing Modularity as a Real Option (with A. Gamba), Management Science, 55:11 (2009), 1877-1896.
Barrier Option Pricing with Adjusted Transition Probabilities (with G. Barone-Adesi and J. Theal), Journal of Derivatives, 16:2 (2008), 36-53.

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