Nicolás Merener
Nicolás Merener
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Contact information:
nmerener@utdt.edu
(+54 11) 5169-7301
Av. Figueroa Alcorta 7350 - C1428BCW, Ciudad Autónoma de Buenos Aires, Argentina
Welcome to my page. I have been a faculty member and Director of the newly launched Engineering and Applied Science Area at Universidad Torcuato Di Tella since May 2025. I have also been a research faculty member at the School of Business since March 2008, where I served as Dean between June 2016 and April 2022.
My research interests and academic publications center around risk, natural resources, commodities, financial engineering and sustainability. I regularly teach courses on finance, simulation, derivatives and commodity markets to MBA, Master's in Finance and Digital Technology students. I have occasionally pursued applied and consulting projects on risk, finance, valuation and statistical analysis.
Prior to joining Di Tella, I was a Senior Vice President at the Fixed Income Research group in Lehman Brothers, New York, where I specialized on quantitative models for interest rate derivatives, strategies and risk management.
I gained my PhD in Applied Mathematics at Columbia University in 2002 and a Licenciatura in Physics from the University of Buenos Aires in 1997.
Working papers:
Cornejo, M., Merener, N. & Merovich E. Hot Dry Spells and Extreme Rain in the U.S. Midwest Raise New Crop Prices.
Refereed publications:
Blaustein-Rejto, D., Merener, N. & Smith, A. (2024). The potential footprint of alternative meat adoption on corn and soybean producers. Frontiers in Sustainable Food Systems, vol. 8 -2024.
Davison, M. & Merener, N. (2023). Equilibrium and Real Options in the Ethanol Industry: Modelling and Empirical Evidence. Journal of Commodity Markets, vol 31.
Merener, N. & Steglich M. E. (2018). Output Value Risk for Commodity Producers: The Uncertain Benefits of Diversification. World Development, vol. 101, pp. 322-333.
Merener. N. (2016). Concentrated Production and Conditional Heavy Tails in Commodity Returns. The Journal of Futures Markets, vol. 36 (1), pp. 46-65.
Merener, N., Moyano, R, Stier-Moses, N. & Watfi, P. (2016). Optimal Trading and Shipping of Agricultural Commodities. Journal of the Operational Research Society, vol. 67, pp. 114–126. Summarized in the Global Commodities Research Digest from the JP Morgan Commodities Center at CU Denver.
Merener, N. (2015). Globally Distributed Production and the Pricing of CME Commodity Futures. The Journal of Futures Markets, vol. 35 (1), pp. 1-30.
Merener, N. & Vicchi, L. (2015). Efficient Monte Carlo for Discrete Variance Contracts. The Journal of Computational Finance, vol. 18 (3), pp. 1-27.
Merener, N. (2012). Swap Rate Variance Swaps. Quantitative Finance, vol .12 (2), pp. 249-261.
Glasserman, P & Merener, N. (2004). Convergence of a Discretization Scheme for Jump-Diffusion Processes with State-Dependent Intensities. Proceedings of the Royal Society A, vol. 460 (2041), pp. 111-127.
Glasserman, P. & Merener, N. (2003). Cap and Swaption Approximations in Libor Market Models with Jumps. The Journal of Computational Finance, vol. 7 (1), pp. 1-36.
Glasserman, P. & Merener, N. (2003). Numerical Solution of Jump-Diffusion Libor Market Models. Finance and Stochastics, vol. 7 (1), pp. 1-28.
Book chapters and other work:
Baldi, F. & Merener, N. (2025) Displacement Risk in Agricultural Commodity Markets: The Potential Impact of Alternative Meat. Development and Sustainability in Economics and Finance, vol 5.
Merener, N. (2009). Libor Volatility Derivatives, in Mercurio, F. (ed.). Modelling Interest Rates. London: Risk Books.
Boyd, P., Mindlin, G. & Merener, N. (1998). Low Dimensional Dynamics outside the Laboratory: the case of roAp stars. Europhysics Letters, vol. 42 (1), pp. 111-127.
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