I am interested in finding structure in financial markets. My research focus is on methods to recover information that is not directly observable with the most innocuous assumptions possible. I try to learn every day about old and new techniques from engineering and mathematics, to keep myself informed about politics, and to enjoy and play music as much as possible.
USI Lugano
Via G. Buffi 13
CH-6900 Lugano
Low-rank kernel methods for American option pricing. with M. Multerer and C. Segala
Quantile-Based Skewness for Fuzzy Numbers with Probabilistic Foundations: with an Application in Portfolio Optimization. with Jan Schneider, Kaja Bilińska, and Tomasz Szandała
Learning the Stochastic Discount Factor via Nonparametric Option Portfolios. with E. Luzzi and R. Sen
Kernel Density Machines. with A. Della Vecchia and D. Filipovic
Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels. with D. Filipovic
Fundamental Properties of Linear Factor Models. with D. Filipovic
Ross recovery with time series information and economic constraints.
Option trading under uncertainty.
Fear Trading. with Fabio Trojani
International arbitrage premia. forthcoming Review of Financial Studies (2026). with M. Sandulescu
Adaptive joint distribution learning. SIAM Journal on Mathematics of Data Science (SIMODS) (2025). with D. Filipovic and M. Multerer
Constrained polynomial likelihood. Journal of Business & Economic Statistics (2025), with C. Almeida and R. Masini
Fast empirical scenarios. Journal of Computational Mathematics and Data Science (2024), with M. Multerer and R. Sen
Optimal Investment and Equilibrium Pricing under Ambiguity. Review of Finance (2024), with M. Anthropelos
Dispersion of Beliefs Bounds: Sentimental Recovery. Management Science (2024), with A. Pazarbasi and G. Vilkov
On the nature of jump risk premia. Management Science (2023), with P. Orlowski and F. Trojani
Low Risk Anomalies?. Journal of Finance (2020) 75, 2673-2718 with Christian Wagner and Josef Zechner
An Anatomy of the Market Return. Journal of Financial Economics (2019) 132, 325-350
(Almost) Model-Free Recovery. Journal of Finance (2019) 74, 323-370, with Fabio Trojani
Divergence and the Price of Uncertainty. Journal of Financial Econometrics (2018) 9, 1-56, with Fabio Trojani
The Economic Value of Predicting Bond Risk Premia: Can Anything Beat the Expectations Hypothesis. Journal of Empirical Finance (2016) 37, 247-267, with Lucio Sarno and Christian Wagner
Generalized Risk Premia. Journal of Financial Economics (2015) 116, 487-504
Asset Pricing with Nonlinear Risk Premia. Journal of Financial Econometrics (2014) 12, 479-506, with Aleksandar Mijatovic
The Skew Risk Premium in the Equity Index Market. Review of Financial Studies (2013) 26, 2174-2203, with Roman Kozhan and Anthony Neuberger
Density Approximations for Multivariate Affine Jump-Diffusion Processes. Journal of Econometrics (2013) 176, 93-111, with Damir Filipovic and Eberhard Mayerhofer
Properties of Foreign Exchange Risk Premia. Journal of Financial Economics (2012) 105, 279-310, with Lucio Sarno and Christian Wagner
Flexing the Default Barrier. Quantitative Finance (2011) 11, 1729-1743, with Gregor Dorfleitner and Tanja Veza
Bayesian Inference of Discretely Sampled Markov Processes with Closed-Form Likelihood Expansions. Journal of Financial Econometrics (2010) 8, 450-480, with Osnat Stramer and Matthew Bognar
Globally Optimal Parameter Estimates for Nonlinear Diffusion Processes with Expected Likelihood. Annals of Statistics (2010) 8, 215-245, with Aleksandar Mijatovic
The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk. Journal of Financial and Quantitative Analysis (2010) 45, 1517-1547, with Leopold Soegner and Tanja Veza
Pricing Options with Green's Functions when Volatility, Interest Rate, and Barriers Depend on Time. Quantitative Finance (2008) 8, 119-133, with Gregor Dorfleitner, Arne Buch and Kurt Hawlitschek
JF2018 A template for preparing an accepted paper for publication in the Journal of Finance. Reuses parts of Richard Stanton's packages. Contains a main text as well as an internet appendix with examples of equations, figures, and references.
JFE2018 My paper 'An Anatomy of the Market Return' which was accepted by the copy editor of the Journal of Financial Economics. Contains a main text as well as an internet appendix. Note that the first submission to the copy editor must be made single page which you can achieve by commenting the first line and un-commenting the second line in the main document JFEmaintext.tex
KDM. This is a minimal implementation in R of the algorithm of kernel density machines on arvix with Damir Filipovic. It contains a low-rank approximation function, a function that computes the coefficients of the kernel density machine, and a function that computes p-values for a kernel two sample test that comes with the approach. The file also contains examples on how to use the functions with simulated data.
