PhD Student in Finance
Department of Finance,
Bocconi University,
Via Roentgen 1
Milan, Italy
sara.staffolani@phd.unibocconi.it
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I'm Sara Staffolani, a third-year PhD student in Economics and Finance at Bocconi University (curriculum Finance).
I hold a BSc in Economics and Finance (2019) and a MSc in Finance (2022) from Bocconi University, where I also worked as an IT tutor for three years, following courses such as Python, R, Matlab, Excel Advanced, VBA.
Then, I worked as an intern in the Post Trading Securities team at Mediobanca, where I became familiar with various derivative instruments.
During my PhD, I worked as a research assistant on a project related to Green Finance.
Research interests: Financial Engineering, Quantitative Methods, Econometrics, Asset Pricing and Green Finance.
See my CV here.
PUBLISHED PAPERS:
American options with acceleration clauses
Battauz Anna and Sara Staffolani
Decisions Econ Finan (2024) (https://doi.org/10.1007/s10203-024-00446-0)
Acceleration clauses shorten the residual life of an option when an acceleration condition is met. Acceleration clauses are frequent in warrants, American call options on traded stocks. In warrants with acceleration conditions, if an index (e.g. the average underlying stock) triggers an acceleration threshold, the American call option can be exercised on a much shorter maturity (e.g. 30 days). The actual time-to-maturity of the warrant with an acceleration condition is therefore stochastic. In order to evaluate these contracts, we first reduce the American option with stochastic time-to-maturity to a compound American option with constant maturity and provide estimates for their prices. Finally we propose an efficient algorithm to price warrants with the acceleration clauses in a binomial setting.
Teaching Assistant a.y. 2024/2025:
RISK MANAGEMENT AND VALUE IN BANKING AND INSURANCE (20163)
QUANTITATIVE FINANCE AND DERIVATIVES - MODULE 1 (20188)
QUANTITATIVE FINANCE AND DERIVATIVES - MODULE 2 (20189)
FINANCIAL ECONOMETRICS AND EMPIRICAL FINANCE - MODULE 1 (20191)
ECONOMETRICS (20203)
FINANCIAL MODELLING (30177)
Teaching Assistant a.y. 2023/2024:
QUANTITATIVE FINANCE AND DERIVATIVES - MODULE 1 (20188)
QUANTITATIVE FINANCE AND DERIVATIVES - MODULE 2 (20189)
FINANCIAL ECONOMETRICS AND EMPIRICAL FINANCE - MODULE 1 (20191)
ECONOMETRICS (20203)
CONFERENCES AND SEMINARS
As a Presenter:
SOfA 2024 Conference, Stresa, Italy (03/06/2024 – 07/06/2024)
XXV Workshop on Quantitative Finance, Bologna, Italy (11/04/2024 – 13/04/2024)
AMASES 2023 Conference Bicocca, Milan, Italy (20/09/2023 – 22/09/2023)
Milan PhD Economics Workshop 2023, Milan, Italy (28/06/2023 – 28/06/2023)
As an Attendee:
MathRisk Conference on Numerical Methods in Finance, Udine, Italy (14/06/2023 – 16/06/2023)
Finance Theory Group Summer School, University of Washington, Seattle (21/06/2023 – 24/06/2023)
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