PhD Student in Finance

Department of Finance,

Bocconi University,

Via Roentgen 1

Milan, Italy

sara.staffolani@phd.unibocconi.it

I'm Sara Staffolani, a first 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 in Economics and Finance (DEAF-D-23-00031R1) 

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: