Nicola Fusari
Professor of Finance
Johns Hopkins University
E-mail: nicola.fusari@gmail.com
Tel (Office): +1 (410) 234 9411
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')
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
0DTE Option Pricing (with Federico Bandi and Roberto Reno'), 2023.
Testing for Asset Price Bubbles using Options Data (with Robert Jarrow and Sujan Lamichhane), 2022.
Structural Stochastic Volatility (with Federico Bandi and Roberto Reno), 2022 (Reject and Resubmit, Review of Financial Studies).
Inference for VIX and Related Option Portfolios (with Torben G. Andersen, Viktor Todorov, and Rasmus T. Varneskov), 2022 (work in progress).
Structural Option Pricing: a Machine Learning Approach (with Sujan Lamichhane ), 2022 (work in progress).
Publications
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, 2014Parametric 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.