largo A. Gemelli 1
Via Sarfatti, 25
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
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Return predictability, Momentum, Mean reversion, Portfolio choice
Market Price of Credit Risk, Constant-Elasticity-of-Variance (CEV) Diffusive Risk, Jump-to-Default Risk, Equity, Corporate Bonds, Credit Default Swaps
Asset Pricing, General Equilibrium, Model Misspecification, Knightian Uncertainty, First Order Risk Aversion
Recovery Forms, Structural Credit Risk Models, Duration
Equity, Corporate Bonds, Credit Default Swaps, Constant-Elasticity-of-Variance (CEV) Diffusion, Jump to Default
Cross-asset trading of credit risk, constant-elasticity-of-variance (CEV) diffusion
Asset Pricing, General Equilibrium, Model Misspecification, Recursive Multiple Priors Utility, Locally Constrained Entropy
Investment under uncertainty
Investment under uncertainty, optimal stopping, change of numeraire, perpetual American put, double continuation region
Double barrier options, cost irreversibility, demise irreversibility, technology innovation
Corporate growth options, state-dependent risk, stock pricing, market price of risk
dynamic asset allocation, defaultable asset, Sharpe-ratio uncertainty, levered non-myopic speculation, the Constant Elasticity of Variance (CEV) model
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Price-dividend ratio, persistence, non-linearity, endogenous heteroskedasticity, log-linear approximation, stochastic discount factor, market price of risk, mean reversion, affine models.
American Options, Flat Barrier Options
Recovery, corporate bonds, credit risk, cost of capital
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