Marco Santoli

Columbia University

Ph.D. Candidate

321 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

http://www.marcosantoli.com

SCHOLARLY PAPERS

2

DOWNLOADS

483

CITATIONS

0

Scholarly Papers (2)

1.

Accounting for Earnings Announcements in the Pricing of Equity Options

Journal of Financial Engineering, vol. 1, no.4, pp.1-46, 2014
Number of pages: 36 Posted: 05 Jul 2014 Last Revised: 08 Apr 2015
Tim Leung and Marco Santoli
University of Washington - Department of Applied Math and Columbia University
Downloads 195 (84,770)

Abstract:

earnings announcement, equity options, pre-earnings announcement implied volatility

2.

Leveraged ETFs: Admissible Leverage and Risk Horizon

Journal of Investment Strategies, 2(1): pp.39-61, 2012
Number of pages: 21 Posted: 07 Nov 2012 Last Revised: 27 Jan 2015
Tim Leung and Marco Santoli
University of Washington - Department of Applied Math and Columbia University
Downloads 155 (119,096)

Abstract:

leveraged exchange-traded funds, value-at-risk, risk measure, risk horizon