Luca Benzoni

Federal Reserve Bank of Chicago - Research Department

230 South LaSalle Street

Chicago, IL 60604

United States

http://lbenzoni.frbchi.googlepages.com/

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 3,784

in Total Papers Downloads

8,326

CITATIONS
Rank 1,750

SSRN RANKINGS

Top 1,750

in Total Papers Citations

317

Scholarly Papers (21)

1.

Realized Volatility

FRB of Chicago Working Paper No. 2008-14
Number of pages: 29 Posted: 12 Feb 2008 Last Revised: 05 Dec 2008
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 1,638 (6,878)
Citation 16

Abstract:

Realized Volatility, Stochastic Volatility, Quadratic Variation, Bipower Variation, Variance Swap, Impled Volatility

2.
Downloads 1,184 ( 12,836)
Citation 1

Stochastic Volatility

Number of pages: 55 Posted: 21 Dec 2007 Last Revised: 16 Jul 2010
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 1,009 (16,114)
Citation 1

Abstract:

Stochastic Volatility, Realized Volatility, Impled Volatility, Options, Smirk, Smile, Term Structure of Interest Rates, Affine Models

Stochastic Volatility

CREATES Research Paper No. 2010-10
Number of pages: 57 Posted: 28 Feb 2010
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 175 (139,060)
Citation 1

Abstract:

Stochastic Volatility, Realized Volatility, Implied Volatility, Options, Volatility Smirk, Volatility Smile, Dynamic Term Structure Models, Affine Models

3.

Portfolio Choice Over the Life-Cycle when the Stock and Labor Markets are Cointegrated

FRB of Chicago Working Paper No. 2007-11
Number of pages: 52 Posted: 16 Jan 2006
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 867 (18,866)
Citation 51

Abstract:

Human Capital, Risky Labor Income, Limited Stock Market Participation, Portfolio Choice, Life Cycle

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

AFA 2007 Chicago Meetings Paper, FRB of Chicago Working Paper No. 2006-15
Number of pages: 61 Posted: 15 Mar 2006 Last Revised: 25 Jun 2008
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 693 (27,961)
Citation 17

Abstract:

Interest Rate Volatility, Hedging, Volatility Risk, Unspanned Stochastic Volatility, Affine Models, Term Structure Models

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

NBER Working Paper No. w12962
Number of pages: 59 Posted: 15 Mar 2007
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 30 (397,355)
Citation 17

Abstract:

5.

Can Standard Preferences Explain the Prices of Out-of-the-Money S&P 500 Put Options?

Number of pages: 43 Posted: 11 Aug 2005
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 567 (35,956)
Citation 18

Abstract:

Volatility smile, volatility smirk, implied volatility, option pricing, portfolio insurance, market risk

6.

Conflict of Interest or Certification? Evidence from IPOs Underwritten by the Firm's Relationship Bank

FRB of Chicago Working Paper No. 2007-09
Number of pages: 37 Posted: 15 Oct 2004 Last Revised: 03 Jun 2009
Luca Benzoni and Carola Schenone
Federal Reserve Bank of Chicago - Research Department and University of Virginia - McIntire School
Downloads 480 (44,429)
Citation 4

Abstract:

Conflicts of interest, lending relationships, IPOs, Glass Steagall Act

Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

Number of pages: 51 Posted: 23 Jan 2005
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 367 (63,419)
Citation 14

Abstract:

Labor Income Risk, Optimal Portfolio Choice, Limited Stock Market Participation, Human Capital

Portfolio Choice Over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

NBER Working Paper No. w11247
Number of pages: 51 Posted: 18 May 2005
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 44 (344,015)
Citation 14

Abstract:

8.

Explaining Pre- and Post-1987 Crash Asset Prices Within a Unified General Equilibrium Framework

Number of pages: 47 Posted: 05 Feb 2007 Last Revised: 01 Jul 2011
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 384 (56,755)
Citation 4

Abstract:

Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk, Individual Stock Options

Modeling Credit Contagion via the Updating of Fragile Beliefs

Number of pages: 65 Posted: 05 Mar 2012 Last Revised: 29 Jan 2015
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 258 (94,695)
Citation 3

Abstract:

Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models

Modeling Credit Contagion Via the Updating of Fragile Beliefs

Netspar Discussion Paper No. 12/2011-123 - revised version February 2014
Number of pages: 54 Posted: 24 Nov 2012 Last Revised: 13 Jan 2016
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities and UC Riverside
Downloads 73 (266,943)
Citation 3

Abstract:

Investing over the Life Cycle with Long-Run Labor Income Risk

Number of pages: 28 Posted: 24 Jul 2008 Last Revised: 14 Jun 2009
Luca Benzoni and Olena Chyruk
Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 228 (107,771)
Citation 1

Abstract:

Human Capital, Labor Income Risk, Long-Run Risk, Limited Stock Market Participation, Portfolio Choice, Life Cycle

Investing Over the Life Cycle with Long-Run Labor Income Risk

Economic Perspectives, Vol. 33, No. 3, 2009
Number of pages: 15 Posted: 15 Oct 2009
Luca Benzoni and Olena Chyruk
Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 73 (266,943)
Citation 1

Abstract:

11.

Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash

Number of pages: 49 Posted: 27 Jan 2010 Last Revised: 01 Jul 2011
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 278 (78,025)
Citation 21

Abstract:

Volatility Smile, Volatility Smirk, Implied Volatility, Option Pricing, Portfolio Insurance, Market Risk

12.

Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates

Number of pages: 50 Posted: 29 May 2011 Last Revised: 23 Dec 2012
Andrea Ajello, Luca Benzoni and Olena Chyruk
Federal Reserve Board, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 259 (82,455)
Citation 1

Abstract:

term structure of interest rates, real rates, inflation, inflation risk premium, real rate risk premium

13.
Downloads 136 (172,347)

The Value and Risk of Human Capital

FRB of Chicago Working Paper No. 2015-06
Number of pages: 34 Posted: 20 Aug 2015
Luca Benzoni and Olena Chyruk
Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 136 (172,850)

Abstract:

human capital, labor income, employment

The Value and Risk of Human Capital

Annual Review of Financial Economics, Vol. 7, pp. 179-200, 2015
Posted: 11 Dec 2015
Luca Benzoni and Olena Chyruk
Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago

Abstract:

No-Arbitrage Restrictions and the U.S. Treasury Market

Economic Perspectives, Forthcoming
Number of pages: 20 Posted: 08 May 2012 Last Revised: 02 Jun 2012
Andrea Ajello, Luca Benzoni and Olena Chyruk
Federal Reserve Board, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 67 (280,410)

Abstract:

No-arbitrage restrictions, U.S. Treasury market, dynamic term structure models, affine models, limits to arbitrage

No-Arbitrage Restrictions and the U.S. Treasury Market

Economic Perspectives, Vol. XXXVI, No. 2, p. 55, 2012
Number of pages: 20 Posted: 17 Jul 2012 Last Revised: 20 Jul 2012
Andrea Ajello, Luca Benzoni and Olena Chyruk
Federal Reserve Board, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 52 (319,164)

Abstract:

no-arbitrage restrictions, U.S. Treasury market, dynamic term structure models, affine models, limits to arbitrage, Asset Pricing, Trading volume, Bond Interest Rates, Interest Rates: Determination, Term Structure, and Effects, Banks, Other Depository Institutions, Micro Finance Institutions

15.

Conflict of Interest and Certification in the U.S. IPO Market

Journal of Financial Intermediation, Forthcoming
Number of pages: 33 Posted: 25 Aug 2009
Luca Benzoni and Carola Schenone
Federal Reserve Bank of Chicago - Research Department and University of Virginia - McIntire School
Downloads 105 (192,569)
Citation 6

Abstract:

Glass-Steagall Act, IPOs, Certification, Conflict of Interest, Lending Relationships

An Empirical Investigation of Continuous-Time Equity Return Models

NBER Working Paper No. w8510
Number of pages: 48 Posted: 29 Sep 2001
Torben G. Andersen, Luca Benzoni and Jesper Lund
Northwestern University - Kellogg School of Management, Federal Reserve Bank of Chicago - Research Department and affiliation not provided to SSRN
Downloads 82 (248,826)
Citation 140

Abstract:

An Empirical Investigation of Continuous-Time Equity Return Models

The Journal of Finance, Vol. 57, No. 2, pp. 1239-1284, June 2002
Posted: 12 Nov 2002
Torben G. Andersen, Luca Benzoni and Jesper Lund
Northwestern University - Kellogg School of Management, Federal Reserve Bank of Chicago - Research Department and affiliation not provided to SSRN

Abstract:

17.

Can Standard Preferences Explain the Prices of Out of the Money S&P 500 Put Options

NBER Working Paper No. w11861
Number of pages: 43 Posted: 19 Jan 2006
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 40 (325,782)
Citation 18

Abstract:

18.

Human Capital and Long-Run Labor Income Risk

Number of pages: 24 Posted: 30 Nov 2013
Luca Benzoni and Olena Chyruk
Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 29 (340,855)

Abstract:

human capital, labor income risk, portfolio choice, life cycle

The Interplay between Financial Conditions and Monetary Policy Shocks

Number of pages: 37 Posted: 17 Oct 2016
Marco Bassetto, Luca Benzoni and Trevor Serrao
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 17 (467,313)

Abstract:

excess bond premium, financial conditions, monetary policy shocks, zero lower bound

The Interplay between Financial Conditions and Monetary Policy Shocks

FRB of Chicago Working Paper No. WP-2016-11
Number of pages: 51 Posted: 25 Oct 2016
Marco Bassetto, Luca Benzoni and Trevor Serrao
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 8 (517,956)

Abstract:

Excess bond premium, financial conditions, monetary policy, zero lower bound

20.

Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates -- Online Appendix

Number of pages: 21 Posted: 23 Dec 2012
Andrea Ajello, Luca Benzoni and Olena Chyruk
Federal Reserve Board, Federal Reserve Bank of Chicago - Research Department and Federal Reserve Bank of Chicago
Downloads 24 (387,273)

Abstract:

term structure of interest rates, real rates, inflation, inflation risk premium

21.

Modeling Credit Contagion Via the Updating of Fragile Beliefs -- Online Appendix

Number of pages: 33 Posted: 29 Jan 2015
Federal Reserve Bank of Chicago - Research Department, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and UC Riverside
Downloads 19 (375,341)
Citation 2

Abstract:

Contagion, sovereign risk, CDS pricing, fragile beliefs, learning, affine models