Via Buffi, 13
77 Bastwick Street
London, EC1V 3PZ
Swiss Finance Institute & University of Lugano
Centre for Economic Policy Research (CEPR)
in Total Papers Downloads
in Total Papers Citations
Aggregate stock market volatility, volatility risk-premiums, volatility of volatility, business cycle, no-arbitrage restrictions, simulation-based inference
Asset markets with Knightian uncertainty, asymmetric information, value of parameter uncertainty, information complementarities, multiple equilibria
market microstructure, information linkages
Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, SRVX Index, Basis Point Variance, Variance Risk-Premiums
Interest Rate Volatility, Interest Rate Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Basis Point Yield Volatility, Quadratic Contracts
Stochastic volatility, Arch filtering, indirect inference
Credit Default Swap Volatility, Credit Variance Swaps, Model-Free Pricing, VIX Index, Basis Point Variance, Quadratic Contracts
Asset pricing, stochastic volatility, the term-structure of interest rates, closed-form
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