Federico M. Bandi

Johns Hopkins University

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

3

DOWNLOADS

2,946

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

0DTE Option Pricing

ESSEC Business School Research Paper No. 2023-03
Number of pages: 53 Posted: 16 Jul 2023 Last Revised: 20 Feb 2024
Federico M. Bandi, Nicola Fusari and Roberto Renò
Johns Hopkins University, Johns Hopkins University - Carey Business School and ESSEC Business School
Downloads 2,341 (12,124)
Citation 2

Abstract:

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Ultra short-tenor options, zero days-to-expiry options (0DTEs), pricing, instantaneous return/variance risk premia

2.

Beta in the Tails

Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 12 Jun 2020
Federico M. Bandi and Roberto Renò
Johns Hopkins University and ESSEC Business School
Downloads 314 (181,654)
Citation 1

Abstract:

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hedge funds, diffusive risk, jump risk, beta

3.

Structural Stochastic Volatility

Number of pages: 54 Posted: 19 Nov 2020 Last Revised: 08 Jul 2023
Federico M. Bandi, Nicola Fusari and Roberto Renò
Johns Hopkins University, Johns Hopkins University - Carey Business School and ESSEC Business School
Downloads 291 (196,819)

Abstract:

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short-maturity options, equity characteristics, Merton's model, �nancial leverage, credit spreads.