Nicola Fusari

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 14,382

SSRN RANKINGS

Top 14,382

in Total Papers Downloads

6,545

SSRN CITATIONS
Rank 12,242

SSRN RANKINGS

Top 12,242

in Total Papers Citations

96

CROSSREF CITATIONS

35

Scholarly Papers (10)

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 2,475 (11,147)
Citation 2

Abstract:

Loading...

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

2.

Testing for Asset Price Bubbles using Options Data

Johns Hopkins Carey Business School Research Paper No. 20-12
Number of pages: 57 Posted: 27 Aug 2020 Last Revised: 10 May 2022
Nicola Fusari, Robert Jarrow and Sujan Lamichhane
Johns Hopkins University - Carey Business School, Cornell SC Johnson College of Business and International Monetary Fund (IMF)
Downloads 1,645 (21,151)
Citation 6

Abstract:

Loading...

Asset Price Bubbles, Option Pricing, Stochastic Volatility, Martingales, Local Martingales

3.

Realizing Smiles: Options Pricing with Realized Volatility

Swiss Finance Institute Research Paper No. 10-05
Number of pages: 52 Posted: 03 Feb 2010 Last Revised: 22 Nov 2011
Fulvio Corsi, Nicola Fusari and Davide La Vecchia
University of Pisa - Department of Economics, Johns Hopkins University - Carey Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 737 (66,453)
Citation 16

Abstract:

Loading...

High Frequency, Realized Volatility, Option Pricing

4.

Valuing Modularity as a Real Option

Management Science, Forthcoming, Swiss Finance Institute Research Paper No. 08-20, WBS Finance Group Research Paper No. 86
Number of pages: 51 Posted: 29 Jan 2008 Last Revised: 23 Dec 2019
Andrea Gamba and Nicola Fusari
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Downloads 483 (112,755)
Citation 2

Abstract:

Loading...

Real options, Modularity, Least Squares Monte Carlo

5.

Option market trading activity and the estimation of the pricing kernel A Bayesian approach

Journal of Econometrics, Vol. 216, No. 2, 2020
Number of pages: 42 Posted: 23 Jan 2016 Last Revised: 07 Aug 2020
University of Lugano, Johns Hopkins University - Carey Business School, ESADE Business School and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 382 (148,016)
Citation 17

Abstract:

Loading...

Pricing kernelPricing kernel puzzlePhysical measureDirichlet processBayesian nonparametric estimationOptionsS&P 500 index

6.
Downloads 333 (172,017)
Citation 11

Asset Pricing with Cohort-Based Trading in MBS Markets

Journal of Finance, Forthcoming
Number of pages: 106 Posted: 20 Jul 2020 Last Revised: 28 Sep 2021
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, CUNY Baruch College, Federal Reserve Banks - Federal Reserve Bank of Dallas and Johns Hopkins University - Carey Business School
Downloads 245 (234,735)
Citation 2

Abstract:

Loading...

Cohort, Heterogeneity, Liquidity, MBS, Prepayment, TBA

Asset Pricing with Cohort-Based Trading in MBS Markets

FRB of New York Staff Report No. 931, Rev. July 2021
Number of pages: 67 Posted: 07 Jul 2020 Last Revised: 11 Aug 2021
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, CUNY Baruch College, Federal Reserve Banks - Federal Reserve Bank of Dallas and Johns Hopkins University - Carey Business School
Downloads 88 (545,681)

Abstract:

Loading...

cohort, heterogeneity, liquidity, MBS, prepayment, TBA

7.

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 299 (193,501)

Abstract:

Loading...

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

8.

The Pricing of Short-Term Market Risk: Evidence from Weekly Options

NBER Working Paper No. w21491
Number of pages: 54 Posted: 25 Aug 2015 Last Revised: 23 Mar 2023
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Downloads 132 (405,605)
Citation 1

Abstract:

Loading...

9.

Parametric Inference and Dynamic State Recovery from Option Panels

NBER Working Paper No. w18046
Number of pages: 50 Posted: 04 May 2012 Last Revised: 24 Apr 2022
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Downloads 59 (672,773)
Citation 13

Abstract:

Loading...

10.

Barrier Option Pricing Using Adjusted Transition Probabilities

https://doi.org/10.3905/JOD.2008.16.2.036, Swiss Finance Institute Research Paper No. 07-02
Posted: 22 Feb 2007
Giovanni Barone-Adesi, Nicola Fusari and John Theal
University of Lugano, Johns Hopkins University - Carey Business School and Banque Centrale du Luxembourg

Abstract:

Loading...

barrier option, binomial tree, convergence rate, transition probability