Author Page for Nicola Fusari

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 1,327 (25,592)

Citation 6

Abstract:

2.

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 698 (62,708)

Citation 16

Abstract:

3.

0DTE Option Pricing

Number of pages: 28 Posted: 16 Jul 2023

Federico M. Bandi, Nicola Fusari and Roberto Renò

Johns Hopkins University, Johns Hopkins University - Carey Business School and ESSEC Business School

Downloads 578 (79,561)

Citation 1

Abstract:

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 473 (101,808)

Citation 2

Abstract:

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

Giovanni Barone-Adesi, Nicola Fusari, Carlo Sala and Antonietta Mira

University of Lugano, Johns Hopkins University - Carey Business School, ESADE Business School and Università della Svizzera italiana - InterDisciplinary Institute of Data Science

Downloads 351 (143,338)

Citation 13

Abstract:

6.

Asset Pricing with Cohort-Based Trading in MBS Markets

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Citation 8

2

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, City University of New York (CUNY) - Department of Real Estate, Federal Reserve Banks - Federal Reserve Bank of Dallas and Johns Hopkins University - Carey Business School

Downloads 209 (241,210)

Citation 2

Abstract:

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, City University of New York (CUNY) - Department of Real Estate, Federal Reserve Banks - Federal Reserve Bank of Dallas and Johns Hopkins University - Carey Business School

Downloads 70 (548,743)