Nicola Fusari

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

  • Johns Hopkins University - Carey Business School

SCHOLARLY PAPERS

10

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8,226

TOTAL CITATIONS
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Top 12,387

in Total Papers Citations

64

Scholarly Papers (10)

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1.

0DTE Option Pricing

ESSEC Business School Research Paper No. 2023-03, Johns Hopkins Carey Business School Research Paper No. 24-02
Number of pages: 69 Posted: 16 Jul 2023 Last Revised: 14 Mar 2025
Federico M. Bandi, Nicola Fusari and Roberto Renò
Johns Hopkins University, Johns Hopkins University - Carey Business School and ESSEC Business School
Downloads 3,635 (6,841)
Citation 7

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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: 56 Posted: 27 Aug 2020 Last Revised: 04 Dec 2024
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 1,881 (19,575)
Citation 6

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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 781 (69,880)
Citation 16

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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 501 (122,999)
Citation 2

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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
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 457 (137,440)
Citation 17

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

6.

Asset Pricing with Cohort-Based Trading in MBS Markets

Downloads 390 (164,951)
Citation 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, CUNY Baruch College, Federal Reserve Banks - Federal Reserve Bank of Dallas and Johns Hopkins University - Carey Business School
Downloads 270 (243,532)
Citation 2

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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 120 (508,954)

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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 372 (173,961)

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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
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University - Kellogg School of Management
Downloads 145 (435,486)
Citation 1

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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
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University - Kellogg School of Management
Downloads 64 (753,002)
Citation 13

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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

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barrier option, binomial tree, convergence rate, transition probability