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Nicola Fusari

Johns Hopkins University

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Publication

Featured researches published by Nicola Fusari.

Journal of Financial Economics | 2015

The risk premia embedded in index options

Torben G. Andersen; Nicola Fusari; Viktor Todorov

Journal of Financial Economics | 2013

Realizing Smiles: Options Pricing with Realized Volatility

Fulvio Corsi; Nicola Fusari; Davide La Vecchia

Econometrica | 2015

Parametric Inference and Dynamic State Recovery from Option Panels

Torben G. Andersen; Nicola Fusari; Viktor Todorov

Journal of Derivatives | 2008

Barrier Option Pricing Using Adjusted Transition Probabilities

Giovanni Barone-Adesi; Nicola Fusari; John Theal

Journal of Finance | 2017

Short-Term Market Risks Implied by Weekly Options

Torben G. Andersen; Nicola Fusari; Viktor Todorov

Archive | 2016

The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets

Torben G. Andersen; Nicola Fusari; Viktor Todorov

National Bureau of Economic Research | 2015

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

Torben G. Andersen; Nicola Fusari; Viktor Todorov

CREATES Research Papers | 2014

The Risk Premia Embedded in Index Options

Torben G. Andersen; Nicola Fusari; Viktor Todorov

Econometric Theory | 2018

INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS

Torben G. Andersen; Nicola Fusari; Viktor Todorov; Rasmus Tangsgaard Varneskov

2nd International Workshop of the ERCIM Working Group on Computing & Statistics | 2009

Options pricing with realized volatility

Davide La Vecchia; Fulvio Corsi; Nicola Fusari

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Collaboration

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Torben G. Andersen

Northwestern University

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Viktor Todorov

Northwestern University

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Davide La Vecchia

University of Lugano

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Fulvio Corsi

Ca' Foscari University of Venice

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Giovanni Barone-Adesi

Swiss Finance Institute

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Rasmus Tangsgaard Varneskov

Aarhus University

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