Nicola Fusari

Johns Hopkins University - Carey Business School

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

9

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2,067

SSRN CITATIONS
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SSRN RANKINGS

Top 15,438

in Total Papers Citations

37

CROSSREF CITATIONS

36

Scholarly Papers (9)

1.

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 608 (54,035)
Citation 16

Abstract:

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High Frequency, Realized Volatility, Option Pricing

2.

Testing for Asset Price Bubbles using Options Data

Johns Hopkins Carey Business School Research Paper No. 20-12
Number of pages: 44 Posted: 27 Aug 2020 Last Revised: 13 May 2021
Nicola Fusari, Robert Jarrow and Sujan Lamichhane
Johns Hopkins University - Carey Business School, Cornell SC Johnson College of Business and Johns Hopkins University - Carey Business School
Downloads 491 (70,540)
Citation 2

Abstract:

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

3.

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 448 (78,821)
Citation 1

Abstract:

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Real options, Modularity, Least Squares Monte Carlo

4.

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 264 (141,618)
Citation 6

Abstract:

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

5.

Structural Stochastic Volatility

Number of pages: 50 Posted: 19 Nov 2020
Federico M. Bandi, Nicola Fusari and Roberto Renò
Johns Hopkins University, Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 86 (351,155)

Abstract:

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short-maturity options, spot volatility, spot volatility of volatility, spot leverage

Asset Pricing with Cohort-Based Trading in MBS Markets

Number of pages: 57 Posted: 20 Jul 2020 Last Revised: 30 Nov 2020
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 51 (468,835)
Citation 2

Abstract:

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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
Number of pages: 58 Posted: 07 Jul 2020 Last Revised: 03 Dec 2020
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 32 (561,719)
Citation 2

Abstract:

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cohort, heterogeneity, liquidity, MBS, prepayment, TBA

7.

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: 22 Mar 2021
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
Downloads 56 (442,178)

Abstract:

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8.

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 2021
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
Downloads 31 (553,302)
Citation 13

Abstract:

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9.

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:

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barrier option, binomial tree, convergence rate, transition probability