Welcome to my homepage!
I am an Assistant Professor in Finance at the University of Houston, Bauer College of Business.
I obtained a PhD in Finance at the Swiss Finance Institute, University of Geneva.
You can download my CV here.
University of Houston, Bauer college of business
4750 Calhoun Rd, Houston TX 77004
Tel: +1 713 743 4767
PUBLICATIONS AND WORKING PAPERS
Early exercise decision in American options with dividends, stochastic volatility and jumps
(A. Cosma, S. Galluccio, P. Pederzoli, O. Scaillet)
Supplemental file DLL and Matlab code
Journal of Financial and Quantitative Analysis, 55 (1), February 2020, pp. 331-356.
2017 Swiss Derivative Award Nomination Prize
Skewness Swaps: Evidence from the Cross-Section of Stocks [Aug 2021]
Supplemental File Code [Coming soon]
2019 FMA Best Paper Award in Derivatives and Options
2017 SFI Best Doctoral Paper Award
NFA 2018, EUROFIDAI 2018, ITAM Finance Conference 2019, SOFIE 2019, EFA 2019, FMA Annual Meeting 2019, Virtual Derivatives Workshop 2020.
Market-Maker Supply and Investor Demand for SPX Options: A VAR Approach
(K. Jacobs, A. T. Mai, P. Pederzoli)
SEMINARS AND CONFERENCES