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Dr. Paola Zerilli
Senior Lecturer

Profile

Biography

  • BA(Bocconi)
  • MSc(Boston)
  • PhD(Boston)

Departmental roles

  • Programme Director (MSc Financial Engineering)
  • Module Review Committee (ex officio Director MSc Financial Engineering)
  • Graduate Admissions Panel, MSc Economics and Finance

Research

Overview

Dr Paola Zerilli is a lecturer in the Department. Her expertise is in applied financial econometrics with a focus on energy derivatives. She has direct experience with financial markets as she worked for a number of years as a trader on Italian Treasury bonds at Credit Agricole Indosuez, Milan branch. She is currently Director of the MSc in Financial Engineering and Scientific Coordinator of the XPRESS project (Support for Public Procurements to facilitate the collaboration between SMEs and public sector for the development, and adoption in renewables in regions) funded under the EU Commission H2020 programme.

The project involves small and medium enterprises and the public sector to encourage innovations in Renewable Energy Sources technologies (RES). It will also develop financial tools to support the use of green technologies in European regions and municipalities. XPRESS is studying Green Public Procurement (GPP) - a system where public sector organisations use their purchasing power to choose environmentally friendly goods and services - and will investigate how this type of procurement could create new markets and provide financial support for RES innovations.

Dr Zerilli is also Scientific Coordinator of the SUPER-i project funded by the EU Commission H2020 programme.
The general objective of SUPER-i is to support the funding of EE (Energy Efficient) refurbishment of social housing stocks across Europe while increasing the share of renewable energy in the final energy consumption. The SUPER-i project will contribute to generate substantial investments in energy efficiency within the social housing sector in two folds: 1) by establishing a direct dialogue, at local government level, between financial institutions, other private investors and social housing managers while also involving ESCOs (Energy Service Companies); and 2) by collecting relevant data on EE investments, helping to develop efficient financial schemes. The direct dialogue and data collection will be pivotal to effectively boost the development of energy efficiency PPPs (Public Private Partnerships).
  • Derivative securities
  • Energy Economics
  • Green Finance

Publications

Selected publications

Full details of publications can be found at RePEc

Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility, Baum, C. & Zerilli, P. Z. Jan 2016 Energy economics. 53, p. 175-181

Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications, Chen L., Zerilli P. and Baum C. Energy Economics 2018 https://doi.org/10.1016/j.eneco.2018.03.032

Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data, Baum, C., Zerilli, P. Z. & Chen, L., (https://doi.org/10.1016/j.eneco.2019.104481) Energy Economics 2019.

Teaching

Undergraduate

Third Year

  • Principles of Corporate Finance & Derivative Securities

Postgraduate

  • Continuous-time Finance & Derivative Assets
  • Financial Engineering
  • Financial Risk Management

Dr. Paola Zerilli

Paola Zerilli
Lecturer
Department of Economics
Room: A/EC/016

Tel: 01904 323751

paola.zerilli@york.ac.uk 

Office & feedback hours for York Students only during term time:

Wednesday, 09:00-10:00,contact for joining instructions

Wednesday, 13:00-14:00, contact for joining instructions

By appointment via Google Calendar, extra appointments available via email request.