Dr. Paola Zerilli
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

  • 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/012

Tel: 01904 323751

paola.zerilli@york.ac.uk 

Office & feedback hours during term time:

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