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 Fin/Etrics
  • Editor Learning and Teaching FORUM magazine

Research

Overview

  • Derivative securities
  • Consumption-portfolio choice
  • Asset pricing and market frictions
  • Applied financial econometrics
  • Retirement research
  • Term structure of interest rates

Publications

Selected publications

Full details of publications can be found at RePEc

"A model for option pricing with spikes in volatility", 2004.

"Option pricing and spikes in volatility: empirical analysis", 2006.

"The valuation of PBGC insurance premium using the 'Martingale Approach'", (work in progress).

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.