My research interests include conditional higher moments and more generally conditional characteristic function (or distribution) modeling and applications in derivative evaluation, term structure of interest rate, risk-returns trade off and cross section asset pricing.
My main research area is financial econometric. Basically what I do most of the time is to built time series models on some state variables (Stock returns, bond yields, realized variances, macro-economic variables) that capture some key facts (e.g conditional asymmetry, fat-tail,volatility persistence, non-markovianity...) which are believed to be important in some financial applications, like derivatives pricing, no-arbitrage term structure of interest rate. My obsession is closed-form, in general I focus on models that allow explicit or quasi-explicit formula for assets prices.
Financial Economics and Econometrics.
Areas of Interest
Financial Econometrics, Financial Economics, Time series Analysis.
Modeling Downside variance, Term structure of risk-neutral moments, equity and variance premium, Realized variance and option pricing, Fed-funds rate modeling and the term structure of interest rate.