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  • Domenico Tarzia, Ph.D

  • Assistant Professor
  • Ph.D., Finance, Bocconi University, Milan, Italy
  • Fields:Option pricing, Financial modelling, Stochastic processes
  • Office Phone Number:86-755-2603-3375
  • Office Room:654
  • Email:dtarzia@phbs.pku.edu.cn
Research Fields:
Option pricing, Financial modelling, Stochastic processes

Education:
Ph.D., Finance, Bocconi University, Milan, Italy, March 2013.
Master of Quantitative Finance and Risk Management (MAFINRISK), Bocconi University, Milan, Italy, July 2006.
Graduate in Business Administration, Bocconi University, Milan, Italy, March 2005.
 
Working Papers:
Local volatility and nonstationarity in pricing options.
Nonstationarity in pricing options: the sub-fractional Brownian motion.
Infinite-variance and self-similarity in option prices (joint with P. Muliere).
Jumps and discontinuities through Poisson random measures (joint with P. Muliere).
A Bayesian nonparametric test on the fractal structure of financial markets.
Investments
Advanced Econometrics I
Behavioral Finance