phbs
Full-time Professors | Full-time Lecturers | Visiting Professors |
phbs
Assistant Professor
Domenico Tarzia
Ph.D. in Finance, Bocconi University, Milan, Italy
Research Interests: Option pricing, Financial modelling, Stochastic processes
phbs
0755-2603 3375
phbs
dtarzia@phbs.pku.edu.cn
phbs
Office: Rm. 654, PHBS Building
phbs
CV
phbs
Biography
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.
 
Research Teaching
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
phbs phbs phbs

CONTACT US

phbs Peking University HSBC Business School(PHBS) University Town, Nanshan District Shenzhen 518055, P.R.China
phbs 0755-26031383
phbs int.admission@phbs.pku.edu.cn
COPYRIGHT @ 2020 PHBS · Guangdong-ICP prepared No.12081285