University of Lugano - Swiss Finance Institute

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Fabio Trojani

University of Lugano, Professor of Statistics

Swiss Finance Institute, Research Fellow

Contact:

Via Buffi 13

CH - 6900 Lugano

E - mail: Fabio.Trojani@usi.ch

Biographical Information

Teaching Material

Research Information

Seminars and Conferences

Co-Authors: Francesco Audrino, Andrea Buraschi, Patrick Gagliardini, Markus Leippold, Semyon Malamud, Loriano Mancini, Paolo Porchia, Elvezio Ronchetti, Olivier Scaillet

PhD Students: Lorenzo Camponovo, Anna Cieslak, Peter Gruber, Davide La Vecchia, Ilaria Piatti, Pavol Povala, Andrea Vedolin (JM candidate 2010)

Former PhD Students: Loriano Mancini, Paolo Porchia (JM candidate 2010)

CoseLaScherma

Fencing Hall in Lugano

Circolo Scherma SAL Lugano

 

Recent Research

Asset Pricing with Matrix Jump Diffusions

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

When There is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns

Robust Modeling and Estimation: A Unified Approach to Deal with Model Uncertainty

Portfolio Business Activities, Lévy Returns and Stochastic Multivariate Risk

Robust Resampling Methods for Time Series

Learning and Rare Disasters in the Lucas Orchard

Robust Predictive Regression

Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation

Variance Covariance Orders and Median Preserving Spreads

Infinitesimal Robustness for Diffusions (forthcoming, JASA)

A General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations (forthcoming, JBES)

Correlation Risk and Optimal Portfolio Choice (2010, Journal of Finance)

Ambiguity Aversion and the Term Structure of Interest Rates (2009, Review of Financial Studies)

Learning and Asset Prices under Ambiguous Information (2008, Review of Financial Studies)