Financial Markets: Options, Risk Management and Financial Engineering

Empirical options valuation and risk management (hedging and trading), stochastic volatility and jump models, nonparametric and semi-parametric methods for options pricing, modelling and investigating the determinants of the volatility smile/smirk, the information content of options related variables in volatility modelling and forecasting, risk neutral densities implicit in the market prices of options, nonlinear optimization for option pricing applications, default risk in option prices.

Corporate Finance and Governance

Bankruptcy and financial distress, mergers and acquisitions, distorted investment decisions (managerial myopia and overconfidence), agency risk, company misevaluation, diversification discount, earnings management.

Financial Markets: Investments and International Finance

Emerging markets and market efficiency.