People

Dr Luiz Vitiello

Lecturer
EBS - Finance
Dr Luiz Vitiello
  • Email

  • Telephone

    +44 (0) 1206 874261

  • Location

    EBS.3.93, Colchester Campus

  • Academic support hours

    You can find details of Academic Support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911

Research and professional activities

Research interests

Options and derivatives pricing

Open to supervise

Asset pricing

Open to supervise

Application of generalised/high moment distributions to option/asset pricing

Open to supervise

Teaching and supervision

Current teaching responsibilities

  • The Pricing of Securities in Financial Markets (BE331)

  • Options and Futures (BE332)

  • Derivative Securities (BE351)

  • Student Success Tutorial (BE916)

Publications

Journal articles (5)

Chen, K., Vitiello, L., Hyde, S. and Poon, S., (2018). The Reality of Stock Market Jumps Diversification. Journal of International Money and Finance. 86, 171-188

Vitiello, L. and Rebelo, I., (2015). A note on the pricing of multivariate contingent claims under a transformed-gamma distribution. Review of Derivatives Research. 18 (3), 291-300

Vitiello, L. and Poon, S., (2014). Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing. Review of Derivatives Research. 17 (2), 241-259

Vitiello, L. and Poon, S., (2009). General equilibrium and preference free model for pricing options under transformed gamma distribution. Journal of Futures Markets. 30 (5), 409-431

Vitiello, L. and Poon, S., (2008). General Equilibrium and Risk Neutral Framework for Option Pricing with a Mixture of Distributions. The Journal of Derivatives. 15 (4), 48-60

Reports and Papers (1)

Chen, K., Vitiello, L. and Poon, S-H., The Reality of Stock Market Jumps Diversification

Contact

lrviti@essex.ac.uk
+44 (0) 1206 874261

Location:

EBS.3.93, Colchester Campus

Academic support hours:

You can find details of Academic Support hours on the EBS UG and PG information page on Moodle or by calling EBS Student Services on 01206873911