Dr Luiz Vitiello
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Email
lrviti@essex.ac.uk -
Telephone
+44 (0) 1206 874261
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Location
EBS.3.93, Colchester Campus
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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
Asset pricing
Application of generalised/high moment distributions to option/asset pricing
Teaching and supervision
Current teaching responsibilities
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The Pricing of Securities in Financial Markets (BE331)
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Options and Futures (BE332)
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Financial Derivatives (BE351)
Publications
Journal articles (6)
Vitiello, L. and Poon, S-H., (2022). Option pricing with random risk aversion. Review of Quantitative Finance and Accounting. 58 (4), 1665-1684
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
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
