A European Hangover (Work-In-Progress)
with Jean Imbs (Paris School of Economics) and Romain Ranciere (University of Southern California)
In this paper we use daily stock returns to investigate the consequences of various European bailouts. Special attention is given to the anticipated nature of bailout announcements.
Option Pricing under Time-limited Arbitrage (Bachelor’s Thesis)
supervised by Alberto Gandolfi (NYU Abu Dhabi)
Most of the study of option pricing is done under the no arbitrage assumption. In my Mathematics bachelor’s thesis I aim to study the effect presence of arbitrage has on option prices. I construct binomial trees with embedded arbitrage opportunities and study properties of probability measures that eliminate/minimize arbitrage
