Nikola Vasiljevic

Thesis

Thesis Title:	Option Pricing and Market Risk Management in the Presence of Jump Risk
Thesis Advisor:	Prof. Markus Leippold
Year of Graduation:	2016

Credit Suisse, Zurich

Marc Chesney, Nikola Vasiljevic: Parisian Options with Jumps: A Maturity–Excursion Randomization Approach, 2018, Quantitative Finance, Vol. 18 (11), pp. 1887 - 1908
Markus Leippold, Nikola Vasiljević: Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model, 2017, Journal of Banking & Finance, Vol. 77, pp. 78-94

The best paper award at the Belgrade Young Economists Conference 2016 with the paper Option-Implied Intra-Horizon Risk and First-Passage Disentanglement (joint with Prof. Markus Leippold).