Nikola Vasiljevic
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Thesis
| Thesis Title: | Option Pricing and Market Risk Management in the Presence of Jump Risk |
| Thesis Advisor: | Prof. Markus Leippold |
| Year of Graduation: | 2016 |
Next Employment
Credit Suisse, Zurich
Research Papers
- Markus Leippold, Nikola Vasiljevic: Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model, Swiss Finance Institute Research Paper No. 15-08
- Marc Chesney, Nikola Vasiljevic: Québécoisation method for the pricing of Parisian options with jump risk, 2016
- Markus Leippold, Nikola Vasiljevic: Option-Implied Intra-Horizon Risk and First-Passage Disentanglement, 2016, SSRN
- Marc Chesney, Nikola Vasiljevic: Parisian Options with Jumps: A Maturity–Excursion Randomization Approach, 2017, SSRN
Publications
- 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
Awards
| 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). |