Antonio Mele
Professor of Finance
University of Lugano
and
Via Buffi 13, 6900 Lugano Switzerland E-mail: antonio.mele@usi.ch
I hold a Senior Chair sponsored by the Swiss Finance Institute (a private foundation created by Switzerland's banking and finance community in cooperation with leading Swiss universities), and a full professorship in Finance at the University of Lugano, partially sponsored by the Associazione Bancaria Ticinese. Prior to these positions, I have been a faculty at the London School of Economics for nearly a decade.
My academic expertise covers a variety of fields, both theoretical and applied, pertaining to capital market volatility, interest rates and credit markets, the interlinks between asset prices and business cycle developments, or the functioning of capital markets in contexts with information networks or Knightian uncertainty.
Contents
Lectures on Financial Economics
Academic Research
Published work
"Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous-Time Models," Journal of Financial Economics 102, 390-415 (2011)(with D. Kristensen)
A new method to compute derivative prices in models without a closed-form solution -- theory piece, with many applications
"Information Linkages and Correlated Trading," Review of Financial Studies 23, 203-246 (2010) (with P. Colla) download the unabridged version
Asset markets in the presence of information networks among agents -- theory piece
"Simulated Nonparametric Estimation of Dynamic Models," Review of Economic Studies 76, 413-450 (2009) (with F. Altissimo) download the unabridged appendix
A new estimator that achieves the same asymptotic efficiency as maximum likelihood -- theory piece, with finance in view
"Asymmetric Stock Market Volatility and the Cyclical Behavior of Expected Returns," Journal of Financial Economics 86, 446-478 (2007) download a previous version titled "Rational Stock Market Fluctuations"
Why is stock market volatility countercyclical? -- theory piece
"Approximating Volatility Diffusions with CEV-ARCH Models," Journal of Economic Dynamics and Control 30, 931-966 (2006) (with F. Fornari)
A simple way to estimate/calibrate models with stochastic volatility -- applied piece
"Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Review of Financial Studies 16, 679-716 (2003) download the unabridged version
Volatility, and the yield curve -- theory piece
"Recovering the Probability Density Function of Asset Prices using GARCH Models as Diffusion Approximations," Journal of Empirical Finance 8, 83-110 (2001) (with F. Fornari)
Derives market risk-aversion from the price of derivatives, in the presence of stochastic volatility -- applied piece
"Volatility Smiles and the Information Content of News, " Applied Financial Economics 11, 179-186 (2001) (with F. Fornari)
Event studies for implied vols -- applied piece
Book: Stochastic Volatility in Financial Markets--Crossing the Bridge to Continuous Time Boston: Kluwer Academic Publishers (2000), 145 pages (with F. Fornari) download Chapter 1
The title says it all
Book: Dynamiques non linéaires, volatilité et équilibre (in French) Paris: Editions Economica (1998), 212 pages download chapter 5
It's my PhD dissertation
"Sign and Volatility Switching ARCH Models," Journal of Applied Econometrics 12, 49-65 (1997) (with F. Fornari)
"Weak Convergence and Distributional Assumptions for a General Class of Non Linear ARCH Models," Econometric Reviews 16, 205-227 (1997) (with F. Fornari)
"Asymmetries and Non-Linearities in the Economic Activity," Applied Financial Economics 7, 203-206 (1997) (with F. Fornari)
"Modeling the Changing Asymmetry of Conditional Variances," Economics Letters 50, 197-203 (1996) (with F. Fornari)
"Continuous Time Conditionally Heteroskedastic Models: Theory with Applications to the Term Structure of Interest Rates," Economic Notes 24, 327-352 (1995)
"A Stochastic Variance Model For Absolute Returns," Economics Letters 46, 211-214 (1994) (with F. Fornari)
"A Two Factor Arbitrage Model with Optimal Filtering Behavior," Statistica 54, 293-312 (1994) (with F. Fornari)
"Stochastic Behavior of Deterministic Utility Functions,"
Rivista internazionale di scienze economiche e commerciali 41,
1013-1031 (1994)
Working papers
"Uncertainty, Information Acquisition and Price Swings in Asset Markets" (with F. Sangiorgi) download slides
Aversion towards Knightian uncertainty leads asset markets with asymmetric information to undergo large fluctuations: crashes, rallies, media frenzies and history-dependent paths -- theory piece
"Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums" (with V. Corradi and W. Distaso) download slides
The volatility of aggregate stock market volatility ("vol of vol") relates to a business cycle factor. Volatility risk-premia are strongly countercyclical -- applied piece
"Financial Volatility and Economic Activity" (with F. Fornari) download slides download AEA slides
Stock market volatility forecasts economic activity -- applied piece
"Understanding Stock Market Volatility: A Business Cycle Perspective" download a previous version
My own perspective on stock market volatility -- applied piece
"Aggregate Stock Market Risk Premia and Real Economic Activity"
Risk premia increase more in bad times than they decrease in good times. Empirical evidence in support of my theoretical research into stock market volatility -- applied piece
"Government Size and Asset Prices" (with F. Belo) work in progress
"Local Information Sharing in Oligopoly" (with P. Colla) work in progress
"Asset Prices Driven by Stochastic String Shocks" (with W. Distaso) work in progress
Lectures on Financial Economics
These Lectures on Financial Economics are based on notes I wrote in support of advanced undergraduate and graduate lectures in financial economics, macroeconomic dynamics, financial econometrics and financial engineering.
Part I, "Foundations,"
develops the fundamentals tools of analysis used in Part II and Part III.
These tools span such disparate topics as classical portfolio selection,
dynamic consumption- and production- based asset pricing, in both discrete
and continuous-time, the intricacies underlying incomplete markets and some
other market imperfections and, finally, econometric tools comprising
maximum likelihood, methods of moments, and the relatively more modern
simulation-based inference methods.
Part II, "Applied asset pricing theory," is about identifying the main
empirical facts in finance and the challenges they pose to financial
economists: from excess price volatility and countercyclical stock market
volatility, to cross-sectional puzzles such as the value premium. This
second part reviews the main models aiming to take these puzzles on board.
Part III, "Asset pricing and reality," aims just to this: to use the main
tools in Part I and the lessons drawn from Part II, so as to cope with the main challenges occurring in actual
capital markets, arising from option pricing and trading, interest rate modeling and credit risk and their associated derivatives. In a sense, Part
II is about the big puzzles we face in fundamental research, while Part III
is about how to live within our current and certainly unsatisfactory
paradigms, so as to cope with demand for intellectual expertise.
These notes are still underground. The economic motivation and intuition are
not always developed as deeply as they deserve, some derivations are
inelegant, and sometimes, the English is a bit informal. Moreover, I still
have to include material on asset pricing with asymmetric information,
monetary models of asset prices, recent theories of the nominal and real term structure of interest rates,
bubbles, asset prices implications of overlapping generations models, or
financial frictions. Finally, I need to include more extensive surveys for
each topic I cover, especially in Part II. I plan to revise these notes to
fill these gaps. Meanwhile, any comments on this version are more than
welcome.