Welcome to my homepage!
I am an Assistant Professor in Finance at the University of Houston, Bauer College of Business.
I obtained a Ph.D. in Finance at the Swiss Finance Institute, University of Geneva.
You can download my CV here.
CONTACT
Paola Pederzoli
University of Houston, Bauer college of business
4750 Calhoun Rd, Houston TX 77004
Email: ppederzoli@bauer.uh.edu
Tel: +1 713 743 4767
PUBLICATIONS
Early exercise decision in American options with dividends, stochastic volatility and jumps
(A. Cosma, S. Galluccio, P. Pederzoli, O. Scaillet)
DLL and Matlab code
Journal of Financial and Quantitative Analysis, 55 (1), February 2020, pp. 331-356.
2017 Swiss Derivative Award Nomination Prize
WORKING PAPERS
The Crash Risk in Individual Stocks Embedded in Skewness Swap Returns [Oct 2023]
(P. Pederzoli)
R&R at the Journal of Financial and Quantitative Analysis
2019 FMA Best Paper Award in Derivatives and Options
2017 SFI Best Doctoral Paper Award
Presentations: NFA 2018, EUROFIDAI 2018, ITAM Finance Conference 2019, SOFIE 2019, EFA 2019, FMA Annual Meeting 2019, Virtual Derivatives Workshop 2020.
Invited Job Market Seminars at: Queen Mary University of London, University of Luxembourg, ESSEC Paris, BI Oslo, Stockholm School of Economics, UCLA, Bauer College of Business, FED Board, McGill University, Nova School of Business and Economics, Cambridge Judge Business School, Warwick Business School, Emory (canceled), Baruch College (canceled), Collegio Carlo Alberto (canceled), EDHEC Nice (canceled).
Identifying Demand and Supply in Index Option Markets [Jan 2024] Internet Appendix
(K. Jacobs, A. T. Mai, P. Pederzoli)
R&R at Management Science
2022 FMA Best Paper Award in Derivatives and Options
Presentations: MFA 2022, Cancun Derivatives Workshop 2022, SOFIE 2022, FMA 2022, Canadian Derivative Institute Conference 2022, Virtual Derivative Workshop 2023, CBOE-FMA Derivatives and Volatility Conference 2023.
Non-Linear CAPM: Evidence From In-The-Money Options Trading [New Version Coming Soon] Version of March 2023
(P. Pederzoli, M. Sandulescu)
Presentations: MFA 2023, 6th Western Conference on Financial Econometrics and Risk Management 2023, SOFIE 2023 (poster), University of Houston brownbag, University of Michigan brownbag
What Drives Fluctuations in the VIX? A Volatility Demand Perspective
(A. T. Mai, P. Pederzoli)
Decoding the Risk of High Option Volumes in 0DTE
(H. Doshi, P. Pederzoli, A. Sert)
News and Asset Classes
(K. Christensen, P. Pederzoli, A. Timmermann)
SEMINARS AND CONFERENCES
Paola Pederzoli 