Visiting Assistant Professor of Finance
Joined Stern in 2010
44 West Fourth Street
Suite 4-25
New York, NY 10012
Education:
PhD in Finance and Econometrics, University of Chicago Booth School of Business, 2006
MBA in Analytical Finance and Econometrics, University of Chicago Booth School of Business, 2005
MS in Statistics, University of South Carolina, 1997
MS in Mathematics (Stochastic Calculus), University of Bucharest, Romania, 1991
BS in Mathematics, University of Bucharest, Romania, 1990
Education Program Abroad (International Finance and Banking), Institute for Advanced Studies and The University of Technology, Vienna, Austria, Fall 1994
Teaches:
Foundations of Finance (MBA)
Foundations of Financial Markets (Undergraduate)
Investment Management (Undergraduate)
Research Interests:
Empirical Asset Pricing
Market Microstructure
Financial Econometrics
Banking
Business Experience:
PGA Funds, CBOT, Chicago, IL
Fixed Income Quantitative Research Department at Deutsche Bank / Zurich Scudder Inc., Chicago, IL
Analytical Consulting and Testing Department at Information Resources Inc., Chicago, IL
Research and Computing Department at Abbott Labs, Chicago, IL
Economic Research Department at the National Commission for Statistics, Bucharest, Romania
Working Papers:
Volatility Pricing in the Stock and Treasury Markets, 2011
The Joint Pricing of Volatility and Liquidity, with Jeff Russell, 2011
Myopic Extrapolation, Price Momentum, and Price Reversal, with Long Chen and Shelly Zhao, 2011
Banks and Financial Crises, with CNV Krishnan, 2011
Short Sells and the Financial Crisis, with Ekkehart Boehmer and CNV Krishnan, 2011