research interests are in the fields of Financial
Economics, Asset Pricing and Derivatives, and
Financial Econometrics and member of CEPR. Professor
Buraschi has previously held positions at London Business School, The
University of Chicago Booth School (visiting
professor), and Columbia University (visiting
He earned his PhD from The University
of Chicago specializing in Financial Economics and
Econometrics. His current research projects focus on
five themes of finance:
His work has been published in the following journals The Journal of Finance, The Journal of Financial Economics, Review of Financial Studies, Journal of Derivatives, European Financial Management and The Journal of Banking and Finance. He is an Associate Editor at Review of Finance, Journal of Management Science, European Financial Management Journal.
Professor Buraschi is the recipient of the following awards:
- Top Overall Performing Faculty 2011-2014.
- 2013 GARP Award for: "Monetary Policy and Treasury Risk Premia", with A. Carnelli and P. Whelan. (Best paper award in Financial Risk Management)
- 2012 NYSE Euronext Award for: "Dynamic Networks and Asset Prices", with P. Porchia. (Best paper award in Asset Pricing)
- 2010 Inquire Europe Award for: "No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns", with Kosowski and Trojani.
- 2010 Q-Group Award for: "Macroeconomic Uncertainty, Difference in Beliefs and Bond RiskPremia", with P. Whelan.
- 2006 Inquire Europe Award for: "Correlation Risk and Optimal Portfolio Choice" with P. Porchia and F. Trojani.
- 1999 WFA Award (Best Paper in Investments) for: Inflation Risk Premia and the Expectations Hypothesis: Taylor Monetary Policy Rules in Equilibrium Models.
- Teacher of the Year Award (Innovation in Teaching) at London Business School and Imperial College London.
18. The Geography of Funding Markets and Limits to Arbitrage, 2014, with Emrah Sener and Murat Mengόtόrk. Review of Financial Studies, 2014, 28 (4), p1103-1152.17. Bond Markets and Monetary Policy, 2015, with P. Whelan. Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi © 2015 John Wiley & Sons, Inc. Published 2015 by John Wiley & Sons, Inc.
Bond Markets and Unconventional Monetary Policy, 2015, with P. Whelan. Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi © 2015 John Wiley & Sons, Inc. Published 2015 by John Wiley & Sons, Inc.
15. When There is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Funds Returns, with Robert Kosowski and Fabio Trojani. Winner of the Inquire UK 2009 Award. Review of Financial Studies, 2014, Vol. 27, 2, p581-616.
14. Incentives and Endogenous Risk Taking: A Structural View of Hedge Fund Alphas, with R. Kosowski and W. Sritakul, Journal of Finance, 2014, 69 (6), p2819-2870.
Uncertainty Blows in the Orchard: Comovement and
Equilibrium Volatility Risk Premia, with
Fabio Trojani and Andrea Vedolin, Journal of
Finance, 2014, 69 (1),
10. The Economics of Donations and Enlightened Self-interest, 2013, with Francesca Cornelli, European Financial Management.
9. Difference in Beliefs and Currency Risk Premia, 2010, with Alessandro Beber and Francis Breedon, Journal of Financial Economics 2010, 98, p415-438. Lead Article.
8. Correlation Risk and Optimal Portfolio Choice, 2010, with Paolo Porchia and Fabio Trojani, Journal of Finance 2010, 65 (1), p393-420. Winner of the Inquire Europe Best Paper Award.
7. Habit formation and macroeconomic models of the term structure of interest rates, 2007, with Alexei Jiltsov, Journal of Finance 2007, 62(6), p3009-3063.
6. Model Uncertainty and Option Markets with Heterogeneous Beliefs, 2006, with Alexei Jiltsov, Journal of Finance 2006, 61 (6), p2841-2897.
5. Inflation Risk Premia and the Expectations Hypothesis: Taylor Monetary Policy Rules and the Treasury yield curve, 2005, with Alexei Jiltsov, Journal of Financial Economics 2005, 75, p429-490. Winner of WFA Award as Best Paper in Investments.
4. Liquidity Risk and Specialness: How Well Do Forward Repo Spreads Price Future Specialness?, 2002, with Davide Menini, Journal of Financial Economics 2002, 64, p243-282.
3. The Price of a Smile: Hedging and Spanning in Option Markets, 2001, with Jens Jackwerth, Review of Financial Studies 2001, 14, p495-527.
2. The Forward Calculation of Compound Option Prices, 2001, with Bernard Dumas, Journal of Derivatives 2001, 9, p8-17. Lead Article.1. Risk Management Implications of Time-Inconsistency: Model Updating and Recalibration of No-Arbitrage Models, 2005, with Francesco Corielli, Journal of Banking and Finance 2005, 29, p2883-2907. Lead Article.
BOOKS CHAPTERS AND OTHERS
19. Believe It or Not: Taylor Rule Uncertainty, 2013, with Andrea Carnelli and Paul Whelan, in Modern Macroeconomic Policy Making, by Cambridge University Press.
20. The Economic Value of Predictability in Portfolio Management, 2013, with Andrea Carnelli, The Journal of Financial Management, Markets and Institutions, 2013, June (1), Lead Article.