I teach courses at PhD and Master’s level on themes regarding the interlinks between capital markets and macroeconomic developments, information and securities markets, and also more applied topics related to fixed income securities markets or financial engineering.

My PhD courses are taught within the Swiss Finance Institute Program. These courses require the students to learn Financial Economics but also to solve new problems or address old and new puzzles. Students are encouraged to think critically and maintain a high focus and commitment and a genuine motivation and passion for studying our field, its conceptual challenges and its well-known technical intricacies.

My Master’s courses aim at making market practice on risk-management and pricing accessible to a broad audience. I teach topics both in the fixed income and the equity space. One of my courses described below might be thought of as being a “Volatility 101” class. These courses are taught within the Master in Finance at USI, a program that is accredited by the Swiss Finance Institute and that has finally hit FT rankings in 2018.

I teach all these courses at USI (Università della Svizzera Italiana) in Lugano, after having taught them in many other institutions. My lectures rely on selected and voluminous portions of my forthcoming MIT Press book Financial Economics: Classics and Contemporary.

Finally, I am preparing a “Master Class” on themes regarding volatility and macro, which relies on my expertise both as an academic and as a contributor to work at the industry level dedicated to such themes.


PhD courses


  • Information and Financial Markets

This course provides an in-depth introduction to standard theories of financial markets with asymmetric information. It aims to builds foundations regarding information efficiency, liquidity and market microstructure. It examines information aggregation in markets with diversely informed investors and also information transmission and, hence, the value of information, in markets with investors possessing superior information. A central theme of the course is the price impact of liquidity shocks. This theme is studied in competitive models with noisy rational expectations, and also in strategic market microstructure models with a number of variations including insider trading and sequential trade and imperfect competition amongst both traders and market makers. Finally, this course reviews models where arbitrage is limited, price formation in over-the-counter markets, and coordination failures in financial markets. This course is necessary before undertaking further study and research in the areas of financial markets with frictions. The course begins with a general introduction to information problems in Financial Economics, including adverse selection, moral hazard, signalling, and security design.

  • Capital Markets and the Macroeconomy

This course surveys advanced topics in macro-asset pricing, and includes both standard and recent developments of how empirical regularities are addressed, which the neo-classical model fails to explain, in economies with production, capital markets imperfections, idiosyncratic risk, long run risks, feedbacks between capital markets and the real economy, and agents with heterogeneous beliefs or intertemporal preferences displaying external habit formation or non- expected utility. While emphasizing economic content, this seminar also covers significant methodological details, such as those underlying choices occurring in markets with frictions, aggregation in incomplete markets, learning in contexts with incomplete, albeit symmetric, information, and, finally, details relating to methods of statistical inference for dynamic models not solved in closed-form.


Master’s courses


  • Fixed Income Markets

This course provides a grounding in recent developments in fixed income security pricing, hedging and portfolio management that insists on both conceptual evaluation methods and the many details arising in market practice. By the end of the course, the students will be familiar with a variety of topics, including (i) the institutions, organization and conduct of the fixed income markets; (ii) the basic techniques to analyze and hedge fixed income products, such as “curve fitting,” “bootstrapping,” duration, convexity, duration-based hedging and asset-liability management; (iii) the analysis of the “destabilizing” effects related to the use of certain fixed income derivative products; (iv) the economic forces, or “factors,” driving the variation in the entire spectrum of interest rates at different maturities; (v) relations between the yield curve and macroeconomic developments; (vi) the main evaluation tools (trees, no arbitrage trees, calibration and continuous time models), applied to a consistent pricing of a wide range of products, including government bonds, corporate bonds (convertible, callable, puttable), plain vanilla interest rate derivatives (interest rate swaps, caps, floors, swaptions, etc.); (vii) the process of securitization and the resulting structured products, with particular reference to collateralized debt obligations and mortgage-based securities; (viii) an overview of the main evaluation models of sovereign default.

  • Financial Engineering (unofficially, “Volatility 101”)

This course provides a grounding in recent developments into the market practice of trading volatility in equity, interest rate and credit markets. By the end of the course, the students will be familiar with a variety of topics, including (i) stochastic volatility (the fact the asset price volatility changes over time); (ii) local volatility (the fact that we may price and hedge exotic derivatives while only relying on already traded plain vanilla derivatives; (iii) expected volatility (the views on the possible occurrence of periods of market turmoil). Expected volatility may be traded through dedicated instruments; it does represent indeed one of the most actively traded asset classes in liquid markets. The students will be familiar with the main concepts, trading tools and instruments in this space, such as: (iv) the equity VIX index (the “fear index” maintained by Chicago Board Options Exchange); (v) options and futures referenced to VIX and their basic pricing models; (vi) fear indices available for other asset classes such as interest rate swaps, government bonds and credit indices. Finally, the students will be exposed to (vii) tutorials on endogenous volatility, that is, the occurrence of large swings in asset prices resulting from the uncoordinated behavior of market participants in periods of turmoil. These price swings may feed such violent market fluctuations (crashes followed by rebounds) that may likely wash away portions of the premiums resulting from the strategies described in (v)-(vi).


“Master Class”


  • Global Economic Developments and Volatility Across Asset Classes

I am working on the precise details regarding this Master Class. The goal is to make my academic work as well as contributions to industry available to a broad audience of bank and asset managers as well as policy makers.