Antonio COSMA

Antonio COSMA

Associate professor

Research Topics Quantitative Finance, Asset Pricing, Financial Econometrics
Faculty or Centre Faculty of Law, Economics and Finance
Research Unit UR CREA
Postal Address Campus Kirchberg, Université du Luxembourg
6, rue Richard Coudenhove-Kalergi
L-1359 Luxembourg
Campus Office G 012
Email
Telephone (+352) 46 66 44 6763
Fax (+352) 46 66 44 6811

Research Interests 

Derivative pricing, numerical methods, nonparametric econometrics, financial econometrics

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Antonio Cosma is since 2005 associate professor at the Université du Luxembourg. He holds an MSc in finance and a PhD in Economics from the Université Catholique de Louvain. Before joining the Université du Luxembourg, he was a Post-Doc  researcher at the University of Lugano. He specializes in theoretical and financial econometrics, and in derivative pricing. His main research interests are: nonparametric econometrics and numerical methods for derivative pricing. He teaches mathematics at an undergraduate level, and econometrics at the Master level.

Last updated on: Monday, 22 September 2014

Teaching at Université du Luxembourg

2014-2015

  • Mathématiques pour Economistes, Bachelor en Sciences Economiques et de Gestion
  • Applied Econometrics, Master in Accounting and Audit
  • Financial Econometrics, Master in Economics and Finance



Last updated on: 22 Sep 2014

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2019

Full Text
See detailA nonparametric ACD model
Cosma, Antonio; Galli, Fausto

in Chevalier, Julien; Goutte, Stephane; Guerreiro, David; Saglio, Sophie; Sanhaji, Bilel (Eds.) Financial Mathematics, Volatility and Covariance Modelling (2019)

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See detailEarly exercise decision in american options with dividends, stochastic volatility, and jumps
Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier

in Journal of Financial and Quantitative Analysis (2019), 0(0), 1-26

Full Text
See detailInference in Conditional Moment Restriction Models When there is Selection Due to Stratification
Cosma, Antonio; Kostyrka, André; Tripathi, Gautam

in Huynh, Kim P.; Jacho-Chávez, David T.; Tripathi, Gautam (Eds.) The Econometrics of Complex Survey Data (2019)

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2017

Full Text
See detailInference in conditional moment restriction models when there is selection due to stratification
Cosma, Antonio; Kostyrka, André; Tripathi, Gautam

E-print/Working paper (2017)

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2016

See detailIndirect inference for nonlinear panel data
Cosma, Antonio; Galli, Fausto

Scientific Conference (2016, June)

See detailValuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier

Scientific Conference (2016, December)

See detailValuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier

Scientific Conference (2016, July)

See detailValuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier

Scientific Conference (2016, May)

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2015

Full Text
See detailValuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier

E-print/Working paper (2015)

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2014

Full Text
See detailAlgorithmes et marchés d'options
Cosma, Antonio

Article for general public (2014)

See detailValuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier

Scientific Conference (2014, April)

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2013

See detailValuing American options using fast recursive projections
Cosma, Antonio

Scientific Conference (2013, July 16)

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2010

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See detailThe Dark side of global integration: increasing tail dependance
Cosma, Antonio; Beine, Michel; Vermeulen, Robert John Gerard

in Journal of Banking and Finance (2010), 34(1), 184-192

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2007

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See detailMultivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations
Cosma, Antonio; Scaillet, Olivier; Von Sachs, Rainer

in Bernoulli (2007), 13(2), 301-329

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