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Prof. Dr. Antonio Cosma
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| Faculté ou Centre | Faculté de Droit, d'Économie et de Finance | ||||||
| Department | Département Sciences économiques et gestion | ||||||
| Adresse postale |
Campus Kirchberg, Université du Luxembourg 6, rue Richard Coudenhove-Kalergi L-1359 Luxembourg |
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| Bureau sur le campus | G 012 | ||||||
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| Téléphone | (+352) 46 66 44 6763 | ||||||
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: mercredi 22 janvier 2020
Short CV
Education
- Ph.D. Economics, Université catholique de Louvain, Louvain-la-Neuve, Belgium, 2004
- M.Sc. Financial Economics, Université catholique de Louvain, Louvain-la-Neuve, Belgium, 2000
- B.Sc. Physics, Università degli Studi di Pavia, Pavia, Italy
Positions
- Since 2005, Associate Professor, Université du Luxembourg
- 2004-2005, Post-doc researcher, Università della Svizzera Italiana, Istituto di Finanza, Lugano, Svizzera
Administrative tasks
- 2012–2019 Course director, Bachelor in Management (Bachelor en gestion, professionnel)
- 2014 Member of the Group of Experts to establish the European Master in Official Statistics
- 2009 - 2013, Member of the University council
- 2007–2011 Course co-director (2007-2009) and director (2009-2011), Master of Science in BaSince 2012, Course director of the Bachelor's Degree in Management (Bachelor professionnel en Gestion)
- 2007 - 2011, Course deputy director (2007-09) and director (2009-11), Master of Science in Banking and Finance
- Since 2007, Member of the Faculty council
Last updated on: 25 mai 2020
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 sept 2014
2020
Early exercise decision in american options with dividends, stochastic volatility, and jumps; ; ;
in Journal of Financial and Quantitative Analysis (2020), 55(1), 331-356
2019
A nonparametric ACD model;
in Chevalier, Julien; Goutte, Stephane; Guerreiro, David; Saglio, Sophie; Sanhaji, Bilel (Eds.) Financial Mathematics, Volatility and Covariance Modelling (2019)
Inference in Conditional Moment Restriction Models When there is Selection Due to Stratification; ;
in Huynh, Kim P.; Jacho-Chávez, David T.; Tripathi, Gautam (Eds.) The Econometrics of Complex Survey Data (2019)
2017
Inference in conditional moment restriction models when there is selection due to stratification; ;
E-print/Working paper (2017)
2016
Valuing American options using fast recursive projections; ; ;
Scientific Conference (2016, December)
2015
2014
2013
2010
The Dark side of global integration: increasing tail dependance; ;
in Journal of Banking and Finance (2010), 34(1), 184-192
2007
Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations; ;
in Bernoulli (2007), 13(2), 301-329
