University of Southern California

Fernando Zapatero
Robert G. Kirby Chair in Behavioral Finance & Professor of Finance and Business Economics

USC Marshall School of Business
Los Angeles, CA 90089-0804

PhD, Columbia University; BA, Comillas Pontifical University


Fernando Zapatero is a financial economist who studies problems in asset pricing and corporate finance, with an emphasis on mathematical and computational methods. His research has been published in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Econometrica, Journal of Economic Theory, Mathematical Finance, and Management Science, and he coauthor of Introduction to the Economics and Mathematics of Financial Markets (MIT Press). He is an associate editor for Annals of Finance, Journal of Economic Dynamics and Control, Mathematical Finance, and Mathematics and Financial Economics. Before joining USC, Professor Zapatero served on the faculty of the University of Texas, UC-Berkeley, and ITAM.


Aharoni, G., Shemesh, J., and Zapatero, F. (2013) "Star Analysts’ Rankings and Strategic Announcements: The Case of Battleground Stocks,".
Cetin, C., and Zapatero, F. (2012) "Optimal Acquisition of a Partially Hedgeable House,".
Maisch, M., and Zapatero, F., "The Optimal Term Structure of Debt Maturity," in Venezia, I., and Wiener, Z., eds., Bridging the GAAP: Recent Advances in Finance and Accounting, World Scientific Publishing, Singapore 2012.
Xiouros, C. A., and Zapatero, F. (2009) "The representative agent of an economy with external habit-formation and heterogeneous risk-aversion," Review of Financial Studies.
Suh, S., and Zapatero, F. (2008) "A Class of Quadratic Options for Exchange Rate Stabilization," Journal of Economic Dynamics and Control, 32, 3478-3501.
Cvitanic, J., Wiener, Z., and Zapatero, F. (2008) "Analytic Pricing of Employee Stock Options," Review of Financial Studies, 21 (2), 683-724.
Cvitanic, J., Polimenis, V., and Zapatero, F. (2008) "Optimal Portfolio Allocation with Higher Moments," Annals of Finance, 4 (1), 1-28.
Cadenillas, A., Cvitanic, J., and Zapatero, F. (2007) "Optimal Risk-Sharing with Effort and Project Choice," Journal of Economic Theory, 133, 403-440.
Cadenillas, A., Sarkar, S., and Zapatero, F. (2007) "Optimal Dividend Policy with Mean-Reverting Cash Reservoir," Mathematical Finance, 17, 81-110.
Cvitanic, J., Goukasian, L., and Zapatero, F. (2007) "Optimal Risk-Taking with Flexible Income," Management Science, 55, 1594-1603.
Cadenillas, A., Cvitanic, J., and Zapatero, F., "Stochastic Control Methods for the Problem of Optimal Compensation of Executives," in Baxendale, P., and Lototsky, S., eds., Stochastic Differential Equations: Theory and Applications. A volume in honor of Professor B. L. Rozovskii, World Scientific 2007.
Cvitanic, J., Martellini, L., Lazrak, A., and Zapatero, F. (2006) "Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations," Review of Financial Studies, 19, 1113-1156 (lead article).
Cadenillas, A., Cvitanic, J., and Zapatero, F. (2004) "Leverage Decision and Manager Compensation with Choice of Effort and Volatility," Journal of Financial Economics, 73, 71-92.
Ibanez, A., and Zapatero, F. (2004) "Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier," Journal of Financial and Quantitative Analysis, 39.
Lazrak, A., and Zapatero, F. (2004) "Efficient Consumption Set under Recursive Utility and Unknown Beliefs," Journal of Mathematical Economics, 40, 207-226.
Cvitanic, J., and Zapatero, F., Introduction to the Economics and Mathematics of Financial Markets, MIT Press, Cambridge, MA 2004.
Zapatero, F., and Reverter, L. (2003) "Foreign Exchange Intervention with Options," Journal of International Money and Finance, 22, 289-306.
Cvitanic, J., Goukasian, L., and Zapatero, F. (2003) "Monte Carlo Computation of Optimal Portfolios in Complete Markets," Journal of Economic Dynamics and Control, 27, 971-986.
Cvitanic, J., Lazrak, A., Martellini, L., and Zapatero, F. (2003) "Optimal Allocation to Hedge Funds: An Empirical Analysis," Quantitative Finance, 3, 28-39.
Gomez, J.P., and Zapatero, F. (2003) "Asset Pricing Implications of Benchmarking: A Two-Factor CAPM," European Journal of Finance, 9, 343-357.
Sarkar, S., and Zapatero, F. (2003) "The Trade-off Model with Mean Reverting Earnings: Theory and Empirical Tests," Economic Journal, 113, 834-860.
Cvitanic, J., Goukasian, L., and Zapatero, F., "Hedging with Monte Carlo Simulation," in Kontoghiorghes, E., Rustem, B., and Siokos, S., eds., Computational Methods in Decision-Making, Economics and Finance, Kluwer Academic Publishers 2002.
Cvitanic, J., Lazrak, A., Quenez, M.C., and Zapatero, F. (2001) "Incomplete Information with Recursive Preferences," International Journal of Theoretical and Applied Finance, 4, 245-262.
Cuoco, D., and Zapatero, F. (2000) "On the Recoverability of Preferences and Beliefs," Review of Financial Studies, 13, 417-431.
Cadenillas, A., and Zapatero, F. (2000) "Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves," Mathematical Finance , 10, 141-147.
Cadenillas, A., and Zapatero, F. (1999) "Optimal Central Bank Intervention in the Foreign Exchange Rate Market," Journal of Economic Theory, 87, 242.
Zapatero, F. (1998) "Effects of Financial Innovations on Market Volatility when Beliefs are Heterogeneous," Journal of Economic Dynamics and Control, 22, 597-626.
Sundaresan, S.M., and Zapatero, F. (1997) "Valuation, Asset Allocation and Retirement Incentives of Pension Plans," Review of Financial Studies, 10, 631-660.
Goldstein, R., and Zapatero, F. (1996) "General Equilibrium with Constant Relative Risk Aversion and Vasicek Interest Rates," Mathematical Finance, 6, 331-340.
Zapatero, F. (1995) "Equilibrium Asset Prices and Exchange Rates," Journal of Economic Dynamics and Control, 19, 787-811.
Detemple, J., and Zapatero, F. (1992) "Optimal Consumption-Portfolio Policies with Habit Formation," Mathematical Finance, 2, 35-58.
Detemple, J., and Zapatero, F. (1991) "Asset Pricing in an Exchange Economy with Habit Formation," Econometrica, 59, 1633-1657.
Zapatero, F., Manual de Consolidacion de Estados Financieros de los Grupos de Empresos 1988.
Gomez, J. P., Priestley, R., and Zapatero, F. "Labor Income, Relative Wealth Concerns, and the Cross-section of Stock Returns,".
Ji, M., and Zapatero, F. "Empirical performance of Levy option pricing,".