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Fernando Zapatero
Vice Dean for Graduate Programs, Robert G. Kirby Chair in Behavioral Finance & Professor of Finance and Business Economics

USC Marshall School of Business
Los Angeles, CA 90089-0808

Phone: 
213-740-6538
fzapatero@marshall.usc.edu
Education: 
PhD, Columbia University; BA, Comillas Pontifical University
Personal Website: 
http://marshallinside.usc.edu/zapatero/

Overview

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.

Research

The Optimal Term Structure of Debt Maturity • 2012
Optimal Acquisition of a Partially Hedgeable House • 2012
The representative agent of an economy with external habit-formation and heterogeneous risk-aversion • 2009
A Class of Quadratic Options for Exchange Rate Stabilization • 2008
Analytic Pricing of Employee Stock Options • 2008
Optimal Portfolio Allocation with Higher Moments • 2008
Optimal Risk-Sharing with Effort and Project Choice • 2007
Stochastic Control Methods for the Problem of Optimal Compensation of Executives • 2007
Optimal Dividend Policy with Mean-Reverting Cash Reservoir • 2007
Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations • 2006
Efficient Consumption Set under Recursive Utility and Unknown Beliefs • 2004
Introduction to the Economics and Mathematics of Financial Markets • 2004
Leverage Decision and Manager Compensation with Choice of Effort and Volatility • 2004
Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier • 2004
Asset Pricing Implications of Benchmarking: A Two-Factor CAPM • 2003
Foreign Exchange Intervention with Options • 2003
Monte Carlo Computation of Optimal Portfolios in Complete Markets • 2003
Optimal Allocation to Hedge Funds: An Empirical Analysis • 2003
The Trade-off Model with Mean Reverting Earnings: Theory and Empirical Tests • 2003
Hedging with Monte Carlo Simulation • 2002
Incomplete Information with Recursive Preferences • 2001
Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves • 2000
On the Recoverability of Preferences and Beliefs • 2000
Optimal Central Bank Intervention in the Foreign Exchange Rate Market • 1999
Effects of Financial Innovations on Market Volatility when Beliefs are Heterogeneous • 1998
Valuation, Asset Allocation and Retirement Incentives of Pension Plans • 1997
General Equilibrium with Constant Relative Risk Aversion and Vasicek Interest Rates • 1996
Equilibrium Asset Prices and Exchange Rates • 1995
Optimal Consumption-Portfolio Policies with Habit Formation • 1992
Asset Pricing in an Exchange Economy with Habit Formation • 1991
Manual de Consolidacion de Estados Financieros de los Grupos de Empresos • 1988
Empirical performance of Levy option pricing
Labor Income, Relative Wealth Concerns, and the Cross-section of Stock Returns
Optimal Risk-Taking with Flexible Income