Lorenzo Naranjo
Senior Lecturer in Finance
Area of Expertise:
Asset Pricing, Finance/Investments, Financial Economics, Option Pricing
Research Interests:
Theoretical and empirical asset pricing, derivatives, fixed-income, commodities
Selected Publications:
- "Optimal Decision Policy for Real Options under General Markovian Dynamics", European Journal of Operational Research, Issue 2, 634-647, with G. Cortazar, F. Sainz, 2021
- "A Multifactor Stochastic Volatility Model of Commodity Prices", Energy Economics, 182-201, with G. Cortazar, M. Lopez, 2017
- "Term-Structure Estimation in Markets with Infrequent Trading", International Journal of Finance and Economics, Issue 4, 353-369, with G. Cortazar, E. Schwartz, 2007
- "An N-Factor Gaussian Model of Oil Futures Prices", Journal of Futures and Markets, Issue 3, 243-268, with G. Cortazar, 2006
Awards/Honors:
- Dean's Appreciation Award, Miami Business School, 2019
- Commendation for Teaching Excellence, New York University, 2007
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Lorenzo Naranjo is Senior Lecturer in Finance at Olin Business School. He was previously Faculty Director of the Master of Science in Finance Program and Associate Professor of Professional Practice at University of Miami. He started his academic career at ESSEC Business School in France. His research focuses on theoretical and empirical asset pricing, fixed-income, derivatives and commodity markets. Professor Naranjo holds a Ph.D. in Finance from New York University, and an M.Sc. and B.Sc. in Engineering from Pontificia Universidad Catolica de Chile.
Email: naranjo@wustl.edu
PhD 2009, New York University
M.Sc. 2002, Pontificia Universidad Catolica de Chile
B.Sc. 1999, Pontificia Universidad Catolica de Chile
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