Lorenzo Naranjo

Lorenzo Naranjo

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Lorenzo Naranjo is Senior Lecturer in Finance and Academic Director of MSFQ and MSFTA programs. He was previously Faculty Director of the Master of Science in Finance Program and Associate Professor of Professional Practice at University of Miami.

Area of Expertise

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Asset Pricing, Finance/Investments, Financial Economics, Option Pricing

Education

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• Ph D 2009, New York University
• MS 2002, Pontificia Universidad Catolica de Chile
• BS 1999, Pontificia Universidad Catolica de Chile

Awards/Honors

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• Dean's Appreciation Award, Miami Business School, 2019
• Commendation for Teaching Excellence, New York University, 2007

Research Interests

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Theoretical and empirical asset pricing, derivatives, fixed-income, commodities

Selected Publications

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• "Optimal Decision Policy for Real Options under General Markovian Dynamics", European Journal of Operational Research, Issue 2, 634-647, with Gonzalo Cortazar, Felipe Sainz, 2021
• "A Multifactor Stochastic Volatility Model of Commodity Prices", Energy Economics, 182-201, with Gonzalo Cortazar, Matias Lopez, 2017
• "Term-Structure Estimation in Markets with Infrequent Trading", International Journal of Finance and Economics, Issue 4, 353-369, with Gonzalo Cortazar, Eduardo Schwartz, 2007
• "An N-Factor Gaussian Model of Oil Futures Prices", Journal of Futures and Markets, Issue 3, 243-268, with Gonzalo Cortazar, 2006