Alessio Saretto

        Assistant Professor of Finance

        Krannert School of Management
        Purdue University

        403 West State Street

        West Lafayette, IN, 47907-2056

        e-mail: asaretto@purdue.edu   

        Phone: 765-496-7591
        Fax:     765-496-1778

Curriculum Vitae

Education

• PhD Finance, UCLA

• PhD Mathematical Finance, University of Brescia (Italy)

Working Papers

• Option Returns and the Cross-Sectional Predictability of Implied Volatility (with Amit Goyal)

• Option Strategies: Good Deals and Margin Calls (with Pedro Santa-Clara)

• Predicting and Pricing the Probability of Default

Research Interest

Empirical Asset Pricing, Derivatives