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)

Publications

• Cross-Section of Option Returns and Volatility (with Amit Goyal), 2008, forthcoming in Journal of Financial Economics.

• Option Strategies: Good Deals and Margin Calls (with Pedro Santa-Clara), 2008, forthcoming in Journal of Financial Markets.

Working Papers

• Auction Failures and the Market for Auction Rate Securities (with John McConnell)

• Shareholder Base and Product Market Sales (with Laura Frieder and Heather Tookes)

• Predicting and Pricing the Probability of Default

Research Interest

Empirical Asset Pricing, Derivatives