Prof Mario Cerrato
- Professor of Finance (Economics)
- Adviser of Studies (Social Sciences College Academic and Student Administration)
telephone: 01413305059
email: Mario.Cerrato@glasgow.ac.uk
Research interests
- Applied mathematics and econometric theory: application of stochastic control theory in finance, stochastic calculus, time series, panel data
- Computational finance and econometrics: application of bootstrap and Monte Carlo methods in finance and econometrics; risk management; credit derivatives; modelling and trading exchange rates
Background
Mario joined Economics at Glasgow as a Lecturer in Economics in March 2008. He previously held posts at London Metropolitan University, Banca del Salento and Expedia Capital Management Ltd. He holds a PhD in Financial Econometrics (2003) and an MSc in Economics from London Metropolitan University, and a first degree in Economics from the University of Salerno.
Forthcoming Publications
- Cerrato, M., Hyunsok Kim, and Ronald MacDonald, “Nominal Interest Rates and Stationarity”, University of Glasgow Business School, working papers, (Review of Quantitative Finance and Accounting, forthcoming).
- Cerrato, M., A., Kadow, R., MacDonald, S., Straetmans, “Does the Euro Dominate Central and Eastern European Money Markets?,”(Journal of International Money & Finance, forthcoming).
- Cerrato, M., Hyunsok Kim, and Ronald MacDonald, 2010, “Equilibrium Exchange Rates Determination and Multiple Structural Changes”, University of Glasgow Business School, working papers, (Journal of Empirical Finance, conditionally accepted).
- 2009/10: John Robertson Bequest
- 2010/11: Scottish Government with the Chinese Ministry of Education
- 2010/11: Scottish Enterprise with structured credit investors, Cold Fountain Media
Current PhD students
Thesis title: Economic Significance of Empirical Exchange Rate Models: an Investigation of the Empirical Exchange Rate Models Conditional on Economic Variables.
Co-supervisor: A.Kovalenkov
Thesis title: Econometric models in financial economics.
Co-supervisor: Professor Gabriel Talmain
Thesis title: Exchange rates microstructures
Co-supervisor: Professor Christian Ewald
Thesis title: Credit Risk Modeling for Multinational Development Banks.
Co-supervisor: A.Kovalenkov
Thesis title: Risk Management and Optimal Security Design under Asymmetric Information.
Co-supervisor: J Crosby
Thesis title: Modelling financial risk with Copula methods
Co-supervisor:
Thesis title: Exchange rate dynamics: macro puzzles, micro empirics, meso theory and meta information.
Co-supervisor: Professor Ronald MacDonald
Thesis title: Risk management/Credit Risk/Forecasting Default in China's Real Estate Companies.Co-supervisor: Dr Minjoo Kim
Completed supervisions
(2011) Hyunsok Kim
Thesis title: Exchange Rates and Non-Linear Models.
(2008) Ke Fei You
Thesis on: Exchange Rates in Emerging Markets (completed-full time
job as a Lecturer in Finance at the LondonMet Business School).
Postgraduate: Modelling and Forecasting Financial Markets; Financial Derivatives; Financial Engineering; Financial Markets, Securities and Derivatives
CV: Mario Cerrato
Visiting positions
Mario visited UBS, London, for a week in July 2010 to work on a joint project. UBS is one of the leading financial institutions in the world.
He has been invited to visit the Central Bank of Ireland in March 2011.
Working papers
Boyarchenko, N., Cerrato, M., Crosby, J. and Hodges, S. (2013). 'No Good Deals - No Bad Models, Staff Report, Federal Reserve Bank of New York
Cerrato, M. (2011). 'A Note on The Italian 2011-2014 Budget Plan'.
Cerrato, M., de Peretti, C., Larsson, R. and Sarantis, N. (2011). 'A nonlinear panel unit root test under cross section dependence', Discusssion Paper 2011-08, Business School, University of Glasgow.
Cerrato, M., Kim, H. and MacDonald, R. (2010). 'Microstructure order flow: statistical and economic evaluation of nonlinear forecasts', Discussion Paper 2010-30, Business School, University of Glasgow.
Cerrato, M. (2010). 'The rise and fall of the ASB market', Discussion Paper 2010-28, Business School, University of Glasgow.
Cerrato, M., Kadow, A. and MacDonald, R. (2010).'Does the euro dominate Central and Eastern European money markets?', Discussion Paper 2010-21, Business School, University of Glasgow.
Cerrato, M., Kim, H. and MacDonald, R. (2010). 'Nominal interest rates and stationarity ', Discussion Paper 2010-17, Business School, University of Glasgow.
Cerrato, M., Kim, H. and MacDonald, R. (2010). 'Equilibrium exchange rate determination and multiple structural changes', Discussion Paper 2010-14, Business School, University of Glasgow.
Details of Mario's working papers can be found on his RePEc profile on the RePEc website.