Nikola Vasiljević, PhD
Academic career
- Elected to the title – 2021, School of Computing, Belgrade, Economic Sciences
- PhD – 2016, Faculty of Business, Economics and Informatics, University of Zurich, Economic Sciences
- MSc – 2011, Faculty of Economics, Belgrade, Economic Sciences
- BSc – 2008, Faculty of Physics, Belgrade, Physics
- After studying physics, he attended professional training at European Center for Nuclear Research (CERN) in Geneva.
- During his doctoral studies, he was an assistant and lecturer at the master’s courses “Advanced Corporate Finance” and “Financial Engineering”.
- His research works in the field of financial derivatives and risk management have been presented at 18 international conferences, workshops and seminars around the world.
- He was awarded the best paper at the Belgrade Conference for Young Economists in 2016.
- Since 2019, he has been engaged as an external lecturer at the Master in Quantitative Finance at the Department of Banking and Finance of the University of Zurich, where he created and teaches the course “Advanced Quantitative Finance”.
- He worked as a market risk analyst at Unicredit Bank in Belgrade and as a quantitative analyst at Credit Suisse and Barclays Private Bank in Zurich.
Scientific and professional production
1. Leippold, M., & Vasiljević, N. (2017). Pricing and disentanglement of American puts in the hyper
exponential jump-diffusion model. Journal of Banking & Finance, 77, 78-94.
2. Chesney, M., & Vasiljević, N. (2018). Parisian options with jumps: a maturity–excursion
randomization approach. Quantitative Finance, 18(11), 1887-1908.
3. Leippold, M., & Vasiljević, N. (2020). Option-implied Intrahorizon value at risk. Management
Science, 66(1), 397-414.
4. Urošević, B., & Vasiljević, N. (2020). Portfolio optimization – A review, Proceedings of the 1st
Conference on Nonlinearity, Belgrade: Serbian Academy of Nonlinear Sciences, 66-91.
5. Urošević, B., & Vasiljević, N. (2020). Dynamic Asset Liability Management in Insurance, Insurance
Market After COVID-19, Belgrade: University of Belgrade – Faculty of Economics, Chapter 12, 227-
242.
6. Nedeljković, M., & Vasiljević, N. (2020). Emerging foreign exchange markets and monetary policy
in Euro area: Evidence from the crisis, EMAN 2020 Selected Papers – The 4 th Conference on
Economics and Management, 11-25.
7. Farkas, W., Mathys, L., & Vasiljević, N. (2021). Intra-horizon expected shortfall and risk structure in
models with jumps. Forthcoming in Mathematical Finance.