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Alexandre Ziegler is Assistant Professor of Finance at the University of Zurich and has been an SFI faculty member since June 2006. He obtained his PhD in finance from the University of St. Gallen. His main research areas are asset pricing and corporate finance.
In ongoing research, Prof. Ziegler investigates the pricing of financial instruments whose payoff depends on the variability of stock or index returns, such as variance contracts and options. The popularity of these instruments has increased significantly in recent years, reflecting the rise of variance as an investable asset class in the marketplace. By decomposing stocks’ total variance into systematic and stock-specific components, Prof. Ziegler's research is able to show that different types of variance risk command very different prices on the market. His findings explain the differences between index and single stock option returns, the differences in returns across single stock options, and the profitability of a number of trading strategies involving options.
Prof. Ziegler is a regular speaker at leading academic conferences in finance and his papers have been published in top finance journals.