Associate Professor in Finance

PhD in Applied Mathematics from University of Trieste (Italy)
"Laurea" Degree in economics (cum laude), University of Verona

Research Interests:

Corporate risk management, capital structure, investment decisions, and agency problems.

Structural estimation of corporate finance models and of Markov Decision Processes.

Real options and the valuation of managerial flexibility.

Numerical methods for derivatives valuation.

Office Hours

TBA

Expertise

Andrea Gamba has been a Visiting Professor of Finance at the George Washington University School of Business from 2008 to 2010, an Associate Professor of Mathematical Finance at the University of Verona (Italy) from 2000 to 2010. Before then, he has been Assistant Professor at University Ca’ Foscari (Italy) from 1996 to 2000. He had visiting and research appointments at NYU, Purdue University, Calgary University, and the University of Maryland. Gamba served as a consultant on real options valuation for SwissCom (Switzerland) and Cable & Wireless (U.K.), and on derivative pricing for banks (Unicredit, UBS, Lehman Brothers) and insurance companies (Cattolica Assicurazioni).

Teaching

Corporate Finance (MBA and MIM)

Recent publications

GambaA., N.Fusari, "Valuing Modularity as a RealOption", ManagementScience, Vol 55(11), November 2009, 1877–1896.

Gamba A., G. A. Sick, "Some Important Issues Involving Real Options", Multinational Finance Journal, 2009, forthcoming.

Gamba A., M. Tesser, "Structural Estimation of Real Options Models", Journal of Economic Dynamics and Control, Vol. 33(4), April 2009, 798–816.

Gamba A., A. J. Triantis, "The Value of Financial Flexibility", Journal of Finance, Vol. 63(5), October 2008, 2263–2296.

Gamba A., R. Rigon, "The Value of Embedded Real Options: Evidence from Con- sumer Automobile Lease Contracts - A Note", Finance Research Letters, Vol. 5(4), December 2008, 213–220.

Gamba A., C. Aranda and G.A.Sick, "Investment under Uncertainty, CapitalStructure, and Taxes", Economic Notes, vol. 37(1), 2008, pp. 31-58.

Gamba A., A. Micalizzi, "Product Development and Market Expansion: a Real Options Model", Financial Management, Vol. 36(1), 2007.

Gamba A., L.Trigeorgis, "An Improved Binomial Lattice Method for Multi-Dimensional Options", Applied Mathematical Finance, Vol. 14(5), 2007, pp. 453-475.

Working Papers

Gamba A., A. J. Triantis, "Valuing Corporate Financing Strategies", 2009.

Gamba A., A. J. Triantis, "Disintegrating Risk Management", 2009, Robert H. Smith School Research Paper No. RHS 06-106.

Gamba A. and C. Aranda, "The Effect of Investment and Financing Policies on Credit Risk", 2009.

PhD Supervision Topics

Corporate risk management, capital structure, investment decisions, and agency problems.

Link to SSRN page: 

http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=327209