Man

Jaime Enrique Casassus Vargas

Associate Professor

PONTIFICIA UNIVERSIDAD CATÓLICA DE CHILE

Santiago, Chile

Líneas de Investigación


Asset pricing, general equilibrium models, real options theory, commodity markets, pricing and hedging of derivatives, stochastic volatility models.

Educación

  •  Financial Economics, CARNEGIE MELLON UNIVERSITY. Estados Unidos, 2004
  •  Financial Economics, CARNEGIE MELLON UNIVERSITY. Estados Unidos, 2001
  •  Industrial Engineering, PONTIFICIA UNIVERSIDAD CATOLICA DE CHILE. Chile, 1996
  •  Industrial Engineering, PONTIFICIA UNIVERSIDAD CATOLICA DE CHILE. Chile, 1994
  •  Engineering (Computer Science), PONTIFICIA UNIVERSIDAD CATOLICA DE CHILE. Chile, 1993

Experiencia Académica

  •   Associate Professor Full Time

    PONTIFICIA UNIVERSIDAD CATOLICA DE CHILE

    Ciencias Economicas y Administrativas

    Santiago, Chile

    2011 - A la fecha

  •   Assistant Professor Full Time

    PONTIFICIA UNIVERSIDAD CATOLICA DE CHILE

    Ciencias Economicas y Administrativas

    Santiago, Chile

    2009 - 2011

  •   Assistant Professor Full Time

    PONTIFICIA UNIVERSIDAD CATOLICA DE CHILE

    Ingenieria

    Santiago, Chile

    2004 - 2009

  •   Lecturer Full Time

    PONTIFICIA UNIVERSIDAD CATOLICA DE CHILE

    Ingenieria

    Santiago, Chile

    1997 - 1999

  •   Visiting Assistant Professor Full Time

    UNIVERSITY OF CALIFORNIA, BERKELEY

    Berkeley, Estados Unidos

    2006 - 2007

Formación de Capital Humano


At the Universidad Católica he has supervised 15 master's and 1 doctoral theses, and subsequently supported the specialization of these students abroad. Gonzalo Morales, Felipe Aldunate and Carlos Deck are doing their PhDs in Finance at UBC, Stanford University and UC Berkeley, and 8 other students have completed a masters in the US. Casassus has been a member of the Economics Study Group of FONDECYT, and the coordinator of the Business and Economics Group of Becas-Chile (scholarships program from the chilean government). He has coorganized with Gonzalo Cortazar (UC) and Eduardo Schwartz (UCLA) three international workshops with over 15 speakers from top universities in the world.


Premios y Distinciones

  •   EBES best paper award

    Eurasia Business and Economics Society

    Turquia, 2012

    Paper: Long-Term Economic Relationships and Correlation Structure in Commodity Markets

  •   Award For Excellence In Research

    PONTIFICIA UNIVERSIDAD CATOLICA DE CHILE

    Chile, 2007

    Engineering School

  •   Award For Excellence In Teaching

    PONTIFICIA UNIVERSIDAD CATOLICA DE CHILE

    Chile, 2005

    Engineering School

  •   Carnegie Bosch Institute Fellowship Award

    CARNEGIE MELLON UNIVERSITY

    Estados Unidos, 2003

    PhD Scholarship

  •   William Larimer Mellon Fellowship

    CARNEGIE MELLON UNIVERSITY

    Estados Unidos, 2002

    PhD Scholarship

  •   Beca Presidente de la República

    MINISTERIO DE PLANIFICACION Y COOPERACION

    Chile, 1999

    PhD Scholarship

  •   Beca Matrícula de Honor

    PONTIFICIA UNIVERSIDAD CATOLICA DE CHILE

    Chile, 1989

    Undergraduate Scholarship


 

Article (10)

Equilibrium commodity prices with irreversible investment and non-linear technologies

Casassus, Jaime

Article ISI SCOPUS
Journal of Banking and Finance  (2018)

MAXIMAL GAUSSIAN AFFINE MODELS FOR MULTIPLE COMMODITIES: A NOTE

Casassus, J; Liu, P.; Tang K.

Article ISI SCOPUS
Journal of Futures Markets  (2015)

Economic Linkages, Relative Scarcity, and Commodity Futures Returns

Casassus, J; Liu, P.; Tang K.

Article ISI SCOPUS
Review of Financial Studies  (2013)

Consumption and Hedging in Oil-Importing Developing Countries

Aldunate, F; Casassus, J

Article ISI SCOPUS
European Financial Management  (2012)

Short-horizon return predictability and oil prices

Casassus, J; Higuera F.

Article ISI SCOPUS
Quantitative Finance  (2012)

Correlation structure between inflation and oil futures returns: An equilibrium approach

Casassus, J; Ceballos, D.; Higuera F.

Article ISI SCOPUS
Resources Policy  (2010)

Stochastic convenience yield implied from commodity futures and interest rates

Casassus, J; Collin-Dufresne, P

Article ISI SCOPUS
JOURNAL OF FINANCE  (2005)

Unspanned stochastic volatility and fixed income derivatives pricing

Casassus, J; Collin-Dufresne, P; Goldstein, B

Article ISI SCOPUS
JOURNAL OF BANKING FINANCE  (2005)

Optimal exploration investments under price and geological-technical uncertainty: a real options model

Cortazar G.; Schwartz, ES; Casassus, J

Article ISI SCOPUS
R & D MANAGEMENT  (2001)

Optimal timing of a mine expansion: Implementing a real options model

Cortazar G.; Casassus, J

Article
Quarterly Review of Economics and Finance  (1998)

19
Jaime Casassus

Associate Professor

Instituto de Economia

PONTIFICIA UNIVERSIDAD CATÓLICA DE CHILE

Santiago, Chile

2
Freddy Higuera

Associate Professor

Industrial Engineering

Universidad Católica del Norte

Antofagasta, Chile

1
Felipe Aldunate

Profesor Asistente

PONTIFICIA UNIVERSIDAD CATOLICA DE CHILE

Chile