My research studies asset pricing, derivatives, commodities, and corporate restructuring, combining quantitative modeling with applications to financial markets.
Working Papers
Institutional Ownership and the Resolution of Financial Distress
Timothy Fisher, Jocelyn Martel, and Lorenzo Naranjo
In Progress (2025)
We study how institutional investor participation shapes restructuring outcomes and the resolution of financially distressed firms.
Published
Exchange Offer, Prenegotiated, or Freefall Restructuring
Timothy Fisher, Jocelyn Martel, and Lorenzo Naranjo
International Review of Law & Economics (2026)
We compare alternative restructuring paths and identify when firms choose exchange offers, prenegotiated plans, or freefall bankruptcy.
Optimal Decision Policy for Real Options under General Markovian Dynamics
Gonzalo Cortazar, Lorenzo Naranjo, and Felipe Sainz
European Journal of Operational Research (2021)
We derive and implement optimal investment timing rules for real options when the underlying state variables follow general Markovian dynamics.
A Multifactor Stochastic Volatility Model of Commodity Prices
Gonzalo Cortazar, Matias Lopez, and Lorenzo Naranjo
Energy Economics (2017)
We develop a multifactor stochastic-volatility framework to jointly match commodity spot and futures price dynamics.