Phd. in Quantitative Finance, Universidad del País Vasco (Bilbao, Spain) - Jan 2008
University of California Los Angeles (UCLA) - Visiting scholar - Jan/Jul 2011
University of Columbia (New York) - Visiting Scholar - Jan/Aug 2015
Serrano, P., Lafuente, J.A. & Petit, N.: "Pricing factors in the multiple-term structures from interbank rates", Journal of International Money and Finance vol. 91, March 2019, 138-159.
Serrano, P., Platania, F. & Tapia, M.: "Modelling the shape of the limit order book", Quantitative Finance vol. 18 (9), January 2018, 1575-1597.
Serrano, P., Lafuente, J.A. & Petit, N.: "Forecasting multiple-term structures from interbank rates", International Review of Financial Analysis vol. 57, February 2018, 40-56.
Arakelyan, A., Rubio, G. & Serrano, P.: "The reward for trading illiquid maturities in credit default swap markets", International Review of Economics and Finance vol. 39 (C), 2015, 376-389.
Serrano, P., Rubia, A. & Sanchís-Marco, L.: "Market illiquidity and pricing errors in the term structure of CDS spreads", Journal of International Money and Finance vol. 60, February 2016, 223-252.
Serrano, P., Díaz, A. & Groba, J.: "What drives corporate default risk premium? Evidence from the CDS markets" Journal of International Money and Finance, vol. 37 (C), 2013, 529-563.
Serrano, P., Groba, J. & Lafuente, J.A.: "The impact of distressed economies on the EU sovereign market", Journal of Banking and Finance vol. 37 (7), 2013, 2520–2532.
Pedro currently teaches in several master's and doctorate programmes at the UC3M. Specifically, he is responsible for courses on asset pricing (PhD and master in actuarial and financial sciences), derivatives (master in finance) and risk management (master in industrial economics). He also coordinates the teaching of Financial Economics at the Business Administration Degree at UC3M. Pedro is currently deputy director of the master's degree in Actuarial and Financial Sciences at UC3M.
His interests focus on quantitative finance, especially continuous time financial modelling and econometrics. He has also worked on the valuation of derivatives and risk measurement in general. His articles have been presented in numerous national and international congresses. He has also collaborated with several private entities in financial risk assessment.
Groba, J. & Serrano, P. (2020) "Foreign monetary policy and firms' default risk", The European Journal of Finance, 26:11, 1047-1074.
Serrano, P. Lafuente, J.A., Petit, N. & Ruiz, J.: "Dissecting interbank risk", The World Economy , Vol.43, Issue 3, March 2020, 729-757.
Serrano, P., Lafuente, J.A. & Petit, N.: "Pricing factors in the multiple-term structures from interbank rates", Journal of International Money and Finance vol. 91, March 2019, 138-159.
Serrano, P., Platania, F. & Tapia, M.: "Modelling the shape of the limit order book", Quantitative Finance vol. 18 (9), January 2018, 1575-1597.
Serrano, P., Lafuente, J.A. & Petit, N.: "Forecasting multiple-term structures from interbank rates", International Review of Financial Analysis vol. 57, February 2018, 40-56.
Serrano, P. & Arakelyan, A. "Liquidity in Credit Default Swap Markets", Journal of Multinational Financial Management vol. 37–38, December 2016, 139-157, (previously entitled 'On the effects of illiquidity in CDS spreads')
Arakelyan, A., Rubio, G. & Serrano, P.: "The reward for trading illiquid maturities in credit default swap markets", International Review of Economics and Finance vol. 39 (C), 2015, 376-389.
Serrano, P. & Lafuente, J.A.: "Market frictions and the pricing of sovereign credit default swaps", Journal of International Money and Finance vol. 60, February 2016, 223-252.
Serrano, P. & Lafuente, J.A.: "On the compensation for illiquidity in sovereign credit markets", Journal of Multinational Financial Management vol. 30, March 2015, 83–100.
Serrano, P., Díaz, A. & Groba, J.: "What drives corporate default risk premium? Evidence from the CDS markets" Journal of International Money and Finance, vol. 37 (C), 2013, 529-563.
Serrano, P., Groba, J. & Lafuente, J.A.: "The impact of distressed economies on the EU sovereign market", Journal of Banking and Finance vol. 37 (7), 2013, 2520–2532.
Serrano, P., Moreno, M. & Stute, W.: "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects", European Journal of Operational Research 214, 2011, 656–664.
